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Orchid Island Capital Announces February 2016 Monthly Dividend and January 29, 2016 RMBS Portfolio Characteristics
Globe Newswire
  • February 2016 Monthly Dividend of $0.14 Per Share
  • RMBS Portfolio Characteristics as of January 29, 2016
  • 1,216,243 cumulative shares repurchased through stock repurchase program
  • Tax Characterization of 2015 Distributions 100% Ordinary Taxable Income


VERO BEACH, Fla., Feb. 10, 2016 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of February 2016. The dividend of $0.14 per share will be paid February 29, 2016, to holders of record on February 24, 2016, with an ex-dividend date of February 22, 2016. 

The Company intends to make regular monthly cash distributions to its stockholders. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that certain percentages of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

As of February 10, 2016, the Company had 21,752,510 shares outstanding. At December 31, 2015, the Company had 21,745,490 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 29, 2016 are presented below. These figures are preliminary and subject to change.  The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

  • RMBS Valuation Characteristics
  • RMBS Assets by Agency
  • Investment Company Act of 1940 (Whole Pool) Test Results
  • Repurchase Agreement Exposure by Counterparty
  • RMBS Risk Measures


2015 Dividend Tax Characteristics

The Company anticipates that its 2015 distributions of $1.92 per share consisted entirely of ordinary dividends and will be characterized as ordinary income. Stockholders will be notified of the proper tax characterization of the Company's dividends by way of IRS Form 1099-DIV. Due to the complex nature of the applicable tax rules, it is recommended that stockholders consult their tax advisors to ensure proper tax treatment of dividends received.

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

Forward-Looking Statements

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2014.

RMBS Valuation Characteristics        
($ in thousands)        
       Percentage Weighted Realized
  Current FairCurrent of Average Jan 2016 CPR
Asset Category Face ValuePrice Portfolio Coupon (Reported in Feb)
As of January 29, 2016        
Adjustable Rate RMBS$2,781 $2,948105.99 0.13% 3.62% 0.46%
10-1 Hybrid Rate RMBS 51,157 52,670102.96 2.30% 2.55% 4.41%
Hybrid Adjustable Rate RMBS 51,157 52,670102.96 2.30% 2.55% 4.41%
15 Year Fixed Rate RMBS 98,039 103,627105.70 4.53% 3.28% 5.16%
20 Year Fixed Rate RMBS 425,252 458,200107.75 20.02% 4.00% 4.57%
30 Year Fixed Rate RMBS 1,438,041 1,571,409109.27 68.67% 4.37% 5.83%
Total Fixed Rate RMBS 1,961,332 2,133,236108.76 93.22% 4.24% 5.52%
Total Pass-through RMBS 2,015,270 2,188,854108.61 95.65% 4.20% 5.49%
Interest-Only Securities 522,485 58,67511.23 2.56% 3.62% 10.44%
Inverse Interest-Only Securities 212,212 40,81219.23 1.79% 5.93% 12.55%
Structured RMBS 734,697 99,48713.54 4.35% 4.57% 11.05%
Total Mortgage Assets$2,749,967 $2,288,341  100.00% 4.21% 6.98%


RMBS Assets by Agency    Investment Company Act of 1940 (Whole Pool) Test
($ in thousands)    ($ in thousands)   
   Percentage    Percentage
  Fairof   Fairof
Asset Category Value(1)Portfolio Asset Category Value(1)Portfolio
As of January 29, 2016    As of January 29, 2016   
Fannie Mae$1,883,385 82.3% Whole Pool Assets$1,809,333 79.1%
Freddie Mac 391,695 17.1% Non Whole Pool Assets 479,008 20.9%
Ginnie Mae 13,261 0.6% Total Mortgage Assets$2,288,341 100.0%
Total Mortgage Assets$2,288,341 100.0%     


(1) Amounts in the tables above include assets with a fair value of approximately $3.1 million purchased in January 2016 which settle in February 2016.


Borrowings By Counterparty       
($ in thousands)       
      Weighted 
    % of Average 
  Total Total MaturityLongest
As of January 29, 2016 Borrowings(1) Debt in DaysMaturity
Citigroup Global Markets Inc$276,726  13.1% 183/28/2016
South Street Securities, LLC 179,274  8.5% 292/29/2016
ED&F Man Capital Markets Inc 149,338  7.1% 413/24/2016
Wells Fargo Bank, N.A. 130,165  6.1% 122/12/2016
ICBC Financial Services LLC 124,175  5.9% 122/10/2016
Cantor Fitzgerald & Co 119,217  5.6% 222/26/2016
Goldman, Sachs & Co 118,855  5.6% 293/15/2016
Guggenheim Securities, LLC 118,027  5.6% 152/29/2016
Mizuho Securities USA, Inc 117,454  5.5% 214/25/2016
Mitsubishi UFJ Securities (USA), Inc 112,029  5.3% 192/29/2016
Daiwa Securities America Inc. 107,033  5.1% 102/11/2016
J.P. Morgan Securities LLC 106,840  5.0% 203/14/2016
Natixis, New York Branch 103,904  4.9% 142/22/2016
RBC Capital Markets, LLC 92,410  4.4% 132/22/2016
Nomura Securities International, Inc. 86,831  4.1% 152/25/2016
Merrill Lynch, Pierce, Fenner & Smith Inc 85,260  4.0% 182/16/2016
KGS-Alpha Capital Markets, L.P 85,034  4.0% 202/22/2016
Suntrust Robinson Humphrey, Inc 4,222  0.2% 142/12/2016
Total Borrowings$2,116,794  100.0% 204/25/2016


(1) In January 2016, the Company purchased assets with a fair value of approximately $3.1 million which settle in February 2016 that are expected to be funded by repurchase agreements.  These anticipated borrowings are not included in the table above.


RMBS Risk Measures          
($ in thousands)          
Mortgage Assets          
   Weighted       
   Average Weighted Weighted Modeled Modeled
   Months Average Average Interest Interest
   To Next Lifetime Periodic Rate Rate
  FairCoupon Reset Cap Cap Per Year Sensitivity Sensitivity
Asset Category Value(if applicable) (if applicable) (if applicable) (-50 BPS)(1) (+50 BPS)(1)
As of January 29, 2016          
Adjustable Rate RMBS$2,9483  10.04%  2.00%$ 18 $ (17)
Hybrid Adjustable Rate RMBS 52,67084  7.55%  2.00%  722   (914)
Total Fixed Rate RMBS 2,133,236n/a  n/a  n/a  30,124   (39,373)
Total Pass-through RMBS 2,188,854n/a  n/a  n/a  30,864   (40,304)
Interest-Only Securities 58,675n/a  n/a  n/a  (11,374)  10,509 
Inverse Interest-Only Securities 40,8121  6.35% n/a  286   (1,143)
Structured RMBS 99,487n/a  n/a  n/a  (11,088)  9,366 
Total Mortgage Assets$2,288,341n/a  n/a  n/a$ 19,776 $ (30,938)
           
Funding Hedges          
        Modeled Modeled
        Interest Interest
     AverageHedge Rate Rate
     NotionalPeriod Sensitivity Sensitivity
     Balance(2)End Date (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions$ 780,000  Mar-2019$ (10,219)$ 14,625 
Treasury Futures Contracts - Short Positions  185,000  Mar-2026  (6,589)  8,447 
Short TBA     125,000  Feb-2016  (1,404)  1,900 
Grand Total      $ 1,564 $ (5,966)


(1) Modeled results from Citigroup Global Markets, Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR Option-Adjusted Spreads. These results are for illustrative purposes only and actual results may differ materially.

(2) Treasury futures contracts were valued at 129.58 at January 31, 2016. The nominal value of the short position was $232.9 million.


Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

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