Orchid Island Capital Announces November 2015 Monthly Dividend and October 30, 2015 RMBS Portfolio Characteristics

• November 2015 Monthly Dividend of $0.14 Per Share
• RMBS Portfolio Characteristics as of October 30, 2015

VERO BEACH, Fla., Nov. 10, 2015 (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 November 2015. The dividend of $0.14 per share will be paid November 30, 2015, to holders of record on November 24, 2015, with an ex-dividend date of November 20, 2015. 

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 November 10, 2015, the Company had 21,768,190 shares outstanding. At September 30, 2015, the Company had 21,892,773 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 30, 2015 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

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			Fair	Current	of			Average			Oct 2015 CPR
Asset Category		Face			Value(1)	Price	Portfolio			Coupon			(Reported in Nov)
As of October 30, 2015
Adjustable Rate RMBS	$	2,809		$	2,995	106.59		0.15	%		3.62	%		0.23	%
10-1 Hybrid Rate RMBS		52,696			53,882	102.25		2.67	%		2.55	%		9.55	%
Hybrid Adjustable Rate RMBS		52,696			53,882	102.25		2.67	%		2.55	%		9.55	%
15 Year Fixed Rate RMBS		101,120			106,719	105.54		5.30	%		3.28	%		7.47	%
20 Year Fixed Rate RMBS		401,856			432,014	107.50		21.44	%		4.00	%		3.30	%
30 Year Fixed Rate RMBS		1,207,634			1,311,534	108.60		65.07	%		4.35	%		7.94	%
Total Fixed Rate RMBS		1,710,610			1,850,267	108.16		91.81	%		4.20	%		6.84	%
Total Pass-through RMBS		1,766,115			1,907,144	107.99		94.63	%		4.16	%		6.91	%
Interest-Only Securities		525,560			63,196	12.02		3.14	%		3.59	%		14.02	%
Inverse Interest-Only Securities		222,499			44,986	20.22		2.23	%		6.16	%		12.88	%
Structured RMBS		748,059			108,182	14.46		5.37	%		4.66	%		13.72	%
Total Mortgage Assets	$	2,514,174		$	2,015,326			100.00	%		4.18	%		8.89	%

RMBS Assets by Agency							Investment Company Act of 1940 (Whole Pool) Test
($ in thousands)							($ in thousands)
			Percentage							Percentage
		Fair	of						Fair	of
Asset Category		Value(1)	Portfolio				Asset Category		Value(1)	Portfolio
As of October 30, 2015							As of October 30, 2015
Fannie Mae	$	1,634,651		81.1	%		Whole Pool Assets	$	1,542,820		76.6	%
Freddie Mac		363,764		18.1	%		Non Whole Pool Assets		472,506		23.4	%
Ginnie Mae		16,911		0.8	%		Total Mortgage Assets	$	2,015,326		100.0	%
Total Mortgage Assets	$	2,015,326		100.0	%

(1) Amounts in the tables above include assets with a fair value of approximately $28.4 million purchased in October 2015 which settle in November 2015.

Repurchase Agreement Exposure By Counterparty
($ in thousands)
								Weighted
				% of				Average
		Total		Total				Maturity	Longest
As of October 30, 2015		Borrowings(1)		Debt				in Days	Maturity
Goldman, Sachs & Co	$	156,955			8.7	%		26	11/25/2015
Wells Fargo Bank, N.A.		135,437			7.4	%		13	11/13/2015
Cantor Fitzgerald & Co		131,505			7.2	%		15	11/18/2015
Mizuho Securities USA, Inc		127,625			7.0	%		14	11/23/2015
ICBC Financial Services LLC		117,579			6.4	%		14	11/19/2015
Mitsubishi UFJ Securities (USA), Inc		112,740			6.2	%		19	11/30/2015
Citigroup Global Markets Inc		103,211			5.7	%		16	1/19/2016
KGS-Alpha Capital Markets, L.P		101,759			5.6	%		12	11/19/2015
RBC Capital Markets, LLC		100,559			5.5	%		19	11/23/2015
Nomura Securities International, Inc.		97,540			5.3	%		19	11/23/2015
ED&F Man Capital Markets Inc		92,619			5.1	%		18	11/25/2015
J.P. Morgan Securities LLC		85,803			4.7	%		15	11/30/2015
Merrill Lynch, Pierce, Fenner & Smith Inc		82,326			4.5	%		17	11/16/2015
South Street Securities, LLC		80,845			4.4	%		17	11/20/2015
Daiwa Securities America Inc.		75,388			4.1	%		11	11/12/2015
Natixis, New York Branch		72,830			4.0	%		12	12/1/2015
Morgan Stanley & Co		49,292			2.7	%		10	11/9/2015
CRT Capital Group, LLC		45,190			2.5	%		20	11/23/2015
Guggenheim Securities, LLC		40,057			2.2	%		26	11/30/2015
Barclays Capital Inc		10,136			0.6	%		14	11/13/2015
Suntrust Robinson Humphrey, Inc		4,366			0.2	%		21	11/20/2015
Total Borrowings	$	1,823,762			100.0	%		17	1/19/2016

(1) In October 2015, the Company purchased assets with a fair value of approximately $28.4 million which settle in November 2015 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
		Fair	Coupon Reset		Cap			Cap Per Year				Sensitivity				Sensitivity
Asset Category		Value	(if applicable)		(if applicable)			(if applicable)				(-50 BPS)(1)				(+50 BPS)(1)
As of October 30, 2015
Adjustable Rate RMBS	$	2,995	5			10.04	%		2.00	%	$		18		$		(19	)
Hybrid Adjustable Rate RMBS		53,882	87			7.55	%		2.00	%			862				(1,042	)
Total Fixed Rate RMBS		1,850,267	n/a		n/a			n/a					27,833				(38,015	)
Total Pass-through RMBS		1,907,144	n/a		n/a			n/a					28,713				(39,076	)
Interest-Only Securities		63,196	n/a		n/a			n/a					(11,531	)			9,870
Inverse Interest-Only Securities		44,986	1			5.49	%	n/a					427				(1,527	)
Structured RMBS		108,182	n/a		n/a			n/a					(11,104	)			8,343
Total Mortgage Assets	$	2,015,326	n/a		n/a			n/a			$		17,609		$		(30,733	)
Funding Hedges
												Modeled				Modeled
												Interest				Interest
					Average			Hedge				Rate				Rate
					Notional			Period				Sensitivity				Sensitivity
					Balance(2)			End Date				(-50 BPS)(1)				(+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions				$		873,333		Mar-2019			$		(13,876	)	$		16,375
Treasury Futures Contracts - Short Positions						185,000		Dec-2025					(7,314	)			7,479
Grand Total											$		(3,581	)	$		(6,879	)

(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 127.69 at October 30, 2015.  The nominal value of the short position was $236.2 million.

 

Contact:

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

Source: Orchid Island Capital Inc.

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