Orchid Island Capital Announces September 2016 Monthly Dividend and August 31, 2016 RMBS Portfolio Characteristics

• September 2016 Monthly Dividend of $0.14 Per Share
• RMBS Portfolio Characteristics as of August 31, 2016

VERO BEACH, Fla., Sept. 12, 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 September 2016. The dividend of $0.14 per share will be paid September 30, 2016, to holders of record on September 28, 2016, with an ex-dividend date of September 26, 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 a certain percentage 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 September 12, 2016, the Company had 25,653,234 shares outstanding, including shares sold through the Company’s at the market program through that date that have not yet settled. At June 30, 2016, the Company had 22,430,858 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 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

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, 2015.

RMBS Valuation Characteristics
($ in thousands)
						Percentage			Weighted			Realized
		Current		Fair	Current	of			Average			Aug 2016 CPR
Asset Category		Face		Value	Price	Portfolio			Coupon			(Reported in Sep)
As of August 31, 2016
Adjustable Rate RMBS	$	1,960	$	2,070	105.63		0.08	%		3.12	%		0.66	%
10-1 Hybrid Rate RMBS		47,901		49,915	104.20		2.04	%		2.55	%		15.50	%
Hybrid Adjustable Rate RMBS		47,901		49,915	104.20		2.04	%		2.55	%		15.50	%
15 Year Fixed Rate RMBS		90,097		95,864	106.40		3.90	%		3.28	%		7.23	%
20 Year Fixed Rate RMBS		406,761		444,620	109.31		18.10	%		4.00	%		10.11	%
30 Year Fixed Rate RMBS		1,600,758		1,772,162	110.71		72.17	%		4.35	%		9.17	%
Total Fixed Rate RMBS		2,097,616		2,312,646	110.25		94.17	%		4.24	%		9.27	%
Total Pass-through RMBS		2,147,477		2,364,631	110.11		96.29	%		4.20	%		9.40	%
Interest-Only Securities		566,729		50,196	8.86		2.04	%		3.56	%		19.52	%
Inverse Interest-Only Securities		215,712		41,012	19.01		1.67	%		5.76	%		17.71	%
Structured RMBS		782,441		91,208	11.66		3.71	%		4.55	%		19.02	%
Total Mortgage Assets	$	2,929,918	$	2,455,839			100.00	%		4.22	%		11.97	%

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	Portfolio				Asset Category		Value	Portfolio
As of August 31, 2016							As of August 31, 2016
Fannie Mae	$	1,914,816		78.0	%		Whole Pool Assets	$	1,975,955		80.5	%
Freddie Mac		532,923		21.7	%		Non Whole Pool Assets		479,884		19.5	%
Ginnie Mae		8,100		0.3	%		Total Mortgage Assets	$	2,455,839		100.0	%
Total Mortgage Assets	$	2,455,839		100.0	%

Borrowings By Counterparty
($ in thousands)
								Weighted
				% of				Average
		Total		Total				Maturity	Longest
As of August 31, 2016		Borrowings(1)		Debt				in Days	Maturity
Citigroup Global Markets Inc	$	269,245			11.4	%		38	10/12/2016
Mitsubishi UFJ Securities (USA), Inc		207,533			9.0	%		41	10/17/2016
J.P. Morgan Securities LLC		205,895			8.9	%		16	10/11/2016
South Street Securities, LLC		185,873			8.0	%		5	10/19/2016
RBC Capital Markets, LLC		182,192			7.9	%		42	10/14/2016
Goldman, Sachs & Co		162,228			7.0	%		43	10/14/2016
ICBC Financial Services LLC		144,037			6.2	%		33	10/11/2016
ED&F Man Capital Markets Inc		138,101			6.0	%		37	11/3/2016
Wells Fargo Bank, N.A.		117,098			5.1	%		10	9/12/2016
Daiwa Securities America Inc.		114,719			5.0	%		9	9/12/2016
Cantor Fitzgerald & Co		114,312			4.9	%		49	10/24/2016
Natixis, New York Branch		98,782			4.3	%		11	9/21/2016
KGS-Alpha Capital Markets, L.P		89,657			3.9	%		19	9/26/2016
Nomura Securities International, Inc.		69,613			3.0	%		13	9/26/2016
Guggenheim Securities, LLC		66,010			2.9	%		53	10/28/2016
Mizuho Securities USA, Inc		61,671			2.7	%		16	9/19/2016
FHLB-Cincinnati		55,369			2.4	%		1	9/1/2016
Morgan Stanley & Co. LLC		26,655			1.2	%		9	9/9/2016
Suntrust Robinson Humphrey, Inc		4,218			0.2	%		2	9/2/2016
Total Borrowings	$	2,313,208			100.0	%		28	11/3/2016

(1) In August 2016, the Company sold assets with a fair value of approximately $28.0 million which settle in September 2016. The table above includes repurchase agreement borrowings of approximately $26.5 million which are collateralized by these sold securities.

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 August 31, 2016
Adjustable Rate RMBS	$	2,070	8			10.05	%		2.00	%	$		12		$		(12	)
Hybrid Adjustable Rate RMBS		49,915	77			7.55	%		2.00	%			462				(707	)
Total Fixed Rate RMBS		2,312,646	n/a		n/a			n/a					29,064				(42,412	)
Total Pass-through RMBS		2,364,631	n/a		n/a			n/a					29,538				(43,131	)
Interest-Only Securities		50,196	n/a		n/a			n/a					(7,827	)			6,452
Inverse Interest-Only Securities		41,012	1			6.28	%	n/a					395				(1,402	)
Structured RMBS		91,208	n/a		n/a			n/a					(7,432	)			5,050
Total Mortgage Assets	$	2,455,839	n/a		n/a			n/a			$		22,106		$		(38,081	)
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				$		200,000		Mar-2019			$		(1,431	)	$		2,750
Treasury Futures Contracts - Short Positions						185,000		Sep-2026					(8,108	)			7,303
Payer Swaps						600,000		Feb-2020					(9,678	)			9,678
TBA Short Positions						100,000		Sep-2016					(675	)			1,428
Grand Total											$		2,214		$		(16,922	)

(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 a price of $131.88 at August 31, 2016.  The nominal value of the short position was $244.0 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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