Orchid Island Capital Announces August - NASDAQ OMX GlobeNewswire

August 2018 Monthly Dividend of $0.08 Per Share
RMBS Portfolio Characteristics as of July 31, 2018
Next Dividend Announcement Expected September 17, 2018

VERO BEACH, Fla., Aug. 15, 2018 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC ) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of August 2018. The dividend of $0.08 per share will be paid September 10, 2018, to holders of record on August 31, 2018, with an ex-dividend date of August 30, 2018. The Company plans on announcing its next dividend after the Board’s meeting on September 17, 2018.

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 August 15, 2018, the Company had 52,034,596 shares outstanding. At June 30, 2018, the Company had 52,034,596 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 2018 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 and the expected funding of purchased assets and anticipated borrowings. 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, 2017.


RMBS Valuation Characteristics
($ in thousands)
												Realized		Realized
												Jul 2018		May - Jul
											Weighted	CPR		2018 CPR
					Percentage				Weighted		Average	(1-Month)		(3-Month)
		Current		Fair	of			Current	Average		Maturity	(Reported		(Reported
Type		Face		Value⁽¹⁾	Portfolio			Price	Coupon		(Months)	in Aug)		in Aug)
Hybrid/ARM
<3y reset	$	1,621	$	1,712	0.05	%	$	105.66	3.95	%	199	72.73	%	45.64	%
3y-5y reset		24,844		24,566	0.66	%		98.88	2.57	%	294	1.64	%	4.58	%
Total Hybrid/ARM		26,465		26,278	0.71	%		99.30	2.66	%	288	6.00	%	7.09	%
Fixed Rate RMBS
Fixed Rate CMO		518,404		535,897	14.31	%		103.37	4.39	%	297	6.61	%	6.81	%
Fixed Rate CMO Total		518,404		535,897	14.31	%		103.37	4.39	%	297	6.61	%	6.81	%
15yr 3.5		3,092		3,131	0.08	%		101.27	3.50	%	123	52.81	%	22.32	%
15yr 4.0		779,968		804,161	21.47	%		103.10	4.00	%	178	5.53	%	6.25	%
15yr Total		783,060		807,292	21.55	%		103.09	4.00	%	177	5.73	%	6.41	%
20yr 4.0		209,880		216,312	5.77	%		103.06	4.00	%	235	9.34	%	8.81	%
20yr 4.5		19,700		20,569	0.55	%		104.41	4.50	%	238	8.57	%	6.06	%
20yr Total		229,580		236,881	6.32	%		102.02	4.04	%	235	9.27	%	6.95	%
20yr 4.5		438,203		447,067	11.94	%		102.02	4.00	%	235	6.88	%	6.49	%
20yr 4.5		1,307,624		1,367,175	36.50	%		104.55	4.50	%	347	8.43	%	9.48	%
20yr 4.5		172,193		184,422	4.92	%		107.10	5.00	%	356	6.17	%	4.70	%
30yr Total		1,918,020		1,998,664	53.36	%		104.20	4.43	%	347	7.88	%	8.37	%
Total Fixed Rate RMBS		3,449,064		3,578,734	95.54	%		103.76	4.30	%	294	7.32	%	7.95	%
Total Pass Through RMBS		3,475,529		3,605,012	96.25	%		103.73	4.29	%	294	7.31	%	7.94	%
Structured RMBS
Interest-Only Securities		740,789		115,999	3.10	%		15.66	3.83	%	279	11.65	%	12.31	%
Inverse Interest-Only Securities		242,396		24,516	0.65	%		10.11	3.60	%	308	14.06	%	12.47	%
Total Structured RMBS		983,185		140,515	3.75	%		14.29	3.79	%	284	12.25	%	12.35	%
Total Mortgage Assets	$	4,458,714	$	3,745,527	100.00	%			4.27	%	294	8.41	%	9.17	%

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 July 31, 2018					As of July 31, 2018
Fannie Mae	$	2,241,090	59.8	%	Whole Pool Assets	$	2,687,129	71.7	%
Freddie Mac		1,499,150	40.1	%	Non-Whole Pool Assets		1,058,398	28.3	%
Ginnie Mae		5,287	0.1	%	Total Mortgage Assets	$	3,745,527	100.0	%
Total Mortgage Assets	$	3,745,527	100.0	%

(1) Amounts in the tables above include assets with a fair value of approximately $61.9 million purchased in July 2018, which settle in August 2018, and exclude assets with a fair value of approximately $57.2 million sold in July 2018, which settle in August 2018.



Borrowings By Counterparty
($ in thousands)
					Weighted
			% of		Average
		Total	Total		Maturity	Longest
As of July 31, 2018		Borrowings⁽¹⁾	Debt		in Days	Maturity
RBC Capital Markets, LLC	$	462,010	13.1	%	34	9/28/2018
Mirae Asset Securities (USA) Inc.		377,833	10.7	%	37	10/23/2018
J.P. Morgan Securities LLC		346,385	9.8	%	10	8/17/2018
Mitsubishi UFJ Securities (USA), Inc		229,586	6.5	%	37	9/17/2018
ICBC Financial Services LLC		198,184	5.6	%	34	9/14/2018
Cantor Fitzgerald & Co		185,269	5.2	%	15	8/15/2018
Citigroup Global Markets Inc		171,248	4.9	%	42	9/17/2018
Wells Fargo Bank, N.A.		163,599	4.6	%	22	8/27/2018
ING Financial Markets LLC		161,046	4.6	%	43	9/17/2018
Natixis, New York Branch		146,697	4.2	%	16	8/24/2018
ABN AMRO Bank N.V.		131,053	3.7	%	3	8/3/2018
FHLB-Cincinnati		100,032	2.8	%	1	8/1/2018
KGS-Alpha Capital Markets, L.P		99,545	2.8	%	27	9/14/2018
Daiwa Securities America Inc.		93,907	2.7	%	10	8/13/2018
South Street Securities, LLC		93,443	2.6	%	29	8/30/2018
ASL Capital Markets Inc.		91,202	2.6	%	33	9/17/2018
Guggenheim Securities, LLC		86,132	2.4	%	39	9/18/2018
Nomura Securities International, Inc.		80,805	2.3	%	38	10/22/2018
ED&F Man Capital Markets Inc		75,364	2.1	%	39	9/21/2018
Barclays Capital, Inc.		69,890	2.0	%	17	8/17/2018
Lucid Cash Fund USG LLC		56,095	1.6	%	9	8/9/2018
Goldman, Sachs & Co		51,489	1.5	%	10	8/10/2018
Merrill Lynch, Pierce, Fenner & Smith Incorporated		37,408	1.1	%	25	8/30/2018
Mizuho Securities USA, Inc		13,667	0.4	%	46	9/21/2018
J.V.B. Financial Group, LLC		8,504	0.2	%	45	9/14/2018
Total Borrowings	$	3,530,393	100.0	%	27	10/23/2018

(1) In July 2018, the Company purchased assets with a fair value of approximately $61.9 million, which settle in August 2018 that are expected to be funded by repurchase agreements. The anticipated borrowings are not included in the table above. In addition, the Company sold assets with a fair value of approximately $57.2 million, which settle in August 2018 that collateralize approximately $55.3 million of repurchase agreements 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 July 31, 2018
Adjustable Rate RMBS	$	1,712	10		9.97%	2.00%	$	5		$	(3	)
Hybrid Adjustable Rate RMBS		24,566	54		7.57%	2.00%		337			(350	)
Fixed Rate RMBS		3,042,837	n/a		n/a	n/a		57,835			(68,684	)
Fixed Rate CMO		535,897	n/a		n/a	n/a		2,669			(6,098	)
Total Pass-through RMBS		3,605,012	n/a		n/a	n/a		60,846			(75,135	)
Interest-Only Securities		115,999	n/a		n/a	n/a		(13,929	)		9,599
Inverse Interest-Only Securities		24,516	1		6.30%	n/a		2,662			(3,224	)
Structured RMBS		140,515	n/a		n/a	n/a		(11,267	)		6,375
Total Mortgage Assets	$	3,745,527	n/a		n/a	n/a	$	49,579		$	(68,760	)

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				$	1,475,000	Dec-2020	$	(18,438	)	$	18,438
Treasury Futures Contracts - Short Positions					165,000	Sep-2018		(4,555	)		3,948
Payer Swaps					1,010,000	Aug-2022		(10,182	)		10,182
Payer Swaption					950,000	Oct-2028		(6,904	)		23,696
Receiver Swaption					100,000	Feb-2024		1,125			(302	)
TBA Short Positions					400,000	n/a		(11,116	)		13,028
Total Hedges								(50,070	)		68,990

Grand Total							$	(491	)	$	230

(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) Five year treasury futures contracts were valued at prices of $113.13 at July 31, 2018. The notional contract value of the short position was $186.7 million.

Contact:

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