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- September 2016 Monthly Dividend of $0.14 Per Share
- RMBS Portfolio Characteristics as of August 31, 2016
VERO BEACH, Fla., Sept. 12, 2016 -- 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
