- May 2016 Monthly Dividend of $0.14 Per Share
- RMBS Portfolio Characteristics as of April 29, 2016
VERO BEACH, Fla., May 11, 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 May 2016. The dividend of $0.14 per share will be paid May 31, 2016, to holders of record on May 26, 2016, with an ex-dividend date of May 24, 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 May 11, 2016, the Company had 21,783,356 shares outstanding. At March 31, 2016, the Company had 21,772,464 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of April 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
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 | Apr 2016 CPR | ||||||||||||
| Asset Category | Face | Value(1) | Price | Portfolio | Coupon | (Reported in May) | |||||||||||
| As of April 29, 2016 | |||||||||||||||||
| Adjustable Rate RMBS | $ | 1,989 | $ | 2,108 | 105.98 | 0.10 | % | 3.06 | % | 0.38 | % | ||||||
| 10-1 Hybrid Rate RMBS | 49,769 | 51,445 | 103.37 | 2.53 | % | 2.55 | % | 5.39 | % | ||||||||
| Hybrid Adjustable Rate RMBS | 49,769 | 51,445 | 103.37 | 2.53 | % | 2.55 | % | 5.39 | % | ||||||||
| 15 Year Fixed Rate RMBS | 94,854 | 100,655 | 106.12 | 4.96 | % | 3.28 | % | 5.88 | % | ||||||||
| 20 Year Fixed Rate RMBS | 300,854 | 324,956 | 108.01 | 16.00 | % | 4.00 | % | 9.59 | % | ||||||||
| 30 Year Fixed Rate RMBS | 1,325,369 | 1,458,084 | 110.01 | 71.80 | % | 4.42 | % | 8.70 | % | ||||||||
| Total Fixed Rate RMBS | 1,721,077 | 1,883,695 | 109.45 | 92.76 | % | 4.29 | % | 8.70 | % | ||||||||
| Total Pass-through RMBS | 1,772,835 | 1,937,248 | 109.27 | 95.39 | % | 4.24 | % | 8.59 | % | ||||||||
| Interest-Only Securities | 523,712 | 55,064 | 10.51 | 2.71 | % | 3.62 | % | 15.39 | % | ||||||||
| Inverse Interest-Only Securities | 201,339 | 38,492 | 19.12 | 1.90 | % | 5.91 | % | 15.44 | % | ||||||||
| Structured RMBS | 725,051 | 93,556 | 12.90 | 4.61 | % | 4.57 | % | 15.40 | % | ||||||||
| Total Mortgage Assets | $ | 2,497,886 | $ | 2,030,804 | 100.00 | % | 4.26 | % | 10.59 | % | |||||||
| 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 April 29, 2016 | As of April 29, 2016 | ||||||||||||
| Fannie Mae | $ | 1,697,801 | 83.6 | % | Whole Pool Assets | $ | 1,578,214 | 77.7 | % | ||||
| Freddie Mac | 321,737 | 15.8 | % | Non Whole Pool Assets | 452,590 | 22.3 | % | ||||||
| Ginnie Mae | 11,266 | 0.6 | % | Total Mortgage Assets | $ | 2,030,804 | 100.0 | % | |||||
| Total Mortgage Assets | $ | 2,030,804 | 100.0 | % | |||||||||
(1) Amounts in the tables above include assets with a fair value of approximately $74.3 million purchased in April 2016 which settle in May 2016, and exclude assets with a fair value of $62.1 million sold in April 2016 which settle in May 2016.
| Borrowings By Counterparty | |||||||||
| ($ in thousands) | |||||||||
| Weighted | |||||||||
| % of | Average | ||||||||
| Total | Total | Maturity | Longest | ||||||
| As of April 29, 2016 | Borrowings(1) | Debt | in Days | Maturity | |||||
| Citigroup Global Markets Inc | $ | 275,577 | 14.9 | % | 66 | 7/11/2016 | |||
| South Street Securities, LLC | 181,039 | 9.7 | % | 5 | 5/16/2016 | ||||
| FHLB-Cincinnati | 144,698 | 7.7 | % | 41 | 7/6/2016 | ||||
| Cantor Fitzgerald & Co | 122,102 | 6.5 | % | 22 | 5/26/2016 | ||||
| Guggenheim Securities, LLC | 120,443 | 6.4 | % | 23 | 6/16/2016 | ||||
| Goldman, Sachs & Co | 118,858 | 6.4 | % | 46 | 6/15/2016 | ||||
| Wells Fargo Bank, N.A. | 106,905 | 5.7 | % | 14 | 5/18/2016 | ||||
| Natixis, New York Branch | 102,523 | 5.5 | % | 11 | 5/20/2016 | ||||
| Daiwa Securities America Inc. | 99,962 | 5.4 | % | 8 | 5/11/2016 | ||||
| KGS-Alpha Capital Markets, L.P | 88,298 | 4.7 | % | 64 | 7/18/2016 | ||||
| Mitsubishi UFJ Securities (USA), Inc | 87,498 | 4.7 | % | 55 | 7/18/2016 | ||||
| Merrill Lynch, Pierce, Fenner & Smith Inc | 84,666 | 4.5 | % | 19 | 5/18/2016 | ||||
| Nomura Securities International, Inc. | 71,614 | 3.8 | % | 43 | 6/13/2016 | ||||
| Mizuho Securities USA, Inc | 65,551 | 3.5 | % | 18 | 5/27/2016 | ||||
| ICBC Financial Services LLC | 62,623 | 3.4 | % | 73 | 7/11/2016 | ||||
| ED&F Man Capital Markets Inc | 59,125 | 3.2 | % | 3 | 5/2/2016 | ||||
| RBC Capital Markets, LLC | 41,573 | 2.2 | % | 13 | 5/12/2016 | ||||
| J.P. Morgan Securities LLC | 30,255 | 1.6 | % | 52 | 7/13/2016 | ||||
| Suntrust Robinson Humphrey, Inc | 4,198 | 0.2 | % | 7 | 5/6/2016 | ||||
| Total Borrowings | $ | 1,867,508 | 100.0 | % | 34 | 7/18/2016 | |||
(1) In April 2016, the Company purchased assets with a fair value of approximately $74.3 million which settle in May 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. In April 2016, the Company also sold assets with a fair value of approximately $62.1 million which settle in May 2016. The table above includes repurchase agreement borrowings of approximately $59.7 million which are collateralized by these sold securities.
| RMBS Risk Measures | ||||||||||||||||||
| ($ 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 April 29, 2016 | ||||||||||||||||||
| Adjustable Rate RMBS | $ | 2,108 | 2 | 10.05 | % | 2.00 | % | $ | 8 | $ | (8 | ) | ||||||
| Hybrid Adjustable Rate RMBS | 51,445 | 81 | 7.55 | % | 2.00 | % | 685 | (882 | ) | |||||||||
| Total Fixed Rate RMBS | 1,883,695 | n/a | n/a | n/a | 26,424 | (37,635 | ) | |||||||||||
| Total Pass-through RMBS | 1,937,248 | n/a | n/a | n/a | 27,117 | (38,525 | ) | |||||||||||
| Interest-Only Securities | 55,064 | n/a | n/a | n/a | (8,853 | ) | 7,263 | |||||||||||
| Inverse Interest-Only Securities | 38,492 | 1 | 6.35 | % | n/a | 376 | (1,347 | ) | ||||||||||
| Structured RMBS | 93,556 | n/a | n/a | n/a | (8,477 | ) | 5,916 | |||||||||||
| Total Mortgage Assets | $ | 2,030,804 | n/a | n/a | n/a | $ | 18,640 | $ | (32,609 | ) | ||||||||
| 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 | $ | 160,000 | Mar-2019 | $ | (1,933 | ) | $ | 3,000 | ||||||||||
| Treasury Futures Contracts - Short Positions | 185,000 | Jun-2026 | (8,300 | ) | 6,528 | |||||||||||||
| Payer Swaps | 600,000 | Feb-2020 | (11,116 | ) | 11,116 | |||||||||||||
| TBA Short Positions | 80,000 | May-2016 | (879 | ) | 1,283 | |||||||||||||
| Grand Total | $ | (3,588 | ) | $ | (10,682 | ) | ||||||||||||
(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 $130.06 at April 29, 2016. The nominal value of the short position was $240.6 million.