Orchid Island Capital Announces February 2016 Monthly Dividend and January 29, 2016 RMBS Portfolio Characteristics
February 10, 2016: 05:29 PM ET
February 2016 Monthly Dividend of $0.14 Per Share
RMBS Portfolio Characteristics as of January 29, 2016
1,216,243 cumulative shares repurchased through stock repurchase program
Tax Characterization of 2015 Distributions 100% Ordinary Taxable Income
VERO BEACH, Fla., Feb. 10, 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 February 2016. The dividend of $0.14 per share will be paid February 29, 2016, to holders of record on February 24, 2016, with an ex-dividend date of February 22, 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 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 February 10, 2016, the Company had 21,752,510 shares outstanding. At December 31, 2015, the Company had 21,745,490 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of January 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
2015 Dividend Tax Characteristics
The Company anticipates that its 2015 distributions of $1.92 per share consisted entirely of ordinary dividends and will be characterized as ordinary income. Stockholders will be notified of the proper tax characterization of the Company's dividends by way of IRS Form 1099-DIV. Due to the complex nature of the applicable tax rules, it is recommended that stockholders consult their tax advisors to ensure proper tax treatment of dividends received.
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2014.
RMBS Valuation Characteristics
($ in thousands)
Percentage
Weighted
Realized
Current
Fair
Current
of
Average
Jan 2016 CPR
Asset Category
Face
Value
Price
Portfolio
Coupon
(Reported in Feb)
As of January 29, 2016
Adjustable Rate RMBS
$
2,781
$
2,948
105.99
0.13
%
3.62
%
0.46
%
10-1 Hybrid Rate RMBS
51,157
52,670
102.96
2.30
%
2.55
%
4.41
%
Hybrid Adjustable Rate RMBS
51,157
52,670
102.96
2.30
%
2.55
%
4.41
%
15 Year Fixed Rate RMBS
98,039
103,627
105.70
4.53
%
3.28
%
5.16
%
20 Year Fixed Rate RMBS
425,252
458,200
107.75
20.02
%
4.00
%
4.57
%
30 Year Fixed Rate RMBS
1,438,041
1,571,409
109.27
68.67
%
4.37
%
5.83
%
Total Fixed Rate RMBS
1,961,332
2,133,236
108.76
93.22
%
4.24
%
5.52
%
Total Pass-through RMBS
2,015,270
2,188,854
108.61
95.65
%
4.20
%
5.49
%
Interest-Only Securities
522,485
58,675
11.23
2.56
%
3.62
%
10.44
%
Inverse Interest-Only Securities
212,212
40,812
19.23
1.79
%
5.93
%
12.55
%
Structured RMBS
734,697
99,487
13.54
4.35
%
4.57
%
11.05
%
Total Mortgage Assets
$
2,749,967
$
2,288,341
100.00
%
4.21
%
6.98
%
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 January 29, 2016
As of January 29, 2016
Fannie Mae
$
1,883,385
82.3
%
Whole Pool Assets
$
1,809,333
79.1
%
Freddie Mac
391,695
17.1
%
Non Whole Pool Assets
479,008
20.9
%
Ginnie Mae
13,261
0.6
%
Total Mortgage Assets
$
2,288,341
100.0
%
Total Mortgage Assets
$
2,288,341
100.0
%
(1) Amounts in the tables above include assets with a fair value of approximately $3.1 million purchased in January 2016 which settle in February 2016.
Borrowings By Counterparty
($ in thousands)
Weighted
% of
Average
Total
Total
Maturity
Longest
As of January 29, 2016
Borrowings(1)
Debt
in Days
Maturity
Citigroup Global Markets Inc
$
276,726
13.1
%
18
3/28/2016
South Street Securities, LLC
179,274
8.5
%
29
2/29/2016
ED&F Man Capital Markets Inc
149,338
7.1
%
41
3/24/2016
Wells Fargo Bank, N.A.
130,165
6.1
%
12
2/12/2016
ICBC Financial Services LLC
124,175
5.9
%
12
2/10/2016
Cantor Fitzgerald & Co
119,217
5.6
%
22
2/26/2016
Goldman, Sachs & Co
118,855
5.6
%
29
3/15/2016
Guggenheim Securities, LLC
118,027
5.6
%
15
2/29/2016
Mizuho Securities USA, Inc
117,454
5.5
%
21
4/25/2016
Mitsubishi UFJ Securities (USA), Inc
112,029
5.3
%
19
2/29/2016
Daiwa Securities America Inc.
107,033
5.1
%
10
2/11/2016
J.P. Morgan Securities LLC
106,840
5.0
%
20
3/14/2016
Natixis, New York Branch
103,904
4.9
%
14
2/22/2016
RBC Capital Markets, LLC
92,410
4.4
%
13
2/22/2016
Nomura Securities International, Inc.
86,831
4.1
%
15
2/25/2016
Merrill Lynch, Pierce, Fenner & Smith Inc
85,260
4.0
%
18
2/16/2016
KGS-Alpha Capital Markets, L.P
85,034
4.0
%
20
2/22/2016
Suntrust Robinson Humphrey, Inc
4,222
0.2
%
14
2/12/2016
Total Borrowings
$
2,116,794
100.0
%
20
4/25/2016
(1) In January 2016, the Company purchased assets with a fair value of approximately $3.1 million which settle in February 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
RMBS Risk Measures
($ 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 January 29, 2016
Adjustable Rate RMBS
$
2,948
3
10.04
%
2.00
%
$
18
$
(17
)
Hybrid Adjustable Rate RMBS
52,670
84
7.55
%
2.00
%
722
(914
)
Total Fixed Rate RMBS
2,133,236
n/a
n/a
n/a
30,124
(39,373
)
Total Pass-through RMBS
2,188,854
n/a
n/a
n/a
30,864
(40,304
)
Interest-Only Securities
58,675
n/a
n/a
n/a
(11,374
)
10,509
Inverse Interest-Only Securities
40,812
1
6.35
%
n/a
286
(1,143
)
Structured RMBS
99,487
n/a
n/a
n/a
(11,088
)
9,366
Total Mortgage Assets
$
2,288,341
n/a
n/a
n/a
$
19,776
$
(30,938
)
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
$
780,000
Mar-2019
$
(10,219
)
$
14,625
Treasury Futures Contracts - Short Positions
185,000
Mar-2026
(6,589
)
8,447
Short TBA
125,000
Feb-2016
(1,404
)
1,900
Grand Total
$
1,564
$
(5,966
)
(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 129.58 at January 31, 2016. The nominal value of the short position was $232.9 million.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
