- September 2015 Monthly Dividend of $0.14 Per Share
- RMBS Portfolio Characteristics as of August 31, 2015
- 1,020,841 cumulative shares repurchased through stock repurchase program
VERO BEACH, Fla., Sept. 14, 2015 (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 2015. The dividend of $0.14 per share will be paid September 30, 2015, to holders of record on September 25, 2015, with an ex-dividend date of September 23, 2015.
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 September 14, 2015, the Company had 21,941,652 shares outstanding, including 78,109 shares repurchased pursuant to the Company's stock repurchase program through that date that have not yet settled. At June 30, 2015, the Company had 22,959,817 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of August 31, 2015 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, 2014.
| RMBS Valuation Characteristics | ||||||||||||
| ($ in thousands) | ||||||||||||
| Percentage | Weighted | Realized | ||||||||||
| Current | Fair | Current | of | Average | Aug 2015 CPR | |||||||
| Asset Category | Face | Value(1) | Price | Portfolio | Coupon | (Reported in Sep) | ||||||
| As of August 31, 2015 | ||||||||||||
| Adjustable Rate RMBS | $ 2,895 | $ 3,097 | 106.98 | 0.16% | 3.49% | 0.25% | ||||||
| 10-1 Hybrid Rate RMBS | 53,954 | 55,148 | 102.21 | 2.76% | 2.56% | 6.40% | ||||||
| Hybrid Adjustable Rate RMBS | 53,954 | 55,148 | 102.21 | 2.76% | 2.56% | 6.40% | ||||||
| 15 Year Fixed Rate RMBS | 103,027 | 108,438 | 105.25 | 5.44% | 3.28% | 5.24% | ||||||
| 20 Year Fixed Rate RMBS | 323,379 | 347,594 | 107.49 | 17.45% | 4.00% | 2.38% | ||||||
| 30 Year Fixed Rate RMBS | 1,264,666 | 1,366,643 | 108.06 | 68.60% | 4.24% | 4.21% | ||||||
| Total Fixed Rate RMBS | 1,691,072 | 1,822,675 | 107.78 | 91.49% | 4.13% | 3.98% | ||||||
| Total Pass-through RMBS | 1,747,921 | 1,880,920 | 107.61 | 94.41% | 4.09% | 4.05% | ||||||
| Interest-Only Securities | 549,008 | 68,385 | 12.46 | 3.43% | 3.60% | 14.53% | ||||||
| Inverse Interest-Only Securities | 194,792 | 42,924 | 22.04 | 2.16% | 6.19% | 15.08% | ||||||
| Structured RMBS | 743,800 | 111,309 | 14.96 | 5.59% | 4.60% | 14.67% | ||||||
| Total Mortgage Assets | $ 2,491,721 | $ 1,992,229 | 100.00% | 4.12% | 7.30% | |||||||
| 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 August 31, 2015 | As of August 31, 2015 | |||||||||||
| Fannie Mae | $ 1,633,634 | 82.0% | Whole Pool Assets | $ 1,646,065 | 82.6% | |||||||
| Freddie Mac | 340,185 | 17.1% | Non Whole Pool Assets | 346,164 | 17.4% | |||||||
| Ginnie Mae | 18,410 | 0.9% | Total Mortgage Assets | $ 1,992,229 | 100.0% | |||||||
| Total Mortgage Assets | $ 1,992,229 | 100.0% | ||||||||||
| (1) Amounts in the tables above include assets with a fair value of approximately $66.0 million purchased in August 2015 which settle in September 2015, and excludes assets with a fair value of $174.2 million sold in August 2015 which settle in September 2015. | ||||||||||||
| Repurchase Agreement Exposure By Counterparty | ||||||||
| ($ in thousands) | ||||||||
| Weighted | ||||||||
| % of | Average | |||||||
| Total | Total | Maturity | Longest | |||||
| As of August 31, 2015 | Borrowings(1) | Debt | in Days | Maturity | ||||
| ED&F Man Capital Markets Inc | $ 178,475 | 9.2% | 17 | 10/6/2015 | ||||
| Goldman, Sachs & Co | 159,425 | 8.2% | 15 | 9/17/2015 | ||||
| Cantor Fitzgerald & Co | 148,439 | 7.7% | 13 | 9/17/2015 | ||||
| J.P. Morgan Securities LLC | 122,239 | 6.3% | 12 | 9/29/2015 | ||||
| Merrill Lynch, Pierce, Fenner & Smith Inc | 119,580 | 6.2% | 14 | 9/14/2015 | ||||
| Wells Fargo Bank, N.A. | 116,088 | 6.0% | 13 | 9/14/2015 | ||||
| Mizuho Securities USA, Inc | 115,925 | 6.0% | 11 | 9/22/2015 | ||||
| Citigroup Global Markets Inc | 115,904 | 6.0% | 15 | 9/25/2015 | ||||
| ICBC Financial Services LLC | 115,643 | 6.0% | 15 | 9/18/2015 | ||||
| Mitsubishi UFJ Securities (USA), Inc | 110,189 | 5.7% | 24 | 10/30/2015 | ||||
| KGS-Alpha Capital Markets, L.P | 103,162 | 5.3% | 9 | 9/16/2015 | ||||
| RBC Capital Markets, LLC | 101,823 | 5.3% | 32 | 10/14/2015 | ||||
| Nomura Securities International, Inc. | 98,279 | 5.1% | 20 | 9/30/2015 | ||||
| South Street Securities, LLC | 90,908 | 4.7% | 14 | 9/21/2015 | ||||
| Daiwa Securities America Inc. | 81,520 | 4.2% | 10 | 9/14/2015 | ||||
| Morgan Stanley & Co | 53,445 | 2.8% | 9 | 9/9/2015 | ||||
| CRT Capital Group, LLC | 45,721 | 2.4% | 19 | 9/25/2015 | ||||
| Guggenheim Securities, LLC | 42,268 | 2.2% | 52 | 11/30/2015 | ||||
| Barclays Capital Inc | 10,159 | 0.5% | 14 | 9/14/2015 | ||||
| Suntrust Robinson Humphrey, Inc | 4,374 | 0.2% | 25 | 9/25/2015 | ||||
| Total Borrowings | $ 1,933,566 | 100.0% | 16 | 11/30/2015 | ||||
| (1) In August 2015, the Company purchased assets with a fair value of approximately $66.0 million which settle in September 2015 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. | ||||||||
| RMBS Risk Measures | ||||||||||||
| ($ 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 August 31, 2015 | ||||||||||||
| Adjustable Rate RMBS | $ 3,097 | 6 | 10.06% | 2.00% | $ 19 | $ (20) | ||||||
| Hybrid Adjustable Rate RMBS | 55,148 | 89 | 7.56% | 2.00% | 931 | (1,100) | ||||||
| Total Fixed Rate RMBS | 1,822,675 | n/a | n/a | n/a | 31,660 | (41,943) | ||||||
| Total Pass-through RMBS | 1,880,920 | n/a | n/a | n/a | 32,610 | (43,063) | ||||||
| Interest-Only Securities | 68,385 | n/a | n/a | n/a | (11,465) | 9,534 | ||||||
| Inverse Interest-Only Securities | 42,924 | 1 | 6.39% | n/a | (308) | (1,028) | ||||||
| Structured RMBS | 111,309 | n/a | n/a | n/a | (11,773) | 8,506 | ||||||
| Total Mortgage Assets | $ 1,992,229 | n/a | n/a | n/a | $ 20,837 | $ (34,557) | ||||||
| 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 | $ 916,667 | Mar-2019 | $ (14,536) | $ 17,188 | ||||||||
| Treasury Futures Contracts - Short Positions | 185,000 | Dec-2025 | (7,658) | 7,112 | ||||||||
| Payer Swaption | 100,000 | Sep-2025 | -- | 2 | ||||||||
| Grand Total | $ (1,357) | $ (10,255) | ||||||||||
| (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 127-02 at August 31, 2015. The nominal value of the short position was $235.1 million. | ||||||||||||