Attached files
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| 8-K - ORC FORM 8-K 2016-02-10 - Orchid Island Capital, Inc. | orc8k20160210.htm |
EXHIBIT 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
FEBRUARY 2016 MONTHLY DIVIDEND AND
JANUARY 29, 2016 RMBS PORTFOLIO CHARACTERISTICS
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February 2016 Monthly Dividend of $0.14 Per Share
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RMBS Portfolio Characteristics as of January 29, 2016
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1,216,243 cumulative shares repurchased through stock repurchase program
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Tax Characterization of 2015 Distributions 100% Ordinary Taxable Income
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Vero Beach, Fla., February 10, 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 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:
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RMBS Valuation Characteristics
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RMBS Assets by Agency
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Investment Company Act of 1940 (Whole Pool) Test Results
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Repurchase Agreement Exposure by Counterparty
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RMBS Risk Measures
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2015 Dividend Tax Characteristics
The Company anticipates that its 2015 distributions of $1.92 per share consisted entirely of ordinary dividends and will be characterized as ordinary income. Stockholders will be notified of the proper tax characterization of the Company’s dividends by way of IRS Form 1099-DIV. Due to the complex nature of the applicable tax rules, it is recommended that stockholders consult their tax advisors to ensure proper tax treatment of dividends received.
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2014.
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RMBS Valuation Characteristics
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($ in thousands)
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Percentage
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Weighted
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Realized
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Current
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Fair
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Current
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of
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Average
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Jan 2016 CPR
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Asset Category
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Face
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Value
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Price
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Portfolio
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Coupon
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(Reported in Feb)
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As of January 29, 2016
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Adjustable Rate RMBS
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$ | 2,781 | $ | 2,948 | 105.99 | 0.13 | % | 3.62 | % | 0.46 | % | |||||||||||||
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10-1 Hybrid Rate RMBS
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51,157 | 52,670 | 102.96 | 2.30 | % | 2.55 | % | 4.41 | % | |||||||||||||||
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Hybrid Adjustable Rate RMBS
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51,157 | 52,670 | 102.96 | 2.30 | % | 2.55 | % | 4.41 | % | |||||||||||||||
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15 Year Fixed Rate RMBS
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98,039 | 103,627 | 105.70 | 4.53 | % | 3.28 | % | 5.16 | % | |||||||||||||||
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20 Year Fixed Rate RMBS
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425,252 | 458,200 | 107.75 | 20.02 | % | 4.00 | % | 4.57 | % | |||||||||||||||
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30 Year Fixed Rate RMBS
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1,438,041 | 1,571,409 | 109.27 | 68.67 | % | 4.37 | % | 5.83 | % | |||||||||||||||
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Total Fixed Rate RMBS
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1,961,332 | 2,133,236 | 108.76 | 93.22 | % | 4.24 | % | 5.52 | % | |||||||||||||||
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Total Pass-through RMBS
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2,015,270 | 2,188,854 | 108.61 | 95.65 | % | 4.20 | % | 5.49 | % | |||||||||||||||
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Interest-Only Securities
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522,485 | 58,675 | 11.23 | 2.56 | % | 3.62 | % | 10.44 | % | |||||||||||||||
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Inverse Interest-Only Securities
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212,212 | 40,812 | 19.23 | 1.79 | % | 5.93 | % | 12.55 | % | |||||||||||||||
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Structured RMBS
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734,697 | 99,487 | 13.54 | 4.35 | % | 4.57 | % | 11.05 | % | |||||||||||||||
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Total Mortgage Assets
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$ | 2,749,967 | $ | 2,288,341 | 100.00 | % | 4.21 | % | 6.98 | % | ||||||||||||||
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RMBS Assets by Agency
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Investment Company Act of 1940 (Whole Pool) Test
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($ in thousands)
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($ in thousands)
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Percentage
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Percentage
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Fair
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of
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Fair
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of
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Asset Category
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Value(1)
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Portfolio
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Asset Category
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Value(1)
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Portfolio
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As of January 29, 2016
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As of January 29, 2016
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Fannie Mae
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$ | 1,883,385 | 82.3 | % |
Whole Pool Assets
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$ | 1,809,333 | 79.1 | % | ||||||||
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Freddie Mac
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391,695 | 17.1 | % |
Non Whole Pool Assets
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479,008 | 20.9 | % | ||||||||||
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Ginnie Mae
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13,261 | 0.6 | % |
Total Mortgage Assets
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$ | 2,288,341 | 100.0 | % | |||||||||
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Total Mortgage Assets
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$ | 2,288,341 | 100.0 | % | |||||||||||||
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(1)
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Amounts in the tables above include assets with a fair value of approximately $3.1 million purchased in January 2016 which settle in February 2016.
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Borrowings By Counterparty
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($ in thousands)
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Weighted
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% of
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Average
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Total
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Total
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Maturity
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Longest
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As of January 29, 2016
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Borrowings(1)
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Debt
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in Days
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Maturity
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Citigroup Global Markets Inc
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$ | 276,726 | 13.1 | % | 18 |
3/28/2016
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South Street Securities, LLC
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179,274 | 8.5 | % | 29 |
2/29/2016
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ED&F Man Capital Markets Inc
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149,338 | 7.1 | % | 41 |
3/24/2016
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Wells Fargo Bank, N.A.
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130,165 | 6.1 | % | 12 |
2/12/2016
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ICBC Financial Services LLC
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124,175 | 5.9 | % | 12 |
2/10/2016
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Cantor Fitzgerald & Co
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119,217 | 5.6 | % | 22 |
2/26/2016
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Goldman, Sachs & Co
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118,855 | 5.6 | % | 29 |
3/15/2016
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Guggenheim Securities, LLC
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118,027 | 5.6 | % | 15 |
2/29/2016
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Mizuho Securities USA, Inc
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117,454 | 5.5 | % | 21 |
4/25/2016
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Mitsubishi UFJ Securities (USA), Inc
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112,029 | 5.3 | % | 19 |
2/29/2016
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Daiwa Securities America Inc.
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107,033 | 5.1 | % | 10 |
2/11/2016
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J.P. Morgan Securities LLC
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106,840 | 5.0 | % | 20 |
3/14/2016
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Natixis, New York Branch
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103,904 | 4.9 | % | 14 |
2/22/2016
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RBC Capital Markets, LLC
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92,410 | 4.4 | % | 13 |
2/22/2016
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Nomura Securities International, Inc.
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86,831 | 4.1 | % | 15 |
2/25/2016
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Merrill Lynch, Pierce, Fenner & Smith Inc
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85,260 | 4.0 | % | 18 |
2/16/2016
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KGS-Alpha Capital Markets, L.P
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85,034 | 4.0 | % | 20 |
2/22/2016
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Suntrust Robinson Humphrey, Inc
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4,222 | 0.2 | % | 14 |
2/12/2016
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Total Borrowings
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$ | 2,116,794 | 100.0 | % | 20 |
4/25/2016
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(1)
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In January 2016, the Company purchased assets with a fair value of approximately $3.1 million which settle in February 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
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RMBS Risk Measures
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($ in thousands)
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Mortgage Assets
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Weighted
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Average
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Weighted
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Weighted
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Modeled
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Modeled
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Months
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Average
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Average
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Interest
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Interest
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To Next
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Lifetime
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Periodic
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Rate
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Rate
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Fair
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Coupon Reset
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Cap
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Cap Per Year
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Sensitivity
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Sensitivity
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Asset Category
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Value
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(if applicable)
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(if applicable)
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(if applicable)
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(-50 BPS)(1)
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(+50 BPS)(1)
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As of January 29, 2016
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Adjustable Rate RMBS
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$ | 2,948 | 3 | 10.04 | % | 2.00 | % | $ | 18 | $ | (17 | ) | ||||||||||||
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Hybrid Adjustable Rate RMBS
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52,670 | 84 | 7.55 | % | 2.00 | % | 722 | (914 | ) | |||||||||||||||
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Total Fixed Rate RMBS
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2,133,236 | n/a | n/a | n/a | 30,124 | (39,373 | ) | |||||||||||||||||
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Total Pass-through RMBS
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2,188,854 | n/a | n/a | n/a | 30,864 | (40,304 | ) | |||||||||||||||||
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Interest-Only Securities
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58,675 | n/a | n/a | n/a | (11,374 | ) | 10,509 | |||||||||||||||||
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Inverse Interest-Only Securities
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40,812 | 1 | 6.35 | % | n/a | 286 | (1,143 | ) | ||||||||||||||||
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Structured RMBS
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99,487 | n/a | n/a | n/a | (11,088 | ) | 9,366 | |||||||||||||||||
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Total Mortgage Assets
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$ | 2,288,341 | n/a | n/a | n/a | $ | 19,776 | $ | (30,938 | ) | ||||||||||||||
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Funding Hedges
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Modeled
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Modeled
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Interest
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Interest
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Average
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Hedge
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Rate
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Rate
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Notional
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Period
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Sensitivity
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Sensitivity
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Balance(2)
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End Date
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(-50 BPS)(1)
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(+50 BPS)(1)
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Eurodollar Futures Contracts - Short Positions
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$ | 780,000 |
Mar-2019
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$ | (10,219 | ) | $ | 14,625 | ||||||||||||||||
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Treasury Futures Contracts - Short Positions
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185,000 |
Mar-2026
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(6,589 | ) | 8,447 | |||||||||||||||||||
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Short TBA Position
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125,000 |
Feb-2016
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(1,404 | ) | 1,900 | |||||||||||||||||||
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Grand Total
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$ | 1,564 | $ | (5,966 | ) | |||||||||||||||||||
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(1)
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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.
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(2)
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Treasury futures contracts were valued at 129.58 at January 31, 2016. The nominal value of the short position was $232.9 million.
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Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400