August 2020 Monthly Dividend of $0.065 Per Share of Common Stock- RMBS Portfolio Characteristics as of
July 31, 2020 - Next Dividend Announcement Expected
September 16, 2020
The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.
As of
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 (
Whole Pool ) Test Results - Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon
RMBS Valuation Characteristics | |||||||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||||
Realized | Realized | ||||||||||||||||||||||||
May - Jul | Modeled | Modeled | |||||||||||||||||||||||
Net | Weighted | CPR | 2020 CPR | Interest | Interest | ||||||||||||||||||||
% | Weighted | Average | (1-Month) | (3-Month) | Rate | Rate | |||||||||||||||||||
Current | Fair | of | Current | Average | Maturity | (Reported | (Reported | Sensitivity | Sensitivity | ||||||||||||||||
Type | Face | Value(1) | Portfolio | Price | Coupon | GWAC | Age | (Months) | in Aug) | in Aug) | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||
Pass Through RMBS | |||||||||||||||||||||||||
Post Reset ARM | $ | 936 | $ | 971 | 0.03 | % | $ | 103.77 | 4.51 | % | 4.75 | % | 191 | 169 | 0.00 | % | 0.00 | % | $ | 2 | $ | (2 | ) | ||
Fixed Rate CMO | 148,531 | 159,208 | 4.38 | % | 107.19 | 4.00 | % | 4.40 | % | 36 | 319 | 17.73 | % | 21.73 | % | 270 | (119 | ) | |||||||
15yr 4.0 | 1,238 | 1,328 | 0.04 | % | 107.24 | 4.00 | % | 4.49 | % | 27 | 139 | 3.53 | % | 1.61 | % | 17 | (17 | ) | |||||||
15yr Total | 1,238 | 1,328 | 0.04 | % | 107.24 | 4.00 | % | 4.49 | % | 27 | 139 | 3.53 | % | 1.61 | % | 17 | (17 | ) | |||||||
20yr 2.5 | 150,000 | 157,906 | 4.34 | % | 105.27 | 2.50 | % | 3.34 | % | 1 | 239 | 1.24 | % | n/a | 215 | (453 | ) | ||||||||
20yr Total | 150,000 | 157,906 | 4.34 | % | 105.27 | 2.50 | % | 3.34 | % | 1 | 239 | 1.24 | % | n/a | 215 | (453 | ) | ||||||||
30yr 3.0 | 356,349 | 380,033 | 10.45 | % | 106.65 | 3.00 | % | 3.88 | % | 7 | 348 | 6.29 | % | 7.96 | % | 1,637 | (2,299 | ) | |||||||
30yr 3.5 | 1,421,763 | 1,563,289 | 42.98 | % | 109.95 | 3.50 | % | 4.00 | % | 9 | 347 | 8.89 | % | 9.14 | % | 14,027 | (18,544 | ) | |||||||
30yr 4.0 | 475,106 | 531,231 | 14.61 | % | 111.81 | 4.00 | % | 4.52 | % | 17 | 339 | 11.90 | % | 12.40 | % | 6,459 | (7,589 | ) | |||||||
30yr 4.5 | 302,397 | 340,954 | 9.37 | % | 112.75 | 4.50 | % | 5.01 | % | 16 | 342 | 18.81 | % | 17.04 | % | 2,879 | (3,157 | ) | |||||||
30yr 5.0 | 156,341 | 177,734 | 4.89 | % | 113.68 | 5.00 | % | 5.56 | % | 25 | 330 | 22.49 | % | 21.38 | % | 1,840 | (1,913 | ) | |||||||
30yr Total | 2,711,956 | 2,993,241 | 82.30 | % | 110.37 | 3.72 | % | 4.28 | % | 12 | 344 | 11.05 | % | 11.46 | % | 26,842 | (33,502 | ) | |||||||
Total Pass Through RMBS | 3,012,661 | 3,312,654 | 91.08 | % | 109.96 | 3.67 | % | 4.24 | % | 12 | 338 | 10.87 | % | 12.06 | % | 27,346 | (34,093 | ) | |||||||
Structured RMBS | |||||||||||||||||||||||||
329,362 | 31,046 | 0.85 | % | 9.43 | 4.00 | % | 4.59 | % | 73 | 273 | 39.79 | % | 37.73 | % | (839 | ) | 1,797 | ||||||||
Total Structured RMBS | 329,362 | 31,046 | 0.85 | % | 9.43 | 4.00 | % | 4.59 | % | 73 | 273 | 39.79 | % | 37.73 | % | (839 | ) | 1,797 | |||||||
Long TBA Positions | |||||||||||||||||||||||||
FNCL 2.5 TBA | 279,000 | 293,386 | 8.07 | % | 105.16 | 2.50 | % | 2,165 | (3,069 | ) | |||||||||||||||
Total Long TBA | 279,000 | 293,386 | 8.07 | % | 105.16 | 2.50 | % | 2,165 | (3,069 | ) | |||||||||||||||
Total Mortgage Assets | $ | 3,621,023 | $ | 3,637,086 | 100.00 | % | 3.61 | % | 4.27 | % | 18 | 331 | 13.81 | % | 15.06 | % | $ | 28,672 | $ | (35,365 | ) | ||||
Interest | Interest | ||||||||||||||||||||||||
Average | Hedge | Rate | Rate | ||||||||||||||||||||||
Notional | Period | Sensitivity | Sensitivity | ||||||||||||||||||||||
Hedge | Balance | End | (-50 BPS)(2) | (+50 BPS)(2) | |||||||||||||||||||||
Eurodollar Futures | $ | (50,000 | ) | Dec-2021 | (375 | ) | 375 | ||||||||||||||||||
Swaps | (820,000 | ) | Apr-2025 | (16,509 | ) | 20,785 | |||||||||||||||||||
5-Year Treasury Futures | (69,000 | ) | Sep-2020(3) | (2,246 | ) | 2,190 | |||||||||||||||||||
Swaptions | (666,300 | ) | Oct-2021 | (2,848 | ) | 4,507 | |||||||||||||||||||
Hedge Total | $ | (1,605,300 | ) | $ | (21,978 | ) | $ | 27,857 | |||||||||||||||||
Rate Shock Grand Total | $ | 6,694 | $ | (7,508 | ) |
(1) Amounts in the tables above include assets with a fair value of approximately
(2) Modeled results from
(3) Five year treasury futures contracts were valued at prices of
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)(2) | Portfolio | Asset Category | Value(1)(2) | Portfolio | |||||
As of | As of | |||||||||
Fannie Mae | $ | 2,072,835 | 62.0 | % | Non-Whole Pool Assets | $ | 706,208 | 21.1 | % | |
Freddie Mac | 1,270,865 | 38.0 | % | Whole Pool Assets | 2,637,492 | 78.9 | % | |||
Total Mortgage Assets | $ | 3,343,700 | 100.0 | % | Total Mortgage Assets | $ | 3,343,700 | 100.0 | % | |
(1) Amounts in the tables above include assets with a fair value of approximately
(2) Amounts in the tables above exclude long TBA positions with a market value of approximately
Borrowings By Counterparty | ||||||||||
($ in thousands) | ||||||||||
Weighted | Weighted | |||||||||
% of | Average | Average | ||||||||
Total | Total | Repo | Maturity | Longest | ||||||
As of | Borrowings | Debt | Rate | in Days | Maturity | |||||
$ | 375,504 | 12.2 | % | 0.25 | % | 73 | ||||
320,812 | 10.4 | % | 0.25 | % | 12 | |||||
Merrill Lynch, Pierce, Fenner & Smith | 284,967 | 9.2 | % | 0.28 | % | 13 | ||||
266,174 | 8.6 | % | 0.28 | % | 44 | |||||
ABN AMRO Bank N.V. | 232,576 | 7.5 | % | 0.26 | % | 16 | ||||
230,880 | 7.5 | % | 0.25 | % | 16 | |||||
212,205 | 6.9 | % | 0.28 | % | 14 | |||||
208,584 | 6.8 | % | 0.27 | % | 16 | |||||
204,791 | 6.6 | % | 0.23 | % | 77 | |||||
189,233 | 6.1 | % | 0.25 | % | 45 | |||||
141,636 | 4.6 | % | 0.25 | % | 18 | |||||
78,951 | 2.6 | % | 0.29 | % | 22 | |||||
77,304 | 2.5 | % | 0.28 | % | 216 | |||||
Bank of Montreal | 73,269 | 2.4 | % | 0.25 | % | 13 | ||||
64,506 | 2.1 | % | 0.22 | % | 64 | |||||
58,089 | 1.9 | % | 0.31 | % | 13 | |||||
26,270 | 0.9 | % | 0.30 | % | 76 | |||||
25,445 | 0.8 | % | 0.29 | % | 10 | |||||
11,361 | 0.4 | % | 0.30 | % | 5 | |||||
Total Borrowings | $ | 3,082,557 | 100.0 | % | 0.26 | % | 37 |
Peer Performance
The tables below present total return data for the Company compared to a selected group of peers based on stock price performance for periods through
Portfolio Total Rate of Return Versus Peer Group Average - Stock Price Performance | |||
ORC Spread | |||
ORC | Over / (Under) | ||
Total Rate | Peer | Peer | |
of Return(1) | Average(1)(2) | Average(3) | |
Year to Date ( | (2.4)% | (25.4)% | 23.0% |
One Year Total Return | 3.3% | (16.7)% | 20.0% |
Two Year Total Return | (12.7)% | (20.1)% | 7.4% |
Three Year Total Return | (14.2)% | (23.2)% | 9.0% |
Four Year Total Return | (10.5)% | (15.1)% | 4.6% |
Five Year Total Return | 22.7% | (3.5)% | 26.2% |
Six Year Total Return | (5.4)% | (7.0)% | 1.6% |
Seven Year Total Return | 42.1% | 7.7% | 34.4% |
Inception to Date ( | 11.3% | (12.1)% | 23.4% |
Source:
(1) Total rate of return for each period is pulled from Bloomberg COMP page and includes reinvested dividends, for each period noted.
(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, DX, AI and CHMI.
(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.
Portfolio Total Rate of Return Versus Peer Group Average - Book Value Performance | |||
ORC Spread | |||
ORC | Over / (Under) | ||
Total Rate | Peer | Peer | |
of Return(1) | Average(1)(2) | Average(3) | |
Year to Date ( | (10.3)% | (20.4)% | 10.1% |
One Year Total Return | (7.9)% | (14.2)% | 6.3% |
Two Year Total Return | (10.0)% | (14.4)% | 4.4% |
Three Year Total Return | (8.0)% | (11.5)% | 3.5% |
Four Year Total Return | (6.3)% | (8.7)% | 2.4% |
Five Year Total Return | (4.2)% | (7.4)% | 3.2% |
Six Year Total Return | 7.4% | (3.7)% | 11.1% |
Inception to Date ( | 9.2% | (4.3)% | 13.5% |
Source:
(1) Total rate of return for each period is change in book value per share over the period plus dividends per share declared divided by the book value per share at the beginning of the period.
(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, ARR, DX, AI and CHMI.
(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.
(4) Peer book values are not available for the Company's true inception date (2/13/2013). Because all peer book values are not available as of the Company’s true inception date (2/13/2013), the starting point for all of the peer companies is 3/31/2013.
Contact:
Telephone: (772) 231-1400
Source:
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