Orchid Island Capital Announces October 2013 Monthly Dividend and September 30, 2013 MBS Portfolio Characteristics

  • October 2013 Monthly Dividend of $0.135 Per Share
  • Estimated Book Value Per Share at September 30, 2013 of $13.41
  • MBS Portfolio Characteristics as of September 30, 2013

VERO BEACH, Fla., Oct. 10, 2013 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE MKT:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of October 2013. The dividend of $0.135 per share will be paid October 31, 2013, to holders of record on October 25, 2013, with an ex-dividend date of October 23, 2013.

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.

Estimated September 30, 2013 Book Value Per Share

The Company's estimated book value per share as of September 30, 2013 was $13.41. Book value per share is regularly used as a valuation metric by various equity analysts that follow the Company and may be deemed a non-GAAP financial measure pursuant to Regulation G. The Company computes book value per share by dividing total stockholders' equity by the total number of shares outstanding of the Company's Common Stock. At September 30, 2013, the Company's preliminary estimated total stockholders' equity was approximately $44.8 million with 3,341,665 Common shares outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

MBS Portfolio Characteristics

Details of the MBS portfolio as of September 30, 2013 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's unaudited financial statements and associated footnotes as of and for the three and nine month periods ended September 30, 2013, are subject to review by the Company's independent registered public accounting firm.

  • MBS Assets by Agency
  • Investment Company Act of 1940 Whole Pool Test Results
  • Repurchase agreement exposure by counterparty
  • MBS 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. intends to elect to be taxed as a real estate investment trust 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 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, 2012.

MBS Valuation Characteristics
(in thousands of $s)
Percentage Weighted Realized
Current Fair Current of Average Sep 2013 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Oct)
As of September 30, 2013
Adjustable Rate MBS $ 5,688 $ 6,150 108.13 1.85% 4.04% 0.14%
10-1 Hybrid Rate MBS 120,750 120,205 99.55 36.23% 2.56% 1.01%
Hybrid Adjustable Rate MBS 120,750 120,205 99.55 36.23% 2.56% 1.01%
15 Year Fixed Rate MBS 22,365 23,189 103.69 6.99% 3.00% 3.18%
20 Year Fixed Rate MBS 31,197 32,314 103.58 9.74% 3.50% 1.74%
30 Year Fixed Rate MBS 125,310 129,159 103.07 38.93% 3.76% 5.27%
Total Fixed Rate MBS 178,872 184,662 103.24 55.66% 3.62% 4.39%
Total Pass-through MBS 305,310 311,017 101.87 93.74% 3.22% 2.98%
Interest-Only Securities 114,326 15,371 13.44 4.63% 4.32% 19.97%
Inverse Interest-Only Securities 41,052 5,399 13.15 1.63% 5.91% 20.74%
Structured MBS 155,378 20,770 13.87 6.26% 4.73% 20.17%
Total Mortgage Assets $460,688 $331,787 100.00% 3.31% 8.78%
MBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s) (in thousands of $s)
Percentage Percentage
Fair of Fair of
Asset Category Value Portfolio Asset Category Value Portfolio
As of September 30, 2013 As of September 30, 2013
Fannie Mae $203,477 61.3% Whole Pool Assets $275,066 82.9%
Freddie Mac 107,876 32.5% Non Whole Pool Assets 56,721 17.1%
Ginnie Mae 20,434 6.2% Total Mortgage Assets $331,787 100.0%
Total Mortgage Assets $331,787 100.0%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
Weighted
% of Average
Total Total Maturity Longest
Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $118,674 40.2% 25 11/22/2013
South Street Securities, LLC 48,937 16.6% 27 11/5/2013
CRT Capital Group, LLC 28,740 9.7% 28 10/28/2013
The PrinceRidge Group, LLC 25,847 8.8% 25 10/25/2013
Mizuho Securities USA, Inc 25,442 8.6% 26 11/6/2013
Suntrust Robinson Humphry, Inc 24,532 8.3% 7 10/7/2013
Pierpont Securities, LLC 10,790 3.7% 16 10/16/2013
KGS-Alpha Capital Markets, L.P 7,819 2.6% 12 10/25/2013
Cantor Fitzgerald & Co 4,571 1.5% 18 10/18/2013
Total Borrowings $295,352 100.0% 23 11/22/2013
MBS Risk Measures
(in thousands of $s)
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)* (+50 BPS)*
As of September 30, 2013
Adjustable Rate MBS $ 6,150 5 10.05% 2.00% $ 62 $ (75)
Hybrid Adjustable Rate MBS 120,205 112 7.56% 2.00% 2,716 (3,224)
Total Fixed Rate MBS 184,662 n/a n/a n/a 4,920 (5,557)
Total Pass-through MBS 311,017 n/a n/a n/a 7,698 (8,856)
Interest-Only Securities 15,371 n/a n/a n/a (1,315) 979
Inverse Interest-Only Securities 5,399 1 6.09% n/a 52 (235)
Structured MBS 20,770 n/a n/a n/a (1,263) 744
Total Mortgage Assets $ 331,787 n/a n/a n/a $ 6,435 $ (8,112)
Funding Hedges
Modeled Modeled
Interest Interest
Hedge Rate Rate
Notional Period Sensitivity Sensitivity
Balance End Date (-50 BPS)* (+50 BPS)*
Eurodollar Futures Contracts - Short Positions $ 250,000 Dec-2018 $ (5,014) $ 5,469
Grand Total $ 1,421 $ (2,643)
* Modeled results from Citigroup Global Markets, Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR OAS.
* These results are for illustrative purposes only and actual results may differ materially.

CONTACT: Orchid Island Capital, Inc. Robert E. Cauley 3305 Flamingo Drive, Vero Beach, Florida 32963 Telephone: (772) 231-1400

Source:Orchid Island Capital