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Orchid Island Capital Announces November 2013 Monthly Dividend and October 31, 2013 MBS Portfolio Characteristics

  • November 2013 Monthly Dividend of $0.135 Per Share
  • MBS Portfolio Characteristics as of October 31, 2013

VERO BEACH, Fla., Nov. 12, 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 November 2013. The dividend of $0.135 per share will be paid November 27, 2013, to holders of record on November 25, 2013, with an ex-dividend date of November 21, 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.

MBS Portfolio Characteristics

Details of the MBS portfolio as of October 31, 2013 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.

  • 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 Oct 2013 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Nov)
As of October 31, 2013
Adjustable Rate MBS $ 5,672 $ 6,134 108.14 1.82% 4.02% 50.74%
10-1 Hybrid Rate MBS 77,986 78,352 100.47 23.21% 2.56% 6.02%
Hybrid Adjustable Rate MBS 77,986 78,352 100.47 23.21% 2.56% 6.02%
15 Year Fixed Rate MBS 22,204 23,104 104.06 6.84% 3.00% 8.24%
20 Year Fixed Rate MBS 31,062 32,268 103.88 9.56% 3.50% 4.87%
30 Year Fixed Rate MBS 166,120 174,754 105.20 51.77% 4.03% 5.71%
Total Fixed Rate MBS 219,386 230,126 104.90 68.17% 3.86% 5.85%
Total Pass-through MBS 303,044 314,612 103.82 93.20% 3.54% 6.73%
Interest-Only Securities 133,396 17,544 13.15 5.20% 4.30% 22.05%
Inverse Interest-Only Securities 39,730 5,422 13.65 1.60% 5.91% 18.12%
Structured MBS 173,126 22,966 13.27 6.80% 4.68% 21.15%
Total Mortgage Assets $ 476,170 $ 337,578 -- 100.00% 3.61% 11.97%
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 October 31, 2013 As of October 31, 2013
Fannie Mae $ 182,188 54.0% Whole Pool Assets $ 278,000 82.4%
Freddie Mac 136,612 40.5% Non Whole Pool Assets 59,578 17.7%
Ginnie Mae 18,778 5.6% Total Mortgage Assets $ 337,578 100.0%
Total Mortgage Assets $ 337,578 100.0%
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 $ 117,386 35.2% 10 11/22/2013
South Street Securities, LLC 49,432 14.8% 14 11/25/2013
Suntrust Robinson Humphry, Inc 46,056 13.8% 7 11/7/2013
Cantor Fitzgerald & Co 40,058 12.0% 22 11/25/2013
Mizuho Securities USA, Inc 26,557 8.0% 22 1/10/2014
Pierpont Securities, LLC 26,465 7.9% 12 11/12/2013
KGS-Alpha Capital Markets, L.P 12,706 3.8% 17 11/25/2013
Morgan Stanley 10,198 3.1% 7 11/7/2013
CRT Capital Group, LLC 4,536 1.4% 26 11/26/2013
Total Borrowings $ 333,394 100.0% 13 1/10/2014
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 October 31, 2013
Adjustable Rate MBS $ 6,134 4 10.05% 2.00% $ 60 $ (76)
Hybrid Adjustable Rate MBS 78,352 112 7.56% 2.00% 1,699 (2,093)
Total Fixed Rate MBS 230,126 n/a n/a n/a 5,247 (6,492)
Total Pass-through MBS 314,612 n/a n/a n/a 7,006 (8,661)
Interest-Only Securities 17,544 n/a n/a n/a (2,516) 2,082
Inverse Interest-Only Securities 5,422 1 6.08% n/a 41 (210)
Structured MBS 22,966 n/a n/a n/a (2,475) 1,872
Total Mortgage Assets $ 337,578 n/a n/a n/a $ 4,531 $ (6,789)
Funding Hedges
Modeled Modeled
Interest Interest
Average Hedge Rate Rate
Notional Period Sensitivity Sensitivity
Balance End Date (-50 BPS)* (+50 BPS)*
Eurodollar Futures Contracts - Short Positions $ 257,353 Dec-2018 $ (4,823) $ 5,469
Grand Total $ (292) $ (1,320)
* 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