Orchid Island Capital Announces December 2013 Monthly Dividend and November 29, 2013 MBS Portfolio Characteristics

  • December 2013 Monthly Dividend of $0.18 Per Share
  • MBS Portfolio Characteristics as of November 29, 2013

VERO BEACH, Fla., Dec. 11, 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 December 2013. The dividend of $0.18 per share will be paid December 30, 2013, to holders of record on December 26, 2013, with an ex-dividend date of December 23, 2013. Based on year to date distributions, inclusive of the December distribution, and the Company's projected taxable income that will be earned through December 31, 2013, the Company anticipates it will have distributed to shareholders substantially all of its taxable income for the three and twelve month periods ended December 31, 2013. Projected taxable income through December 31, 2013 is based on management estimates only, and actual taxable income for the three and twelve month periods ended December 31, 2013, may differ.

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 November 29, 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 Nov 2013 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Dec)
As of November 29, 2013
Adjustable Rate MBS $ 4,949 $ 5,346 108.02 1.55% 3.92% 0.18%
10-1 Hybrid Rate MBS 77,470 77,505 100.04 22.46% 2.56% 5.64%
Hybrid Adjustable Rate MBS 77,470 77,505 100.04 22.46% 2.56% 5.64%
15 Year Fixed Rate MBS 21,937 22,662 103.30 6.57% 3.00% 1.07%
20 Year Fixed Rate MBS 30,841 31,852 103.28 9.23% 3.50% 0.32%
30 Year Fixed Rate MBS 174,101 183,583 105.45 53.22% 4.24% 2.78%
Total Fixed Rate MBS 226,879 238,097 104.94 69.02% 4.03% 2.29%
Total Pass-through MBS 309,298 320,948 103.77 93.03% 3.67% 3.08%
Interest-Only Securities 131,481 18,672 14.20 5.41% 4.38% 18.84%
Inverse Interest-Only Securities 38,669 5,385 13.93 1.56% 5.91% 15.62%
Structured MBS 170,150 24,057 14.14 6.97% 4.72% 18.11%
Total Mortgage Assets $ 479,448 $ 345,005 -- 100.00% 3.74% 8.35%
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 November 29, 2013 As of November 29, 2013
Fannie Mae $ 202,984 58.8% Whole Pool Assets $ 274,447 79.5%
Freddie Mac 123,471 35.8% Non Whole Pool Assets 70,558 20.5%
Ginnie Mae 18,550 5.4% Total Mortgage Assets $ 345,005 100.0%
Total Mortgage Assets $ 345,005 100.0%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
Weighted
% of Average
Total Total Maturity Longest
As of November 29, 2013 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $ 119,358 38.0% 33 1/14/2014
South Street Securities, LLC 49,981 15.9% 15 12/23/2013
Cantor Fitzgerald & Co 39,511 12.6% 23 12/24/2013
Suntrust Robinson Humphry, Inc 31,559 10.0% 3 12/2/2013
Mizuho Securities USA, Inc 26,698 8.5% 33 1/10/2014
Morgan Stanley & Co 20,088 6.4% 13 12/13/2013
CRT Capital Group, LLC 15,246 4.8% 29 1/24/2014
KGS-Alpha Capital Markets, L.P 11,929 3.8% 36 1/24/2014
Total Borrowings $ 314,370 100.0% 25 1/24/2014
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 November 29, 2013
Adjustable Rate MBS $ 5,346 4 10.13% 2.00% $ 11 $ (25)
Hybrid Adjustable Rate MBS 77,505 111 7.56% 2.00% 2,076 (2,490)
Total Fixed Rate MBS 238,097 n/a n/a n/a 5,476 (7,138)
Total Pass-through MBS 320,948 n/a n/a n/a 7,563 (9,653)
Interest-Only Securities 18,672 n/a n/a n/a (3,086) 2,628
Inverse Interest-Only Securities 5,385 1 6.08% n/a 169 (239)
Structured MBS 24,057 n/a n/a n/a (2,917) 2,389
Total Mortgage Assets $ 345,005 n/a n/a n/a $ 4,646 $ (7,264)
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 $ (4,530) $ 5,469
Grand Total $ 116 $ (1,795)

* 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