Orchid Island Capital Announces January 2014 Monthly Dividend and December 31, 2013 MBS Portfolio Characteristics

  • January 2014 Monthly Dividend of $0.18 Per Share
  • Estimated Book Value Per Share at December 31, 2013 of $13.40
  • MBS Portfolio Characteristics as of December 31, 2013

VERO BEACH, Fla., Jan. 9, 2014 (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 January 2014. The dividend of $0.18 per share will be paid January 31, 2014, to holders of record on January 27, 2014, with an ex-dividend date of January 23, 2014.

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 December 31, 2013 Book Value Per Share

The Company's estimated book value per share as of December 31, 2013 was $13.40. 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 December 31, 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 audit by the Company's independent registered public accounting firm.

MBS Portfolio Characteristics

Details of the MBS portfolio as of December 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 Dec 2013 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Jan)
As of December 31, 2013
Adjustable Rate MBS $ 4,935 $ 5,334 108.08 1.52% 3.92% 0.27%
10-1 Hybrid Rate MBS 76,952 76,118 98.92 21.67% 2.56% 2.63%
Hybrid Adjustable Rate MBS 76,952 76,118 98.92 21.67% 2.56% 2.63%
15 Year Fixed Rate MBS 21,817 22,284 102.14 6.34% 3.00% 1.29%
20 Year Fixed Rate MBS 30,743 31,400 102.14 8.94% 3.50% 1.78%
30 Year Fixed Rate MBS 183,537 191,839 104.52 54.63% 4.26% 3.91%
Total Fixed Rate MBS 236,097 245,523 103.99 69.91% 4.05% 3.39%
Total Pass-through MBS 317,984 326,975 102.83 93.10% 3.70% 3.16%
Interest-Only Securities 128,534 19,206 14.94 5.47% 4.39% 20.29%
Inverse Interest-Only Securities 37,678 5,042 13.38 1.43% 5.92% 12.94%
Structured MBS 166,212 24,248 14.59 6.90% 4.71% 18.62%
Total Mortgage Assets $ 484,196 $ 351,223 -- 100.00% 3.77% 8.47%
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 December 31, 2013 As of December 31, 2013
Fannie Mae $ 211,063 60.1% Whole Pool Assets $ 281,088 80.0%
Freddie Mac 121,842 34.7% Non Whole Pool Assets 70,135 20.0%
Ginnie Mae 18,318 5.2% Total Mortgage Assets $ 351,223 100.0%
Total Mortgage Assets $ 351,223 100.0%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
Weighted
% of Average
Total Total Maturity Longest
As of December 31, 2013 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $ 98,840 31.0% 11 1/15/2014
South Street Securities, LLC 49,411 15.5% 13 1/23/2014
Suntrust Robinson Humphrey, Inc 47,010 14.8% 10 1/10/2014
Cantor Fitzgerald & Co 39,185 12.3% 22 1/24/2014
Mizuho Securities USA, Inc 26,727 8.4% 9 1/13/2014
Morgan Stanley & Co 20,073 6.3% 13 1/13/2014
CRT Capital Group, LLC 15,146 4.8% 18 1/24/2014
KGS-Alpha Capital Markets, L.P 11,894 3.7% 16 1/24/2014
Goldman, Sachs & Co 10,155 3.2% 70 3/11/2014
Total Borrowings $ 318,441 100.0% 15 3/11/2014
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 December 31, 2013
Adjustable Rate MBS $ 5,334 4 10.13% 2.00% $ 13 $ (22)
Hybrid Adjustable Rate MBS 76,118 108 7.56% 2.00% 2,157 (2,444)
Total Fixed Rate MBS 245,523 n/a n/a n/a 6,385 (7,646)
Total Pass-through MBS 326,975 n/a n/a n/a 8,555 (10,112)
Interest-Only Securities 19,206 n/a n/a n/a (2,950) 2,070
Inverse Interest-Only Securities 5,042 2 6.08% n/a 183 (240)
Structured MBS 24,248 n/a n/a n/a (2,767) 1,830
Total Mortgage Assets $ 351,223 n/a n/a n/a $ 5,788 $ (8,282)
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 $ (4,816) $ 5,469
Grand Total $ 972 $ (2,813)

* 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