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Orchid Island Capital Announces May 2014 Monthly Dividend and April 30, 2014 RMBS Portfolio Characteristics

  • May 2014 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of April 30, 2014

VERO BEACH, Fla., May 8, 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 May 2014. The dividend of $0.18 per share will be paid May 30, 2014, to holders of record on May 27, 2014, with an ex-dividend date of May 22, 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.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 2014 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:

  • 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 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, 2013.

RMBS Valuation Characteristics
(in thousands of $s)
Percentage Weighted Realized
Current Fair Current of Average Apr 2014 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in May)
As of April 30, 2014
Adjustable Rate RMBS $ 4,311 $ 4,664 108.18 0.55% 4.11% 0.18%
10-1 Hybrid Rate RMBS 75,625 75,735 100.15 8.96% 2.55% 2.94%
Hybrid Adjustable Rate RMBS 75,625 75,735 100.15 8.96% 2.55% 2.94%
15 Year Fixed Rate RMBS 84,544 88,777 105.01 10.50% 3.40% 6.55%
20 Year Fixed Rate RMBS 100,287 106,184 105.88 12.56% 3.92% 3.90%
30 Year Fixed Rate RMBS 484,509 525,163 108.39 62.15% 4.53% 6.34%
Total Fixed Rate RMBS 669,340 720,124 107.59 85.21% 4.30% 5.91%
Total Pass-through RMBS 749,276 800,523 106.84 94.72% 4.14% 5.51%
Interest-Only Securities 251,659 34,412 13.67 4.07% 4.33% 17.45%
Inverse Interest-Only Securities 75,602 10,179 13.46 1.21% 6.03% 15.34%
Structured RMBS 327,261 44,591 13.63 5.28% 4.72% 16.72%
Total Mortgage Assets $ 1,076,537 $ 845,114 -- 100.00% 4.17% 8.46%
RMBS 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 April 30, 2014 As of April 30, 2014
Fannie Mae $ 490,479 58.0% Whole Pool Assets $ 708,508 83.8%
Freddie Mac 329,275 39.0% Non Whole Pool Assets 136,606 16.2%
Ginnie Mae 25,360 3.0% Total Mortgage Assets $ 845,114 100.0%
Total Mortgage Assets $ 845,114 100.0%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
Weighted
% of Average
Total Total Maturity Longest
As of April 30, 2014 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $ 157,060 20.4% 76 7/28/2014
Cantor Fitzgerald & Co 80,608 10.5% 37 6/13/2014
KGS-Alpha Capital Markets, L.P 75,793 9.9% 34 10/3/2014
Goldman, Sachs & Co 68,974 9.0% 63 7/28/2014
Morgan Stanley & Co 66,373 8.6% 13 5/13/2014
CRT Capital Group, LLC 64,624 8.4% 36 6/30/2014
Mitsubishi UFJ Securities (USA), Inc 59,931 7.8% 20 7/25/2014
ED&F Man Capital Markets Inc 42,950 5.6% 45 7/16/2014
Mizuho Securities USA, Inc 41,808 5.4% 62 7/10/2014
South Street Securities, LLC 40,676 5.3% 15 5/27/2014
Suntrust Robinson Humphrey, Inc 40,087 5.2% 6 5/9/2014
J.P. Morgan Securities LLC 30,232 3.9% 71 7/10/2014
Total Borrowings $769,116 100.0% 44 10/3/2014
RMBS 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 April 30, 2014
Adjustable Rate RMBS $ 4,664 1 10.16% 2.00% $ 7 $ (16)
Hybrid Adjustable Rate RMBS 75,735 106 7.55% 2.00% 1,918 (2,272)
Total Fixed Rate RMBS 720,124 n/a n/a n/a 16,748 (21,083)
Total Pass-through RMBS 800,523 n/a n/a n/a 18,673 (23,371)
Interest-Only Securities 34,412 n/a n/a n/a (5,887) 5,467
Inverse Interest-Only Securities 10,179 -- 2.67% n/a (454) (110)
Structured RMBS 44,591 n/a n/a n/a (6,341) 5,357
Total Mortgage Assets $ 845,114 n/a n/a n/a $ 12,332 $ (18,014)
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 $ 391,600 Dec-2018 $ (7,485) $ 9,099
Payer Swaption 100,000 Mar-2020 (648) 1,286
Grand Total $ 4,199 $ (7,629)
* 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