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Orchid Island Capital Announces August 2014 Monthly Dividend and July 31, 2014 RMBS Portfolio Characteristics

  • August 2014 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of July 31, 2014

VERO BEACH, Fla., Aug. 12, 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 August 2014. The dividend of $0.18 per share will be paid August 29, 2014, to holders of record on August 26, 2014, with an ex-dividend date of August 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 July 31, 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)
Asset Category Current
Face
Fair
Value
Current
Price
Percentage
of
Portfolio
Weighted
Average
Coupon
Realized
Jul 2014 CPR
(Reported in Aug)
As of July 31, 2014
Adjustable Rate RMBS $ 4,273 $ 4,642 108.62 0.51% 4.10% 51.56%
10-1 Hybrid Rate RMBS 73,204 73,604 100.55 8.01% 2.55% 16.28%
Hybrid Adjustable Rate RMBS 73,204 73,604 100.55 8.01% 2.55% 16.28%
15 Year Fixed Rate RMBS 82,411 86,636 105.13 9.43% 3.40% 4.25%
20 Year Fixed Rate RMBS 122,865 130,211 105.98 14.17% 3.93% 5.42%
30 Year Fixed Rate RMBS 519,642 565,575 108.84 61.55% 4.56% 4.42%
Total Fixed Rate RMBS 724,918 782,422 107.93 85.15% 4.33% 4.59%
Total Pass-through RMBS 802,395 860,668 107.26 93.67% 4.18% 6.03%
Interest-Only Securities 342,291 48,004 14.02 5.22% 4.12% 18.79%
Inverse Interest-Only Securities 70,567 10,145 14.38 1.11% 6.04% 16.13%
Structured RMBS 412,858 58,149 14.08 6.33% 4.46% 18.25%
Total Mortgage Assets $ 1,215,253 $ 918,817 100.00% 4.19% 9.93%
RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in thousands) ($ in thousands)
Asset Category Fair
Value
Percentage
of
Portfolio
Asset Category Fair
Value
Percentage
of
Portfolio
As of July 31, 2014 As of July 31, 2014
Fannie Mae $ 593,657 64.6% Whole Pool Assets $ 775,267 84.4%
Freddie Mac 314,922 34.3% Non Whole Pool Assets 143,550 15.6%
Ginnie Mae 10,238 1.1% Total Mortgage Assets $ 918,817 100.0%
Total Mortgage Assets $ 918,817 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
As of July 31, 2014 Total
Borrowings
% of
Total
Debt
Weighted
Average
Maturity
in Days
Longest
Maturity
Citigroup Global Markets Inc $ 155,708 19.3% 17 9/3/2014
Cantor Fitzgerald & Co 79,120 9.8% 36 9/12/2014
KGS-Alpha Capital Markets, L.P 76,265 9.5% 25 10/3/2014
CRT Capital Group, LLC 72,006 9.0% 25 8/29/2014
Morgan Stanley & Co 66,526 8.3% 19 8/19/2014
Mitsubishi UFJ Securities (USA), Inc 59,137 7.4% 6 8/25/2014
Goldman, Sachs & Co 55,894 6.9% 25 8/28/2014
ED&F Man Capital Markets Inc 52,691 6.5% 49 10/16/2014
J.P. Morgan Securities LLC 49,795 6.2% 69 10/8/2014
Mizuho Securities USA, Inc 43,678 5.4% 14 8/22/2014
South Street Securities, LLC 39,049 4.9% 17 8/28/2014
Suntrust Robinson Humphrey, Inc 24,748 3.1% 1 8/1/2014
Guggenheim Securities, LLC 16,058 2.0% 85 10/24/2014
Other 13,839 1.7% 43 9/12/2014
Total Borrowings $ 804,514 100.0% 27 10/24/2014
RMBS Risk Measures
($ in thousands)
Mortgage Assets
Asset Category Fair
Value
Weighted
Average
Months
To Next
Coupon Reset
(if applicable)
Weighted
Average
Lifetime
Cap
(if applicable)
Weighted
Average
Periodic
Cap Per Year
(if applicable)
Modeled
Interest
Rate
Sensitivity
(-50 BPS)(1)
Modeled
Interest
Rate
Sensitivity
(+50 BPS)(1)
As of July 31, 2014
Adjustable Rate RMBS $ 4,642 1 10.16% 2.00% $ 12 $ (21)
Hybrid Adjustable Rate RMBS 73,604 103 7.55% 2.00% 1,781 (2,078)
Total Fixed Rate RMBS 782,422 n/a n/a n/a 15,201 (20,471)
Total Pass-through RMBS 860,668 n/a n/a n/a 16,994 (22,570)
Interest-Only Securities 48,004 n/a n/a n/a (7,174) 6,395
Inverse Interest-Only Securities 10,145 1 6.19% n/a (588) 30
Structured RMBS 58,149 n/a n/a n/a (7,762) 6,425
Total Mortgage Assets $ 918,817 n/a n/a n/a $ 9,232 $ (16,145)
Funding Hedges
Average
Notional
Balance
Hedge
Period
End Date
Modeled
Interest
Rate
Sensitivity
(-50 BPS)(1)
Modeled
Interest
Rate
Sensitivity
(+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions $ 500,000 Dec-2018 $ (9,291) $ 10,479
Payer Swaption 175,000 Jul-2025 (1,756) 3,224
Grand Total $ (1,815) $ (2,442)
(1) 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