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Orchid Island Capital Announces September 2014 Monthly Dividend and August 29, 2014 RMBS Portfolio Characteristics

  • September 2014 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of August 29, 2014

VERO BEACH, Fla., Sept. 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 September 2014. The dividend of $0.18 per share will be paid September 30, 2014, to holders of record on September 25, 2014, with an ex-dividend date of September 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.

As of September 5, 2014, the Company had 11,862,097 shares outstanding, including shares sold via the Company's At-The-Market program through that date that had not yet settled. At June 30, 2014, the Company had 9,632,108 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 29, 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)
Percentage Weighted Realized
Current Fair Current of Average Aug 2014 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Sep)
As of August 29, 2014
Adjustable Rate RMBS $ 3,578 $ 3,854 107.70 0.35% 3.80% 0.13%
10-1 Hybrid Rate RMBS 71,762 72,314 100.77 6.61% 2.55% 10.77%
Hybrid Adjustable Rate RMBS 71,762 72,314 100.77 6.61% 2.55% 10.77%
15 Year Fixed Rate RMBS 81,742 86,484 105.80 7.90% 3.40% 3.85%
20 Year Fixed Rate RMBS 129,296 138,319 106.98 12.64% 4.00% 9.35%
30 Year Fixed Rate RMBS 670,617 730,807 108.98 66.75% 4.55% 9.09%
Total Fixed Rate RMBS 881,655 955,610 108.39 87.29% 4.36% 8.50%
Total Pass-through RMBS 956,995 1,031,778 107.81 94.25% 4.24% 8.68%
Interest-Only Securities 334,386 44,806 13.40 4.09% 4.11% 19.77%
Inverse Interest-Only Securities 112,812 18,136 16.08 1.66% 6.23% 13.41%
Structured RMBS 447,198 62,942 14.07 5.75% 4.72% 18.47%
Total Mortgage Assets $ 1,404,193 $ 1,094,720 100.00% 4.26% 11.67%
RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in thousands) ($ in thousands)
Percentage Percentage
Fair of Fair of
Asset Category Value Portfolio Asset Category Value Portfolio
As of August 29, 2014 As of August 29, 2014
Fannie Mae $ 663,365 60.6% Whole Pool Assets $ 916,183 83.7%
Freddie Mac 421,507 38.5% Non Whole Pool Assets 178,537 16.3%
Ginnie Mae 9,848 0.9% Total Mortgage Assets $ 1,094,720 100.0%
Total Mortgage Assets $ 1,094,720 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of August 29, 2014 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $ 164,729 16.7% 20 11/6/2014
J.P. Morgan Securities LLC 148,539 15.0% 99 2/13/2015
Morgan Stanley & Co 91,526 9.3% 80 11/17/2014
KGS-Alpha Capital Markets, L.P 85,016 8.6% 36 11/24/2014
Daiwa Securities America Inc. 84,056 8.5% 59 11/24/2014
Cantor Fitzgerald & Co 78,841 8.0% 27 10/21/2014
Mitsubishi UFJ Securities (USA), Inc 58,818 5.9% 44 11/25/2014
Goldman, Sachs & Co 55,722 5.6% 50 10/27/2014
ED&F Man Capital Markets Inc 52,719 5.3% 84 2/2/2015
Mizuho Securities USA, Inc 42,769 4.3% 16 9/22/2014
South Street Securities, LLC 38,798 3.9% 18 9/26/2014
Suntrust Robinson Humphrey, Inc 32,474 3.3% 4 9/2/2014
CRT Capital Group, LLC 21,400 2.2% 14 9/12/2014
Guggenheim Securities, LLC 19,793 2.0% 46 10/24/2014
Other 13,839 1.4% 14 9/12/2014
Total Borrowings $ 989,039 100.0% 49 2/13/2015
RMBS Risk Measures
($ in thousands)
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)(1) (+50 BPS)(1)
As of August 29, 2014
Adjustable Rate RMBS $ 3,854 6 10.05% 2.00% $ 9 $ (16)
Hybrid Adjustable Rate RMBS 72,314 102 7.54% 2.00% 1,624 (1,938)
Total Fixed Rate RMBS 955,610 n/a n/a n/a 15,280 (22,206)
Total Pass-through RMBS 1,031,778 n/a n/a n/a 16,913 (24,160)
Interest-Only Securities 44,806 n/a n/a n/a (7,145) 7,064
Inverse Interest-Only Securities 18,136 1 6.39% n/a (1,215) 171
Structured RMBS 62,942 n/a n/a n/a (8,360) 7,235
Total Mortgage Assets $ 1,094,720 n/a n/a n/a $ 8,553 $ (16,925)
Funding Hedges
Modeled Modeled
Interest Interest
Average Hedge Rate Rate
Notional Period Sensitivity Sensitivity
Balance End Date (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions $ 500,000 Dec-2018 $ (8,912) $ 10,212
Payer Swaption 250,000 Aug-2025 (2,326) 4,537
Grand Total $ (2,685) $ (2,176)
(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