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Orchid Island Capital Announces November 2014 Monthly Dividend and October 31, 2014 RMBS Portfolio Characteristics

  • November 2014 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of October 31, 2014

VERO BEACH, FL, Nov. 12, 2014 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of November 2014. The dividend of $0.18 per share will be paid November 28, 2014, to holders of record on November 25, 2014, with an ex-dividend date of November 21, 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 November 10, 2014, the Company had 14,491,063 shares outstanding, including shares sold via the Company's At-The-Market program through that date that have not yet settled. At September 30, 2014, the Company had 13,024,449 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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. has elected 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
Face1
Fair
Value1
Current
Price
Percentage
of
Portfolio
Weighted
Average
Coupon
Realized
Oct 2014 CPR
(Reported in Nov)
As of October 31, 2014
Adjustable Rate RMBS $ 3,557 $ 3,801 106.85 0.30% 3.54% 0.00%
10-1 Hybrid Rate RMBS 70,431 71,501 101.52 5.70% 2.54% 9.55%
Hybrid Adjustable Rate RMBS 70,431 71,501 101.52 5.70% 2.54% 9.55%
15 Year Fixed Rate RMBS 80,301 85,035 105.90 6.77% 3.40% 5.24%
20 Year Fixed Rate RMBS 216,517 232,069 107.18 18.49% 4.00% 1.31%
30 Year Fixed Rate RMBS 731,264 801,209 109.57 63.84% 4.58% 6.58%
Total Fixed Rate RMBS 1,028,082 1,118,313 108.78 89.10% 4.37% 5.52%
Total Pass-through RMBS 1,102,070 1,193,615 108.31 95.10% 4.25% 5.80%
Interest-Only Securities 336,827 43,893 13.03 3.50% 4.07% 14.09%
Inverse Interest-Only Securities 108,259 17,655 16.31 1.40% 6.23% 12.25%
Structured RMBS 445,086 61,548 13.83 4.90% 4.69% 13.62%
Total Mortgage Assets $ 1,547,156 $ 1,255,163 100.00% 4.28% 8.20%
(1) Amounts include assets with a fair value of approximately $10.0 million purchased in October 2014 which settle in November 2014.
RMBS Assets by Agency
($ in thousands)
Asset Category Fair
Value
Percentage
of
Portfolio
As of October 31, 2014
Fannie Mae $ 879,441 70.1%
Freddie Mac 366,573 29.2%
Ginnie Mae 9,148 0.7%
Total Mortgage Assets $ 1,255,162 100.0%
Investment Company Act of 1940 (Whole Pool) Test
($ in thousands)
Asset Category Fair
Value
Percentage
of
Portfolio
As of October 31, 2014
Whole Pool Assets $ 981,137 78.2%
Non Whole Pool Assets 274,025 21.8%
Total Mortgage Assets $ 1,255,162 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
As of October 31, 2014 Total
Borrowings1
% of
Total
Debt
Weighted
Average
Maturity
in Days
Longest
Maturity
J.P. Morgan Securities LLC $ 182,322 15.8% 79 3/10/2015
CRT Capital Group, LLC 108,316 9.5% 53 1/26/2015
Morgan Stanley & Co 89,565 7.8% 17 11/17/2014
Mitsubishi UFJ Securities (USA), Inc 89,116 7.8% 63 1/20/2015
Citigroup Global Markets Inc 83,356 7.3% 46 1/27/2015
KGS-Alpha Capital Markets, L.P 82,942 7.2% 47 4/6/2015
Cantor Fitzgerald & Co 79,223 6.9% 13 11/20/2014
ED&F Man Capital Markets Inc 72,859 6.4% 74 2/2/2015
Goldman, Sachs & Co 61,385 5.4% 25 11/26/2014
Guggenheim Securities, LLC 50,370 4.4% 21 11/24/2014
Barclays Capital Inc. 48,771 4.3% 24 11/24/2014
Mizuho Securities USA, Inc 42,015 3.7% 13 11/24/2014
South Street Securities, LLC 37,666 3.3% 16 11/26/2014
Daiwa Securities America Inc. 33,200 2.9% 12 11/12/2014
Suntrust Robinson Humphrey, Inc 32,225 2.8% 31 12/1/2014
ICBC Financial Services LLC 17,455 1.5% 83 1/22/2015
Other 33,927 3.0% 17 11/19/2014
Total Borrowings $ 1,144,713 100.0% 43 4/6/2015
(1) In October 2014, the Company purchased assets with a fair value of approximately $10.0 million which settle in November 2014 that are expected to be funded by repurchase agreements.
RMBS Risk Measures
($ 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 October 31, 2014
Adjustable Rate RMBS $ 3,801 5 10.05% 2.00% $ 16 $ (21)
Hybrid Adjustable Rate RMBS 71,501 100 7.54% 2.00% 1,474 (1,728)
Total Fixed Rate RMBS 1,118,313 n/a n/a n/a 18,484 (25,718)
Total Pass-through RMBS 1,193,615 n/a n/a n/a 19,974 (27,467)
Interest-Only Securities 43,893 n/a n/a n/a (5,680) 4,916
Inverse Interest-Only Securities 17,655 1 6.38% n/a (645) (170)
Structured RMBS 61,548 n/a n/a n/a (6,325) 4,746
Total Mortgage Assets $ 1,255,163 n/a n/a n/a $ 13,649 $ (22,721)
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 $ 541,720 Dec-2018 $ (8,604) $ 9,813
Payer Swaption 275,000 Sep-2025 (1,515) 3,637
Grand Total $ 3,530 $ (9,271)
(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