Orchid Island Capital Announces December 2014 Monthly Dividend and November 28, 2014 RMBS Portfolio Characteristics

  • December 2014 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of November 28, 2014

VERO BEACH, FL, Dec. 9, 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 December 2014. The dividend of $0.18 per share will be paid December 30, 2014, to holders of record on December 26, 2014, with an ex-dividend date of December 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 December 5, 2014, the Company had 16,270,773 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 November 28, 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)
Percentage Weighted Realized
Current Fair Current of Average Nov 2014 CPR
Asset Category Face1 Value1 Price Portfolio Coupon (Reported in Dec)
As of November 28, 2014
Adjustable Rate RMBS $ 3,546 $ 3,742 105.52 0.27% 3.52% 0.00%
10-1 Hybrid Rate RMBS 69,625 70,961 101.92 5.17% 2.54% 5.33%
Hybrid Adjustable Rate RMBS 69,625 70,961 101.92 5.17% 2.54% 5.33%
15 Year Fixed Rate RMBS 79,567 84,531 106.24 6.15% 3.40% 6.79%
20 Year Fixed Rate RMBS 242,424 261,221 107.75 19.00% 4.00% 2.60%
30 Year Fixed Rate RMBS 816,204 895,130 109.67 65.11% 4.57% 4.47%
Total Fixed Rate RMBS 1,138,195 1,240,882 109.02 90.26% 4.37% 4.22%
Total Pass-through RMBS 1,211,366 1,315,585 108.60 95.70% 4.27% 4.28%
Interest-Only Securities 329,707 42,398 12.86 3.08% 4.04% 13.59%
Inverse Interest-Only Securities 106,089 16,740 15.78 1.22% 6.23% 12.09%
Structured RMBS 435,796 59,138 13.57 4.30% 4.66% 13.22%
Total Mortgage Assets $ 1,647,162 $ 1,374,723 100.00% 4.28% 7.12%
(1) Amounts include assets with a fair value of approximately $44.5 million purchased in November 2014 which settle in December 2014.
RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in thousands) ($ in thousands)
Percentage Percentage
Fair of Fair of
Asset Category Value Portfolio Asset Category Value Portfolio
As of November 28, 2014 As of November 28, 2014
Fannie Mae $ 1,052,459 76.6% Whole Pool Assets $ 1,077,791 78.4%
Freddie Mac 313,248 22.7% Non Whole Pool Assets 296,932 21.6%
Ginnie Mae 9,016 0.7% Total Mortgage Assets $ 1,374,723 100.0%
Total Mortgage Assets $ 1,374,723 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of November 28, 2014 Borrowings1 Debt in Days Maturity
J.P. Morgan Securities LLC $ 190,001 15.3% 63 3/10/2015
Citigroup Global Markets Inc 178,474 14.5% 32 2/4/2015
CRT Capital Group, LLC 116,903 9.5% 54 1/26/2015
KGS-Alpha Capital Markets, L.P 109,673 8.9% 44 4/6/2015
Mitsubishi UFJ Securities (USA), Inc 89,133 7.3% 43 1/23/2015
Cantor Fitzgerald & Co 78,215 6.4% 26 1/20/2015
ED&F Man Capital Markets Inc 75,916 6.2% 46 2/2/2015
Goldman, Sachs & Co 61,277 5.0% 83 2/19/2015
Morgan Stanley & Co 59,011 4.8% 19 12/17/2014
Guggenheim Securities, LLC 49,901 4.1% 45 1/23/2015
Barclays Capital Inc. 48,839 4.0% 26 12/24/2014
South Street Securities, LLC 37,501 3.1% 38 1/26/2015
Daiwa Securities America Inc. 32,747 2.7% 14 12/12/2014
Suntrust Robinson Humphrey, Inc 32,225 2.6% 3 12/1/2014
Mizuho Securities USA, Inc 25,115 2.0% 51 1/26/2015
ICBC Financial Services LLC 23,494 1.9% 55 1/22/2015
Other 20,676 1.7% 83 2/19/2015
Total Borrowings $ 1,229,101 100.0% 44 4/6/2015
(1) In November 2014, the Company purchased assets with a fair value of approximately $44.5 million which settle in December 2014 that are expected to be funded by repurchase agreements.
RMBS Risk Measures
($ 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 November 28, 2014
Adjustable Rate RMBS $ 3,742 5 10.05% 2.00% $ 16 $ (22)
Hybrid Adjustable Rate RMBS 70,961 99 7.54% 2.00% 1,373 (1,656)
Total Fixed Rate RMBS 1,240,882 n/a n/a n/a 18,279 (26,137)
Total Pass-through RMBS 1,315,585 n/a n/a n/a 19,668 (27,815)
Interest-Only Securities 42,398 n/a n/a n/a (6,397) 5,800
Inverse Interest-Only Securities 16,740 1 6.39% n/a (823) 137
Structured RMBS 59,138 n/a n/a n/a (7,220) 5,937
Total Mortgage Assets $ 1,374,723 n/a n/a n/a $ 12,448 $ (21,878)
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 $ 760,000 Dec-2018 $ (12,804) $ 14,250
Payer Swaption 375,000 Sep-2025 (340) 929
Grand Total $ (696) $ (6,699)
(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