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Orchid Island Capital Announces January 2015 Monthly Dividend and December 31, 2014 RMBS Portfolio Characteristics

  • January 2015 Monthly Dividend of $0.18 Per Share
  • Estimated Book Value Per Share at December 31, 2014 of $13.05
  • Estimated 2.4% total return on equity for the quarter, or 9.6% annualized
  • RMBS Portfolio Characteristics as of December 31, 2014
  • Tax Characterization of 2014 Distributions 100% Ordinary Taxable Income

VERO BEACH, FL, Jan. 13, 2015 (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 January 2015. The dividend of $0.18 per share will be paid January 30, 2015, to holders of record on January 26, 2015, with an ex-dividend date of January 22, 2015.

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 January 13, 2015, the Company had 16,713,571 shares outstanding. At September 30, 2014, the Company had 13,024,449 shares outstanding.

Estimated December 31, 2014 Book Value Per Share

The Company's estimated book value per share as of December 31, 2014 was $13.05. The Company computes book value per share by dividing total stockholders' equity by the total number of shares outstanding of the Company's common stock. At December 31, 2014, the Company's preliminary estimated total stockholders' equity was approximately $218.0 million with 16,699,656 common shares outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to audit by the Company's independent registered public accounting firm.

Estimated Return on Equity

The Company's estimated total return on equity for the quarter ended December 31, 2014 was 2.4%, or 9.6% on an annualized basis. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company's stockholders' equity at the beginning of the quarter. The total return was $0.32 per share, comprised of dividends per share of $0.54 and a decrease in book value per share of $0.22 from September 30, 2014.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 2014 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's audited financial statements and associated footnotes as of and for the year ended December 31, 2014, are subject to audit by the Company's independent registered public accounting firm.

  • RMBS Assets by Agency
  • Investment Company Act of 1940 Whole Pool Test Results
  • Repurchase agreement exposure by counterparty
  • RMBS Risk Measures

2014 Dividend Tax Characteristics

The Company anticipates that its 2014 distributions of $2.16 per share consisted entirely of ordinary dividends and will be characterized as ordinary income. Stockholders will be notified of the proper tax characterization of the Company's dividends by way of IRS Form 1099-DIV. Due to the complex nature of the applicable tax rules, it is recommended that stockholders consult their tax advisors to ensure proper tax treatment of dividends received.

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 Dec 2014 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Jan)
As of December 31, 2014
Adjustable Rate RMBS $ 3,535 $ 3,794 107.33 0.24% 3.55% 0.01%
10-1 Hybrid Rate RMBS 69,159 70,400 101.79 4.55% 2.54% 5.52%
Hybrid Adjustable Rate RMBS 69,159 70,400 101.79 4.55% 2.54% 5.52%
15 Year Fixed Rate RMBS 78,715 83,429 105.99 5.39% 3.40% 8.31%
20 Year Fixed Rate RMBS 287,146 309,154 107.66 19.96% 4.00% 9.27%
30 Year Fixed Rate RMBS 930,639 1,020,010 109.60 65.83% 4.56% 8.02%
Total Fixed Rate RMBS 1,296,500 1,412,593 108.95 91.18% 4.37% 8.40%
Total Pass-through RMBS 1,369,194 1,486,787 108.59 95.97% 4.28% 8.10%
Interest-Only Securities 352,849 46,611 13.21 3.01% 3.95% 15.76%
Inverse Interest-Only Securities 104,027 15,773 15.16 1.02% 6.23% 20.50%
Structured RMBS 456,876 62,384 13.65 4.03% 4.52% 16.92%
Total Mortgage Assets $ 1,826,070 $ 1,549,171 100.00% 4.29% 10.53%
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 December 31, 2014 As of December 31, 2014
Fannie Mae $ 1,243,923 80.3% Whole Pool Assets $ 1,213,225 78.3%
Freddie Mac 296,203 19.1% Non Whole Pool Assets 335,946 21.7%
Ginnie Mae 9,045 0.6% Total Mortgage Assets $ 1,549,171 100.0%
Total Mortgage Assets $ 1,549,171 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of December 31, 2014 Borrowings Debt in Days Maturity
J.P. Morgan Securities LLC $ 200,816 14.1% 29 3/10/2015
Citigroup Global Markets Inc 187,955 13.1% 30 3/2/2015
Goldman, Sachs & Co 125,159 8.7% 60 3/11/2015
Mitsubishi UFJ Securities (USA), Inc 121,926 8.5% 10 1/23/2015
CRT Capital Group, LLC 116,903 8.1% 21 1/26/2015
ICBC Financial Services LLC 113,353 7.9% 28 2/10/2015
KGS-Alpha Capital Markets, L.P 109,510 7.6% 20 4/6/2015
Cantor Fitzgerald & Co 77,673 5.4% 13 1/20/2015
ED&F Man Capital Markets Inc 75,791 5.3% 37 3/23/2015
Morgan Stanley & Co 60,454 4.2% 16 1/16/2015
Mizuho Securities USA, Inc 56,294 3.9% 27 2/3/2015
Daiwa Securities America Inc. 50,602 3.5% 10 1/12/2015
Guggenheim Securities, LLC 49,951 3.5% 20 1/23/2015
South Street Securities, LLC 37,380 2.6% 29 2/5/2015
Suntrust Robinson Humphrey, Inc 32,208 2.2% 15 1/15/2015
Other 20,676 1.4% 50 2/19/2015
Barclays Capital, Inc -- -- -- --
Total Borrowings $ 1,436,651 100.0% 27 4/6/2015
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 December 31, 2014
Adjustable Rate RMBS $ 3,794 4 10.05% 2.00% $ 16 $ (19)
Hybrid Adjustable Rate RMBS 70,400 98 7.54% 2.00% 1,330 (1,602)
Total Fixed Rate RMBS 1,412,593 n/a n/a n/a 18,526 (26,830)
Total Pass-through RMBS 1,486,787 n/a n/a n/a 19,872 (28,451)
Interest-Only Securities 46,611 n/a n/a n/a (7,078) 6,365
Inverse Interest-Only Securities 15,773 0 6.39% n/a (757) 177
Structured RMBS 62,384 n/a n/a n/a (7,835) 6,542
Total Mortgage Assets $ 1,549,171 n/a n/a n/a $ 12,037 $ (21,909)
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 $ (13,087) $ 14,250
Payer Swaption 375,000 Sep-2025 (232) 725
Grand Total $ (1,282) $ (6,934)

(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