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Orchid Island Capital Announces February 2015 Monthly Dividend and January 30, 2015 RMBS Portfolio Characteristics

  • February 2015 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of January 30, 2015

VERO BEACH, Fla., Feb. 10, 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 February 2015. The dividend of $0.18 per share will be paid February 27, 2015, to holders of record on February 25, 2015, with an ex-dividend date of February 23, 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 February 10, 2015, the Company had 16,727,811 shares outstanding. At December 31, 2014, the Company had 16,702,604 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 30, 2015 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 Jan 2015 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Feb)
As of January 30, 2015
Adjustable Rate RMBS $ 3,524 $ 3,776 107.15 0.24% 3.55% 0.00%
10-1 Hybrid Rate RMBS 68,634 70,604 102.87 4.53% 2.54% 11.15%
Hybrid Adjustable Rate RMBS 68,634 70,604 102.87 4.53% 2.54% 11.15%
15 Year Fixed Rate RMBS 77,770 83,529 107.41 5.35% 3.40% 5.27%
20 Year Fixed Rate RMBS 284,556 307,037 107.90 19.67% 4.00% 11.60%
30 Year Fixed Rate RMBS 941,516 1,032,552 109.67 66.17% 4.56% 4.07%
Total Fixed Rate RMBS 1,303,842 1,423,118 109.15 91.19% 4.37% 5.81%
Total Pass-through RMBS 1,376,000 1,497,498 108.83 95.96% 4.28% 6.07%
Interest-Only Securities 415,187 48,664 11.72 3.12% 3.78% 12.54%
Inverse Interest-Only Securities 101,063 14,445 14.29 0.92% 6.20% 12.55%
Structured RMBS 516,250 63,109 12.22 4.04% 4.34% 12.54%
Total Mortgage Assets $ 1,892,250 $ 1,560,607 100.00% 4.28% 7.67%
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 January 30, 2015 As of January 30, 2015
Fannie Mae $ 1,256,874 80.5% Whole Pool Assets $ 1,226,028 78.6%
Freddie Mac 295,695 19.0% Non Whole Pool Assets 334,579 21.4%
Ginnie Mae 8,038 0.5% Total Mortgage Assets $ 1,560,607 100.0%
Total Mortgage Assets $ 1,560,607 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of January 30, 2015 Borrowings Debt in Days Maturity
J.P. Morgan Securities LLC $ 200,255 13.9% 15 3/10/2015
Citigroup Global Markets Inc 185,800 12.9% 15 4/27/2015
CRT Capital Group, LLC 141,627 9.8% 34 3/12/2015
Goldman, Sachs & Co 125,159 8.7% 30 3/11/2015
Mitsubishi UFJ Securities (USA), Inc 120,959 8.4% 18 3/9/2015
ICBC Financial Services LLC 113,198 7.9% 18 3/23/2015
KGS-Alpha Capital Markets, L.P 108,594 7.5% 15 4/6/2015
Cantor Fitzgerald & Co 76,524 5.3% 13 2/18/2015
ED&F Man Capital Markets Inc 74,705 5.2% 36 3/23/2015
Morgan Stanley & Co 60,344 4.2% 18 2/17/2015
Mizuho Securities USA, Inc 55,206 3.8% 10 2/26/2015
Daiwa Securities America Inc. 50,135 3.5% 10 2/11/2015
Guggenheim Securities, LLC 49,601 3.4% 21 2/23/2015
South Street Securities, LLC 37,805 2.6% 18 2/25/2015
Nomura Securities International, Inc. 16,716 1.2% 19 2/23/2015
Suntrust Robinson Humphrey, Inc 4,503 0.3% 14 2/13/2015
Barclays Capital, Inc -- -- -- --
Other 20,676 1.4% 20 2/19/2015
Total Borrowings $ 1,441,807 100.0% 20 4/27/2015
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 January 30, 2015
Adjustable Rate RMBS $ 3,776 3 10.05% 2.00% $ 15 $ (19)
Hybrid Adjustable Rate RMBS 70,604 97 7.53% 2.00% 1,055 (1,427)
Total Fixed Rate RMBS 1,423,118 n/a n/a n/a 15,485 (22,416)
Total Pass-through RMBS 1,497,498 n/a n/a n/a 16,555 (23,862)
Interest-Only Securities 48,664 n/a n/a n/a (9,585) 9,567
Inverse Interest-Only Securities 14,445 1 6.37% n/a (1,136) 571
Structured RMBS 63,109 n/a n/a n/a (10,721) 10,138
Total Mortgage Assets $ 1,560,607 n/a n/a n/a $ 5,834 $ (13,724)
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 $ 780,000 Dec-2018 $ (13,256) $ 14,625
Payer Swaption 375,000 Sep-2025 (210) 853
Grand Total $ (7,632) $ 1,754

(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