×

Orchid Island Capital Announces March 2015 Monthly Dividend and February 27, 2015 RMBS Portfolio Characteristics

  • March 2015 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of February 27, 2015

VERO BEACH, Fla., March 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 March 2015. The dividend of $0.18 per share will be paid March 31, 2015, to holders of record on March 27, 2015, with an ex-dividend date of March 25, 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 March 10, 2015, the Company had 16,774,498 shares outstanding. At December 31, 2014, the Company had 16,699,656 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 27, 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, 2014.

RMBS Valuation Characteristics
($ in thousands)
Asset Category Current
Face
Fair
Value
Current
Price
Percentage
of
Portfolio
Weighted
Average
Coupon
Realized
Feb 2015 CPR
(Reported in Mar)
As of February 27, 2015
Adjustable Rate RMBS $ 3,513 $ 3,762 107.08 0.24% 3.55% 0.00%
10-1 Hybrid Rate RMBS 67,795 69,488 102.50 4.53% 2.54% 1.05%
Hybrid Adjustable Rate RMBS 67,795 69,488 102.50 4.53% 2.54% 1.05%
15 Year Fixed Rate RMBS 77,050 82,056 106.50 5.34% 3.40% 2.89%
20 Year Fixed Rate RMBS 280,710 304,048 108.31 19.80% 4.00% 8.23%
30 Year Fixed Rate RMBS 913,250 1,002,205 109.74 65.27% 4.56% 11.02%
Total Fixed Rate RMBS 1,271,010 1,388,309 109.23 90.41% 4.37% 9.90%
Total Pass-through RMBS 1,342,318 1,461,559 108.88 95.18% 4.28% 9.42%
Interest-Only Securities 496,966 58,551 11.78 3.81% 3.74% 13.39%
Inverse Interest-Only Securities 99,304 15,511 15.62 1.01% 6.22% 15.82%
Structured RMBS 596,270 74,062 12.42 4.82% 4.26% 13.90%
Total Mortgage Assets $ 1,938,588 $ 1,535,621 100.00% 4.28% 10.60%
RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in thousands) ($ in thousands)
Asset Category Fair
Value
Percentage
of
Portfolio
Asset Category Fair
Value
Percentage
of
Portfolio
As of February 27, 2015 As of February 27, 2015
Fannie Mae $ 1,232,279 80.2% Whole Pool Assets $ 1,196,104 77.9%
Freddie Mac 288,339 18.8% Non Whole Pool Assets 339,517 22.1%
Ginnie Mae 15,003 1.0% Total Mortgage Assets $ 1,535,621 100.0%
Total Mortgage Assets $ 1,535,621 100.0%
Repurchase Agreement Exposure By Counterparty
($ in thousands)
As of February 27, 2015 Total
Borrowings
% of
Total
Debt
Weighted
Average
Maturity
in Days
Longest
Maturity
J.P. Morgan Securities LLC $ 199,837 13.9% 26 4/14/2015
Citigroup Global Markets Inc 187,066 12.9% 22 5/28/2015
CRT Capital Group, LLC 140,684 9.7% 20 3/27/2015
Goldman, Sachs & Co 123,895 8.5% 16 3/19/2015
Mitsubishi UFJ Securities (USA), Inc 120,269 8.3% 24 4/2/2015
ICBC Financial Services LLC 113,076 7.8% 39 4/13/2015
KGS-Alpha Capital Markets, L.P 107,840 7.4% 17 4/6/2015
Cantor Fitzgerald & Co 76,360 5.3% 13 3/18/2015
ED&F Man Capital Markets Inc 74,673 5.1% 24 4/6/2015
Morgan Stanley & Co 59,812 4.1% 20 3/19/2015
Mizuho Securities USA, Inc 55,204 3.8% 11 3/26/2015
Guggenheim Securities, LLC 49,785 3.4% 35 5/18/2015
Daiwa Securities America Inc. 49,599 3.4% 31 4/13/2015
South Street Securities, LLC 36,821 2.5% 18 3/25/2015
Nomura Securities International, Inc. 31,380 2.2% 40 4/13/2015
Suntrust Robinson Humphrey, Inc 4,500 0.3% 14 3/13/2015
Barclays Capital, Inc -- -- -- --
Other 19,872 1.4% 20 3/19/2015
Total Borrowings $ 1,450,673 100.0% 23 5/28/2015
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 February 27, 2015
Adjustable Rate RMBS $ 3,762 3 10.05% 2.00% $ 20 $ (23)
Hybrid Adjustable Rate RMBS 69,488 96 7.54% 2.00% 1,066 (1,351)
Total Fixed Rate RMBS 1,388,309 n/a n/a n/a 19,204 (24,884)
Total Pass-through RMBS 1,461,559 n/a n/a n/a 20,290 (26,258)
Interest-Only Securities 58,551 n/a n/a n/a (10,996) 9,910
Inverse Interest-Only Securities 15,511 1 6.39% n/a (776) 246
Structured RMBS 74,062 n/a n/a n/a (11,772) 10,156
Total Mortgage Assets $ 1,535,621 n/a n/a n/a $ 8,518 $ (16,102)
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 $ 780,000 Dec-2018 $ (13,579) $ 14,625
Payer Swaption 375,000 Sep-2025 (396) 1,760
Grand Total $ (5,457) $ 283
(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