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Orchid Island Capital Announces June 2015 Monthly Dividend and May 29, 2015 RMBS Portfolio Characteristics

  • June 2015 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of May 29, 2015

VERO BEACH, Fla., June 9, 2015 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of June 2015. The dividend of $0.18 per share will be paid June 30, 2015, to holders of record on June 22, 2015, with an ex-dividend date of June 18, 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 June 9, 2015, the Company had 21,736,494 shares outstanding, including shares sold via the Company's at the market program through that date that have not yet settled. At March 31, 2015, the Company had 17,924,383 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 29, 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 REIT 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)
Percentage Weighted Realized
Current Fair Current of Average May 2015 CPR
Asset Category Face Value(1) Price Portfolio Coupon (Reported in Jun)
As of May 29, 2015
Adjustable Rate RMBS $ 3,236 $ 3,461 106.94 0.18% 3.64% 0.24%
10-1 Hybrid Rate RMBS 55,655 57,210 102.79 2.89% 2.56% 1.18%
Hybrid Adjustable Rate RMBS 55,655 57,210 102.79 2.89% 2.56% 1.18%
15 Year Fixed Rate RMBS 75,040 79,936 106.52 4.05% 3.40% 6.28%
20 Year Fixed Rate RMBS 325,741 351,107 107.79 17.80% 4.00% 4.71%
30 Year Fixed Rate RMBS 1,273,231 1,384,011 108.70 70.16% 4.33% 15.25%
Total Fixed Rate RMBS 1,674,012 1,815,054 108.43 92.01% 4.23% 12.05%
Total Pass-through RMBS 1,732,903 1,875,725 108.24 95.08% 4.18% 11.55%
Interest-Only Securities 556,052 69,590 12.52 3.53% 3.65% 16.87%
Inverse Interest-Only Securities 142,558 27,412 19.23 1.39% 6.13% 22.32%
Structured RMBS 698,610 97,002 13.89 4.92% 4.35% 17.64%
Total Mortgage Assets $ 2,431,513 $ 1,972,727 100.00% 4.19% 13.59%
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(1) Portfolio Asset Category Value(1) Portfolio
As of May 29, 2015 As of May 29, 2015
Fannie Mae $ 1,575,230 79.9% Whole Pool Assets $ 1,549,108 78.5%
Freddie Mac 377,652 19.1% Non Whole Pool Assets 423,619 21.5%
Ginnie Mae 19,845 1.0% Total Mortgage Assets $ 1,972,727 100.0%
Total Mortgage Assets $ 1,972,727 100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $88.1 million purchased in May 2015 which settle in June 2015.
Repurchase Agreement Exposure By Counterparty
($ in thousands)
Weighted
% of Average
Total Total Maturity Longest
As of May 29, 2015 Borrowings(1) Debt in Days Maturity
J.P. Morgan Securities LLC $ 247,483 14.2% 34 7/13/2015
RBC Capital Markets, LLC 154,266 8.8% 36 7/20/2015
Goldman, Sachs & Co 145,861 8.4% 16 6/17/2015
Citigroup Global Markets Inc 145,371 8.3% 22 8/26/2015
Mitsubishi UFJ Securities (USA), Inc 124,878 7.2% 29 7/20/2015
ICBC Financial Services LLC 124,114 7.1% 40 7/13/2015
Mizuho Securities USA, Inc 107,279 6.1% 18 7/20/2015
CRT Capital Group, LLC 106,623 6.1% 24 6/26/2015
KGS-Alpha Capital Markets, L.P 77,519 4.4% 16 6/26/2015
Cantor Fitzgerald & Co 73,454 4.2% 43 7/17/2015
Merrill Lynch, Pierce, Fenner & Smith Inc 71,761 4.1% 25 6/26/2015
Wells Fargo Bank, N.A. 67,304 3.9% 17 6/15/2015
ED&F Man Capital Markets Inc 66,358 3.8% 53 8/14/2015
Morgan Stanley & Co 56,292 3.2% 21 6/19/2015
Guggenheim Securities, LLC 48,781 2.8% 30 7/17/2015
Daiwa Securities America Inc. 47,395 2.7% 14 6/15/2015
South Street Securities, LLC 36,176 2.1% 19 6/26/2015
Nomura Securities International, Inc. 30,535 1.7% 33 7/13/2015
Barclays Capital Inc 10,222 0.6% 14 6/12/2015
Suntrust Robinson Humphrey, Inc 4,500 0.3% 7 6/5/2015
Total Borrowings $ 1,746,172 100.0% 28 8/26/2015
(1) In May 2015, the Company purchased assets with a fair value of approximately $88.1 million which settle in June 2015 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
RMBS Risk Measures
($ 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 May 29, 2015
Adjustable Rate RMBS $ 3,461 1 10.07% 2.00% $ 19 (20)
Hybrid Adjustable Rate RMBS 57,210 92 7.56% 2.00% 899 (1,118)
Total Fixed Rate RMBS 1,815,054 n/a n/a n/a 27,653 (36,889)
Total Pass-through RMBS 1,875,725 n/a n/a n/a 28,571 (38,027)
Interest-Only Securities 69,590 n/a n/a n/a (13,141) 11,804
Inverse Interest-Only Securities 27,412 1 6.31% n/a (370) (451)
Structured RMBS 97,002 n/a n/a n/a (13,511) 11,353
Total Mortgage Assets $ 1,972,727 n/a n/a n/a $ 15,060 $ (26,674)
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 $ 820,000 Dec-2018 $ (15,445) $ 17,625
Payer Swaption 275,000 Sep-2025 (67) 450
Grand Total $ (452) $ (8,599)
(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