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Orchid Island Capital, Inc. Announces the Declaration of the Monthly Dividend for May 2013 and Portfolio Summary as of April 30, 2013

VERO BEACH, Fla., May 9, 2013 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (NYSE MKT:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of May 2013. The dividend of $0.135 per share will be paid May 31, 2013, to holders of record on May 28, 2013, with an ex-dividend date of May 23, 2013.

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.

Details of the MBS Portfolio Performance

Details of the MBS portfolio as of April 30, 2013 are presented below. These figures are preliminary and subject to change. The information contained herein is an inter-quarter update created by the Company based upon information that the Company believes is accurate.

MBS Portfolio Characteristics

  • MBS Assets by Agency
  • Investment Company Act of 1940 Whole Pool Test Results
  • Repurchase agreement exposure by counter-party
  • MBS 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. intends to elect 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, 2012.

MBS Valuation Characteristics
(in thousands of $s)


Asset Category

Current
Face*

Fair
Value*

Current
Price

Percentage
of Portfolio

Weighted
Average Coupon

Realized April 2013 CPR
(Reported in May)*
As of April 30, 2013
Adjustable Rate MBS 5,968 6,469 108.39 1.76% 4.19% 0.87%
10-1 Hybrid Rate MBS 103,128 107,735 104.47 29.32% 2.61% 8.60%
Total Hybrid Adjustable Rate MBS 103,128 107,735 104.47 29.32% 2.61% 8.60%
10 Year Fixed Rate MBS 9,704 10,331 106.46 2.81% 3.00% 2.20%
15 Year Fixed Rate MBS 26,892 28,495 105.96 7.75% 3.10% 12.79%
20 Year Fixed Rate MBS 46,697 49,869 106.79 13.57% 3.34% 0.60%
30 Year Fixed Rate MBS 134,031 143,018 106.71 38.92% 3.41% 1.78%
Total Fixed Rate MBS 217,324 231,713 106.62 63.06% 3.34% 2.91%
Total Mortgage-backed Pass-through MBS 326,420 345,918 105.97 94.13% 3.13% 4.67%
Interest-Only Securities 162,357 19,334 11.91 5.26% 3.95% 27.58%
Inverse Interest-Only Securities 24,180 2,220 9.18 0.60% 6.15% 34.30%
Structured MBS 186,537 21,554 11.55 5.87% 4.17% 28.45%
Total Mortgage Assets 512,957 367,472 100.00% 3.19% 13.32%
* Amounts are as of April 30, 2013, and do not reflect pay-downs received in May. Prepayment speeds reported are not reflected in the current balance and fair value amounts.
MBS Assets by Agency
(in thousands of $s)
As of April 30, 2013 Fair
Value
Percentage
of Portfolio
Fannie Mae 174,767 47.6%
Freddie Mac 168,612 45.9%
Ginnie Mae 24,093 6.6%
Total Portfolio 367,472 100%
Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s)
As of April 30, 2013 Fair
Value
Percentage
of Portfolio
Whole Pool Assets 304,961 83.0%
Non Whole Pool Assets 62,511 17.0%
Total Portfolio 367,472 100%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
As of April 30, 2013
Total
Borrowings

% Of Total
Debt

Weighted Average
Maturity in Days

Longest
Maturity
Cantor Fitzgerald & Co 29,855 9.19% 5 5/20/2013
Citigroup Global Markets Inc 100,716 31.01% 31 6/10/2013
CRT Capital Group, LLC 65,820 20.26% 20 5/24/2013
KGS-Alpha Capital Markets, L.P 5,052 1.56% 1 5/1/2013
Mizuho Securities USA, Inc 15,405 4.74% 6 5/6/2013
Pierpont Securities, LLC 16,322 5.02% 52 6/21/2013
The PrinceRidge Group, LLC 35,934 11.06% 23 5/24/2013
South Street Securities, LLC 44,622 13.74% 14 5/24/2013
Suntrust Robinson Humphry, Inc 11,106 3.42% 17 5/17/2013
Total Borrowings* 324,832 100% 22 6/21/2013
* excludes 3,806 in borrowings of an asset which was sold on 4/26/13 and which subsequently settled on 5/1/13.
MBS Risk Measures
(in thousands of $s)


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*
Modeled Interest
Rate Sensitivity
+50 BPS*
As of April 30, 2013
Adjustable Rate MBS 6,469 1 10.04% 2.00% -3 -24
Total Hybrid Adjustable Rate MBS 103,128 114 7.61% 2.00% 843 -1,972
Total Fixed Rate MBS 217,324 n/a n/a n/a 5,291 -6,634
Total Mortgage-backed Pass-through MBS
326,921

n/a

n/a

n/a

6,131

-8,629
Interest-Only Securities 162,357 n/a n/a n/a -2,346 2,397
Inverse Interest-Only Securities
24,180

1

6.35%

n/a

-180

259
Structured MBS 186,537 n/a n/a n/a -2,526 2,657
Total Mortgage Assets 513,459 n/a n/a n/a 3,604 -5,973
(in thousands)
Notional Balance

Hedge Period End
Date
Modeled Interest Rate Sensitivity
-50 BPS*
Modeled Interest
Rate Sensitivity +50 BPS*
Funding Hedge 250,000 Mar-18 -3,756 5,938
Grand Total (152) (35)
* 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