Orchid Island Capital, Inc. Announces the Declaration of the Monthly Dividend for June 2013 and Portfolio Summary as of May 31, 2013

VERO BEACH, Fla., June 10, 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 June 2013. The dividend of $0.135 per share will be paid June 28, 2013, to holders of record on June 25, 2013, with an ex-dividend date of June 21, 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 May 31, 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 May 2013 CPR
(Reported in June) *
As of May 31, 2013
Adjustable Rate MBS 5,949 6,448 108.39 1.86% 4.19% 28.30%
10-1 Hybrid Rate MBS 102,216 105,333 103.05 30.41% 2.61% 11.18%
Total Hybrid Adjustable Rate MBS 102,216 105,333 103.05 30.41% 2.61% 11.18%
10 Year Fixed Rate MBS 9,611 10,096 105.05 2.92% 3.00% 13.24%
15 Year Fixed Rate MBS 26,258 27,453 104.55 7.93% 3.10% 9.67%
20 Year Fixed Rate MBS 31,712 33,300 105.01 9.61% 3.50% 1.31%
30 Year Fixed Rate MBS 136,841 141,356 103.30 40.81% 3.40% 1.59%
Total Fixed Rate MBS 204,422 212,205 103.81 61.27% 3.36% 3.59%
Total Mortgage-backed Pass-through MBS 312,587 323,986 103.65 93.55% 3.13% 7.07%
Interest-Only Securities 156,985 20,224 12.88 5.84% 3.94% 22.71%
Inverse Interest-Only Securities 22,790 2,128 9.34 0.61% 6.16% 43.57%
Structured MBS 179,775 22,352 12.43 6.45% 4.15% 25.35%
Total Mortgage Assets 492,363 346,338 100.00% 3.20% 14.45%
* Amounts are as of May 31, 2013, and do not reflect pay-downs received in June. Prepayment speeds reported are not reflected in the current balance and fair value amounts.
MBS Assets by Agency
(in thousands of $s)
As of May 31, 2013 Fair
Value
Percentage
of Portfolio
Fannie Mae 202,890 58.6%
Freddie Mac 119,107 34.4%
Ginnie Mae 24,342 7.0%
Total Portfolio 346,338 100%
Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s)
As of May 31, 2013 Fair
Value
Percentage
of Portfolio
Whole Pool Assets 286,533 82.7%
Non Whole Pool Assets 59,805 17.3%
Total Portfolio 346,338 100%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
As of May 31, 2013 Total Borrowings % Of Total Debt Weighted
Average
Maturity in
Days
Longest
Maturity
Cantor Fitzgerald & Co 14,841 5.61% 8 6/19/2013
Citigroup Global Markets Inc 100,271 37.93% 26 7/30/2013
CRT Capital Group, LLC 22,132 8.37% 11 6/24/2013
KGS-Alpha Capital Markets, L.P 4,966 1.88% 31 7/1/2013
Mizuho Securities USA, Inc 15,516 5.87% 6 6/6/2013
Pierpont Securities, LLC 16,322 6.18% 21 6/21/2013
The PrinceRidge Group, LLC 35,319 13.36% 23 6/24/2013
South Street Securities, LLC 44,458 16.82% 14 6/24/2013
Suntrust Robinson Humphrey, Inc 10,509 3.98% 14 6/14/2013
Total Borrowings * 264,334 100% 19 7/30/2013
* excludes $56,683 of borrowings against assets which were sold on 5/28/13 and which are scheduled to settle on 6/13/13 and $45,097 of estimated borrowings against assets which were purchased on 5/29/13 and which are scheduled to settle on the same day.
MBS Risk Measures As of June 6, 2013*
(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 May 31, 2013
Adjustable Rate MBS 6,216 1 10.04% 2.00% 20 -35
Total Hybrid Adjustable Rate MBS 104,084 114 7.61% 2.00% 1,811 -2,437
Total Fixed Rate MBS 211,153 n/a n/a n/a 5,930 -6,548
Total Mortgage-backed Pass-through MBS 321,453 n/a n/a n/a 7,761 -9,020
Interest-Only Securities 18,539 n/a n/a n/a -1,754 1,372
Inverse Interest-Only Securities 2,035 1 6.36% n/a -191 173
Structured MBS 20,574 n/a n/a n/a -1,944 1,545
Total Mortgage Assets 342,027 n/a n/a n/a 5,817 -7,475
(in thousands) Notional Balance Hedge Period
End Date
Modeled Interest Rate Sensitivity
-50 BPS**
Modeled Interest
Rate Sensitivity +50 BPS**
Funding Hedge 250,000 Dec-18 -5,327 6,875
Grand Total 490 (600)
*Reflects June paydowns and trading activity between May 31, 2013 and June 6, 2013
** 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