Orchid Island Capital Announces August 2013 Monthly Dividend and July 31, 2013 MBS Portfolio Characteristics

  • August 2013 Monthly Dividend of $0.135 per Share
  • MBS Portfolio Characteristics as of July 31, 2013

VERO BEACH, Fla., Aug. 12, 2013 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE MKT:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of August 2013. The dividend of $0.135 per share will be paid August 30, 2013, to holders of record on August 26, 2013, with an ex-dividend date of August 22, 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.

MBS Portfolio Characteristics

Details of the MBS portfolio as of July 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 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)
Weighted Realized July 2013
Asset Category Current Fair Current Percentage of Average CPR
Face Value Price Portfolio Coupon (Reported in June)
As of July 31, 2013
Adjustable Rate MBS 5,718 6,188 108.22 1.83% 4.24% 0.12%
10-1 Hybrid Rate MBS 99,859 99,355 99.50 29.40% 2.61% 12.69%
Total Hybrid Adjustable Rate MBS 99,859 99,355 99.50 29.40% 2.61% 12.69%
15 Year Fixed Rate MBS 40,855 42,140 103.14 12.47% 3.03% 2.63%
20 Year Fixed Rate MBS 31,433 32,276 102.68 9.55% 3.50% 1.87%
30 Year Fixed Rate MBS 136,107 136,217 100.08 40.31% 3.40% 5.18%
Total Fixed Rate MBS 208,395 210,633 101.07 62.33% 3.34% 4.18%
Total Mortgage-backed Pass-through MBS 313,972 316,176 100.70 93.56% 3.13% 6.81%
Interest-Only Securities 139,530 19,933 14.29 5.90% 4.02% 25.78%
Inverse Interest-Only Securities 19,762 1,843 9.32 0.54% 6.15% 49.10%
Structured MBS 159,292 21,776 13.67 6.44% 4.20% 28.67%
Total Mortgage Assets 473,264 337,951 100.00% 3.20% 14.17%
MBS Assets by Agency
(in thousands of $s)
Fair Percentage
As of July 31, 2013 Value of Portfolio
Fannie Mae 196,133 58.0%
Freddie Mac 118,928 35.2%
Ginnie Mae 22,890 6.8%
Total Portfolio 337,951 100%
Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s)
Fair Percentage of
As of July 31, 2013 Value Portfolio
Whole Pool Assets 280,073 82.9%
Non Whole Pool Assets 57,878 17.1%
Total Portfolio 337,951 100%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
Weighted
As of July 31, 2013 Total % Of Total Average Longest
Borrowings Debt Maturity in Days Maturity
Cantor Fitzgerald & Co 4,718 1.53% 19 8/19/2013
Citigroup Global Markets Inc 112,848 36.65% 36 10/1/2013
CRT Capital Group, LLC 50,802 16.50% 28 8/28/2013
KGS-Alpha Capital Markets, L.P 4,862 1.58% 1 8/1/2013
Mizuho Securities USA, Inc 25,032 8.13% 22 10/10/2013
Pierpont Securities, LLC 13,502 4.38% 27 8/28/2013
The PrinceRidge Group, LLC 26,729 8.68% 26 8/26/2013
South Street Securities, LLC 44,138 14.33% 13 8/23/2013
Suntrust Robinson Humphry, Inc 25,293 8.22% 16 8/16/2013
Total Borrowings 307,924 100% 27 10/10/2013
MBS Risk Measures
(in thousands of $s)
Weighted
Average Months Weighted Weighted
Asset Category Fair To Next Coupon Average Lifetime Average Periodic Modeled Interest Modeled Interest
Value Reset Cap Cap Per Year Rate Sensitivity Rate Sensitivity
(if applicable) (if applicable) (if applicable) -50 BPS* +50 BPS*
As of July 31, 2013
Adjustable Rate MBS 6,188 0 10.05% 2.00% 37 (55)
Total Hybrid Adjustable Rate MBS 99,355 112 7.61% 2.00% 2,293 (2,688)
Total Fixed Rate MBS 210,633 n/a n/a n/a 6,373 (6,806)
Total Mortgage-backed Pass-through MBS 316,176 n/a n/a n/a 8,703 (9,549)
Interest-Only Securities 19,933 n/a n/a n/a (1,475) 910
Inverse Interest-Only Securities 1,843 1 6.34% n/a (176) 113
Structured MBS 21,776 n/a n/a n/a (1,651) 1,023
Total Mortgage Assets 337,951 n/a n/a n/a 7,052 (8,526)
Modeled Interest Modeled Interest
(in thousands of $s) Notional Hedge Period Rate Sensitivity Rate Sensitivity
Balance End Date -50 BPS* +50 BPS*
Funding Hedge 250,000 Sep-18 (5,225) 6,563
Grand Total 1,827 (1,963)
* 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