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Orchid Island Capital Announces September 2013 Monthly Dividend and August 30, 2013 MBS Portfolio Characteristics

  • September 2013 Monthly Dividend of $0.135 per Share
  • MBS Portfolio Characteristics as of August 30, 2013

VERO BEACH, Fla., Sept. 10, 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 September 2013. The dividend of $0.135 per share will be paid September 30, 2013, to holders of record on September 25, 2013, with an ex-dividend date of September 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.

MBS Portfolio Characteristics

Details of the MBS portfolio as of Friday, August 30, 2013 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.

  • 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 Aug 2013
Asset Category Current Fair Current Percentage of Average CPR
Face Value Price Portfolio Coupon (Reported in Sep)
As of August 30, 2013
Adjustable Rate MBS 5,703 6,170 108.18 1.86% 4.23% 0.10%
10-1 Hybrid Rate MBS 121,667 120,004 98.63 36.22% 2.56% 6.73%
Total Hybrid Adjustable Rate MBS 121,667 120,004 98.63 36.22% 2.56% 6.73%
15 Year Fixed Rate MBS 37,896 38,859 102.54 11.73% 3.00% 4.00%
20 Year Fixed Rate MBS 31,294 31,983 102.20 9.65% 3.50% 0.25%
30 Year Fixed Rate MBS 115,503 114,369 99.02 34.52% 3.39% 3.73%
Total Fixed Rate MBS 184,693 185,211 100.28 55.90% 3.33% 3.20%
Total Mortgage-backed Pass-through MBS 312,063 311,385 99.78 93.98% 3.05% 4.52%
Interest-Only Securities 132,486 18,249 13.77 5.51% 4.28% 22.50%
Inverse Interest-Only Securities 18,144 1,677 9.24 0.51% 6.17% 47.12%
Structured MBS 150,630 19,926 13.23 6.02% 4.44% 25.46%
Total Mortgage Assets 462,693 331,311 100.00% 3.13% 11.34%
MBS Assets by Agency
(in thousands of $s)
Fair Percentage of
As of August 30, 2013 Value Portfolio
Fannie Mae 211,450 63.8%
Freddie Mac 97,303 29.4%
Ginnie Mae 22,558 6.8%
Total Portfolio 331,311 100%
Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s)
Fair Percentage of
As of August 30, 2013 Value Portfolio
Whole Pool Assets 275,813 83.2%
Non Whole Pool Assets 55,498 16.8%
Total Portfolio 331,311 100%
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
Weighted
Total % Of Total Average Longest
As of August 30, 2013 Borrowings Debt Maturity in Maturity
Days
Cantor Fitzgerald & Co 4,608 1.55% 19 9/18/2013
Citigroup Global Markets Inc 121,363 40.70% 28 10/8/2013
CRT Capital Group, LLC 31,441 10.54% 28 9/27/2013
KGS-Alpha Capital Markets, L.P 4,777 1.60% 4 9/3/2013
Mizuho Securities USA, Inc 25,075 8.41% 51 11/6/2013
Pierpont Securities, LLC 10,684 3.58% 28 9/27/2013
The PrinceRidge Group, LLC 25,988 8.71% 26 9/25/2013
South Street Securities, LLC 49,619 16.64% 15 9/23/2013
Suntrust Robinson Humphry, Inc 24,672 8.27% 17 9/16/2013
Total Borrowings 298,227 100% 26 11/6/2013
MBS Risk Measures
(in thousands of $s)
Weighted
Average Months Weighted Weighted Modeled
Fair To Next Coupon Average Lifetime Average Periodic Modeled Interest Interest Rate
Asset Category Value Reset Cap Cap Per Year Rate Sensitivity Sensitivity +50
(if applicable) (if applicable) (if applicable) -50 BPS* BPS*
As of August 30, 2013
Adjustable Rate MBS 6,170 5 10.05% 2.00% 37 (52)
Total Hybrid Adjustable Rate MBS 120,004 113 7.56% 2.00% 2,924 (3,358)
Total Fixed Rate MBS 185,211 n/a n/a n/a 5,557 (5,884)
Total Mortgage-backed Pass-through MBS 311,385 n/a n/a n/a 8,518 (9,294)
Interest-Only Securities 18,249 n/a n/a n/a (1,321) 828
Inverse Interest-Only Securities 1,677 1 6.35% n/a (113) 30
Structured MBS 19,926 n/a n/a n/a (1,434) 858
Total Mortgage Assets 331,311 n/a n/a n/a 7,084 (8,436)
Modeled
Notional Hedge Period Modeled Interest Interest Rate
(in thousands of $s) Balance End Date Rate Sensitivity Sensitivity +50
-50 BPS* BPS*
Funding Hedge 250,000 Sep-18 (5,332) 6,563
Grand Total 1,752 (1,873)
* 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