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. | ||||||