Orchid Island Capital Announces December 2013 Monthly Dividend and November 29, 2013 MBS Portfolio Characteristics

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| Source: Orchid Island Capital
  • December 2013 Monthly Dividend of $0.18 Per Share
  • MBS Portfolio Characteristics as of November 29, 2013

VERO BEACH, Fla., Dec. 11, 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 December 2013. The dividend of $0.18 per share will be paid December 30, 2013, to holders of record on December 26, 2013, with an ex-dividend date of December 23, 2013. Based on year to date distributions, inclusive of the December distribution, and the Company's projected taxable income that will be earned through December 31, 2013, the Company anticipates it will have distributed to shareholders substantially all of its taxable income for the three and twelve month periods ended December 31, 2013. Projected taxable income through December 31, 2013 is based on management estimates only, and actual taxable income for the three and twelve month periods ended December 31, 2013, may differ.

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 November 29, 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 counterparty
  • 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)
        Percentage Weighted Realized
  Current Fair Current of Average Nov 2013 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Dec)
As of November 29, 2013            
Adjustable Rate MBS  $ 4,949  $ 5,346  108.02 1.55% 3.92% 0.18%
10-1 Hybrid Rate MBS  77,470  77,505  100.04 22.46% 2.56% 5.64%
Hybrid Adjustable Rate MBS  77,470  77,505  100.04 22.46% 2.56% 5.64%
15 Year Fixed Rate MBS  21,937  22,662  103.30 6.57% 3.00% 1.07%
20 Year Fixed Rate MBS  30,841  31,852  103.28 9.23% 3.50% 0.32%
30 Year Fixed Rate MBS  174,101  183,583  105.45 53.22% 4.24% 2.78%
Total Fixed Rate MBS  226,879  238,097  104.94 69.02% 4.03% 2.29%
Total Pass-through MBS  309,298  320,948  103.77 93.03% 3.67% 3.08%
Interest-Only Securities  131,481  18,672  14.20 5.41% 4.38% 18.84%
Inverse Interest-Only Securities  38,669  5,385  13.93 1.56% 5.91% 15.62%
Structured MBS  170,150  24,057  14.14 6.97% 4.72% 18.11%
Total Mortgage Assets  $ 479,448  $ 345,005  --  100.00% 3.74% 8.35%
   
MBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s) (in thousands of $s)
    Percentage     Percentage
  Fair of   Fair of
Asset Category Value Portfolio Asset Category Value Portfolio
As of November 29, 2013     As of November 29, 2013    
Fannie Mae  $ 202,984 58.8% Whole Pool Assets  $ 274,447 79.5%
Freddie Mac  123,471 35.8% Non Whole Pool Assets  70,558 20.5%
Ginnie Mae  18,550 5.4% Total Mortgage Assets  $ 345,005 100.0%
Total Mortgage Assets  $ 345,005 100.0%      
 
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
      Weighted  
    % of Average  
  Total Total Maturity Longest
As of November 29, 2013 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc  $ 119,358 38.0% 33 1/14/2014
South Street Securities, LLC 49,981 15.9% 15 12/23/2013
Cantor Fitzgerald & Co 39,511 12.6% 23 12/24/2013
Suntrust Robinson Humphry, Inc 31,559 10.0% 3 12/2/2013
Mizuho Securities USA, Inc 26,698 8.5% 33 1/10/2014
Morgan Stanley & Co 20,088 6.4% 13 12/13/2013
CRT Capital Group, LLC 15,246 4.8% 29 1/24/2014
KGS-Alpha Capital Markets, L.P 11,929 3.8% 36 1/24/2014
Total Borrowings  $ 314,370 100.0% 25 1/24/2014
 
MBS Risk Measures
(in thousands of $s)
Mortgage Assets
    Weighted        
    Average Weighted Weighted Modeled Modeled
    Months Average Average Interest Interest
    To Next Lifetime Periodic Rate Rate
  Fair Coupon Reset Cap Cap Per Year Sensitivity Sensitivity
Asset Category Value (if applicable) (if applicable) (if applicable) (-50 BPS)* (+50 BPS)*
As of November 29, 2013            
Adjustable Rate MBS  $ 5,346 4 10.13% 2.00%  $ 11  $ (25)
Hybrid Adjustable Rate MBS  77,505 111 7.56% 2.00%  2,076  (2,490)
Total Fixed Rate MBS  238,097 n/a n/a n/a  5,476  (7,138)
Total Pass-through MBS  320,948 n/a n/a n/a  7,563  (9,653)
Interest-Only Securities  18,672 n/a n/a n/a  (3,086)  2,628
Inverse Interest-Only Securities  5,385 1 6.08% n/a  169  (239)
Structured MBS  24,057 n/a n/a n/a  (2,917)  2,389
Total Mortgage Assets  $ 345,005 n/a n/a n/a  $ 4,646  $ (7,264)
Funding Hedges
          Modeled Modeled
          Interest Interest
      Average Hedge Rate Rate
      Notional Period Sensitivity Sensitivity
      Balance End Date (-50 BPS)* (+50 BPS)*
Eurodollar Futures Contracts - Short Positions    $ 257,353 Dec-2018  $ (4,530)  $ 5,469
Grand Total          $ 116  $ (1,795)

* 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.               

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400