Source: Orchid Island Capital, Inc.
Orchid Island Capital Announces December 2013 Monthly Dividend and November 29, 2013 MBS Portfolio Characteristics
- 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.