Orchid Island Capital Announces January 2014 Monthly Dividend and December 31, 2013 MBS Portfolio Characteristics

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| Source: Orchid Island Capital
  • January 2014 Monthly Dividend of $0.18 Per Share
  • Estimated Book Value Per Share at December 31, 2013 of $13.40
  • MBS Portfolio Characteristics as of December 31, 2013

VERO BEACH, Fla., Jan. 9, 2014 (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 January 2014. The dividend of $0.18 per share will be paid January 31, 2014, to holders of record on January 27, 2014, with an ex-dividend date of January 23, 2014.

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.

Estimated December 31, 2013 Book Value Per Share

The Company's estimated book value per share as of December 31, 2013 was $13.40. Book value per share is regularly used as a valuation metric by various equity analysts that follow the Company and may be deemed a non-GAAP financial measure pursuant to Regulation G. The Company computes book value per share by dividing total stockholders' equity by the total number of shares outstanding of the Company's Common Stock. At December 31, 2013, the Company's preliminary estimated total stockholders' equity was approximately $44.8 million with 3,341,665 Common shares outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to audit by the Company's independent registered public accounting firm.

MBS Portfolio Characteristics

Details of the MBS portfolio as of December 31, 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 Dec 2013 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Jan)
As of December 31, 2013            
Adjustable Rate MBS  $ 4,935    $ 5,334    108.08  1.52% 3.92% 0.27%
10-1 Hybrid Rate MBS  76,952   76,118   98.92  21.67% 2.56% 2.63%
Hybrid Adjustable Rate MBS  76,952   76,118   98.92  21.67% 2.56% 2.63%
15 Year Fixed Rate MBS  21,817   22,284   102.14  6.34% 3.00% 1.29%
20 Year Fixed Rate MBS  30,743   31,400   102.14  8.94% 3.50% 1.78%
30 Year Fixed Rate MBS  183,537   191,839   104.52  54.63% 4.26% 3.91%
Total Fixed Rate MBS  236,097   245,523   103.99  69.91% 4.05% 3.39%
Total Pass-through MBS  317,984   326,975   102.83  93.10% 3.70% 3.16%
Interest-Only Securities  128,534   19,206   14.94  5.47% 4.39% 20.29%
Inverse Interest-Only Securities  37,678   5,042   13.38  1.43% 5.92% 12.94%
Structured MBS  166,212   24,248   14.59  6.90% 4.71% 18.62%
Total Mortgage Assets  $ 484,196    $ 351,223    --  100.00% 3.77% 8.47%
   
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 December 31, 2013     As of December 31, 2013    
Fannie Mae  $ 211,063  60.1% Whole Pool Assets $ 281,088  80.0%
Freddie Mac  121,842  34.7% Non Whole Pool Assets  70,135  20.0%
Ginnie Mae  18,318  5.2% Total Mortgage Assets $ 351,223  100.0%
Total Mortgage Assets $ 351,223  100.0%      
 
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
      Weighted  
    % of Average  
  Total Total Maturity Longest
As of December 31, 2013 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $ 98,840  31.0% 11  1/15/2014
South Street Securities, LLC 49,411  15.5% 13  1/23/2014
Suntrust Robinson Humphrey, Inc 47,010  14.8% 10  1/10/2014
Cantor Fitzgerald & Co 39,185  12.3% 22  1/24/2014
Mizuho Securities USA, Inc 26,727  8.4% 1/13/2014
Morgan Stanley & Co 20,073  6.3% 13  1/13/2014
CRT Capital Group, LLC 15,146  4.8% 18  1/24/2014
KGS-Alpha Capital Markets, L.P 11,894  3.7% 16  1/24/2014
Goldman, Sachs & Co 10,155  3.2% 70  3/11/2014
Total Borrowings $ 318,441  100.0% 15  3/11/2014
 
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 December 31, 2013            
Adjustable Rate MBS $ 5,334  10.13% 2.00%  $ 13    $ (22)
Hybrid Adjustable Rate MBS  76,118  108  7.56% 2.00%  2,157  (2,444)
Total Fixed Rate MBS  245,523  n/a n/a n/a  6,385  (7,646)
Total Pass-through MBS  326,975  n/a n/a n/a  8,555  (10,112)
Interest-Only Securities  19,206  n/a n/a n/a (2,950)  2,070 
Inverse Interest-Only Securities  5,042  6.08% n/a  183  (240)
Structured MBS  24,248  n/a n/a n/a (2,767)  1,830 
Total Mortgage Assets  $ 351,223   n/a n/a n/a  $ 5,788    $ (8,282)
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  $ (4,816)  $ 5,469 
Grand Total         $ 972   $ (2,813)

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