Orchid Island Capital Announces March 2014 Monthly Dividend and February 28, 2014 MBS Portfolio Characteristics

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| Source: Orchid Island Capital
  • March 2014 Monthly Dividend of $0.18 Per Share
  • MBS Portfolio Characteristics as of February 28, 2014

VERO BEACH, Fla., March 11, 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 March 2014. The dividend of $0.18 per share will be paid March 31, 2014, to holders of record on March 26, 2014, with an ex-dividend date of March 24, 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.

MBS Portfolio Characteristics

Details of the MBS portfolio as of February 28, 2014 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 Valuation Characteristics
  • 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, 2013.

MBS Valuation Characteristics
(in thousands of $s)
        Percentage Weighted Realized
  Current Fair Current of Average Feb 2014 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Mar)
As of February 28, 2014            
Adjustable Rate MBS $ 4,809 $ 5,200 108.12 0.97% 3.95% 48.73%
10-1 Hybrid Rate MBS 76,112 76,352 100.31 14.19% 2.55% 3.46%
Hybrid Adjustable Rate MBS 76,112 76,352 100.31 14.19% 2.55% 3.46%
15 Year Fixed Rate MBS 80,481 84,759 105.32 15.76% 3.40% 1.42%
20 Year Fixed Rate MBS 30,482 31,571 103.57 5.87% 3.50% 0.26%
30 Year Fixed Rate MBS 288,332 311,620 108.08 57.92% 4.54% 4.52%
Total Fixed Rate MBS 399,295 427,950 107.18 79.55% 4.24% 3.57%
Total Pass-through MBS 480,216 509,502 106.10 94.71% 3.98% 4.00%
Interest-Only Securities 149,372 21,432 14.35 3.98% 4.48% 16.91%
Inverse Interest-Only Securities 48,300 7,022 14.54 1.31% 6.08% 11.65%
Structured MBS 197,672 28,454 14.39 5.29% 4.88% 15.63%
Total Mortgage Assets $ 677,888 $ 537,956 -- 100.00% 4.03% 7.39%
             
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 February 28, 2014     As of February 28, 2014    
Fannie Mae  $ 293,729 54.6% Whole Pool Assets $ 491,338 91.3%
Freddie Mac  226,335 42.1% Non Whole Pool Assets  46,618 8.7%
Ginnie Mae  17,892 3.3% Total Mortgage Assets $ 537,956 100.0%
Total Mortgage Assets  $ 537,956 100.0%      
           
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
      Weighted  
    % of Average  
  Total Total Maturity Longest
As of February 28, 2014 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $ 143,650 28.5% 23  5/27/2014
Cantor Fitzgerald & Co 54,903 10.9% 17  3/17/2014
South Street Securities, LLC 48,975 9.7% 13  3/24/2014
Mizuho Securities USA, Inc 48,414 9.6% 37  4/10/2014
Suntrust Robinson Humphrey, Inc 45,179 9.0% 11  3/11/2014
Morgan Stanley & Co 38,154 7.6% 74  5/13/2014
CRT Capital Group, LLC 37,136 7.4% 23  3/26/2014
KGS-Alpha Capital Markets, L.P 25,573 5.1% 17  3/25/2014
ED&F Man Capital Markets Inc 25,079 5.0% 17  3/17/2014
Goldman, Sachs & Co 23,919 4.7% 14  3/17/2014
Mitsubishi UFJ Securities (USA), Inc 12,703 2.5% 28  3/28/2014
Total Borrowings $ 503,685 100.0% 25  5/27/2014
         
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 February 28, 2014            
Adjustable Rate MBS $ 5,200 10.13% 2.00% $ 9 $ (19)
Hybrid Adjustable Rate MBS  76,352 108  7.56% 2.00%  2,010 (2,361)
Total Fixed Rate MBS  427,950 n/a n/a n/a  10,003 (12,523)
Total Pass-through MBS  509,502 n/a n/a n/a  12,022 (14,903)
Interest-Only Securities  21,432 n/a n/a n/a (4,052)  3,952
Inverse Interest-Only Securities  7,022 --  4.17% n/a  45 (303)
Structured MBS  28,454 n/a n/a n/a (4,006)  3,649
Total Mortgage Assets $ 537,956 n/a n/a n/a $ 8,016 $ (11,254)
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     $ 350,000 Dec-2018 $ (6,166) $ 7,000
Grand Total         $ 1,850 $ (4,254)
             
* 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