- 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 | 3 | 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. |