Orchid Island Capital Announces April 2014 Monthly Dividend and March 31, 2014 RMBS Portfolio Characteristics

        Print
| Source: Orchid Island Capital
  • April 2014 Monthly Dividend of $0.18 Per Share
  • Estimated Book Value Per Share at March 31, 2014 of $12.47
  • RMBS Portfolio Characteristics as of March 31, 2014

VERO BEACH, Fla., April 8, 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 April 2014. The dividend of $0.18 per share will be paid April 30, 2014, to holders of record on April 25, 2014, with an ex-dividend date of April 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 March 31, 2014 Book Value Per Share

The Company's estimated book value per share as of March 31, 2014 was $12.47. 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 March 31, 2014, the Company's preliminary estimated total stockholders' equity was approximately $107.4 million with 8,611,665 Common shares outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of March 31, 2014 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's unaudited financial statements and associated footnotes as of and for the three month period ended March 31, 2014, are subject to review by the Company's independent registered public accounting firm.

  • RMBS Assets by Agency
  • Investment Company Act of 1940 Whole Pool Test Results
  • Repurchase agreement exposure by counterparty
  • RMBS 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.

RMBS Valuation Characteristics
(in thousands of $s)
        Percentage Weighted Realized
  Current Fair Current of Average Mar 2014 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Apr)
As of March 31, 2014            
Adjustable Rate RMBS $ 4,323 $ 4,698  108.66 0.63% 4.10% 0.31%
10-1 Hybrid Rate RMBS  75,770  75,850  100.11 10.14% 2.55% 1.03%
Hybrid Adjustable Rate RMBS  75,770  75,850  100.11 10.14% 2.55% 1.03%
15 Year Fixed Rate RMBS  85,193  89,057  104.54 11.91% 3.40% 3.86%
20 Year Fixed Rate RMBS  100,595  105,731  105.11 14.14% 3.92% 0.52%
30 Year Fixed Rate RMBS  396,556  426,140  107.46 56.99% 4.54% 1.34%
Total Fixed Rate RMBS  582,344  620,928  106.63 83.04% 4.27% 1.58%
Total Pass-through RMBS  662,437  701,476  105.89 93.81% 4.09% 1.50%
Interest-Only Securities  245,702  35,681  14.52 4.77% 4.32% 16.50%
Inverse Interest-Only Securities  77,147  10,600  13.74 1.42% 6.04% 12.11%
Structured RMBS  322,849  46,281  14.34 6.19% 4.71% 14.98%
Total Mortgage Assets $ 985,286 $ 747,757  -- 100.00% 4.13% 5.00%
             
RMBS 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 March 31, 2014       As of March 31, 2014    
Fannie Mae $ 419,299 56.1%   Whole Pool Assets $ 608,324 81.4%
Freddie Mac  303,195 40.5%   Non Whole Pool Assets  139,433 18.6%
Ginnie Mae  25,263 3.4%   Total Mortgage Assets $ 747,757 100.0%
Total Mortgage Assets $ 747,757 100.0%        
             
Repurchase Agreement Exposure By Counterparty
(in thousands of $s)
      Weighted  
    % of Average  
  Total Total Maturity Longest
As of March 31, 2014 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc $ 154,731 23.8% 19  5/27/2014
Cantor Fitzgerald & Co 80,889 12.4% 19  4/25/2014
Goldman, Sachs & Co 68,871 10.6% 23  4/28/2014
CRT Capital Group, LLC 64,183 9.9% 61  6/30/2014
Mitsubishi UFJ Securities (USA), Inc 59,896 9.2% 31  5/2/2014
Mizuho Securities USA, Inc 42,142 6.5% 12  4/22/2014
South Street Securities, LLC 41,002 6.3% 14  4/24/2014
Suntrust Robinson Humphrey, Inc 39,953 6.1% 11  4/11/2014
KGS-Alpha Capital Markets, L.P 38,055 5.8% 30  5/23/2014
Morgan Stanley & Co 36,822 5.7% 43  5/13/2014
ED&F Man Capital Markets Inc 24,702 3.7% 16  4/16/2014
Total Borrowings $ 651,246 100.0% 25  6/30/2014
         
RMBS 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 March 31, 2014            
Adjustable Rate RMBS $ 4,698 2 10.16% 2.00% $ 8 $ (16)
Hybrid Adjustable Rate RMBS  75,850 107 7.55% 2.00%  2,002 (2,326)
Total Fixed Rate RMBS  620,928 n/a n/a n/a  14,931 (18,429)
Total Pass-through RMBS  701,476 n/a n/a n/a  16,941 (20,771)
Interest-Only Securities  35,681 n/a n/a n/a (5,794)  5,000
Inverse Interest-Only Securities  10,600 -- 2.42% n/a (513) (135)
Structured RMBS  46,281 n/a n/a n/a (6,308)  4,865
Total Mortgage Assets $ 747,757 n/a n/a n/a $ 10,634 $ (15,906)
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     $ 391,600 Dec-2018 $ (7,868) $ 9,355
Payer Swaption      100,000 Mar-2020  (842)  1,542
Grand Total         $ 1,924 $ (5,009)

* 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