Orchid Island Capital Announces July 2014 Monthly Dividend and June 30, 2014 RMBS Portfolio Characteristics

        Print
| Source: Orchid Island Capital
  • July 2014 Monthly Dividend of $0.18 Per Share
  • Estimated Book Value Per Share at June 30, 2014 of $13.05
  • RMBS Portfolio Characteristics as of June 30, 2014

VERO BEACH, Fla., July 10, 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 July 2014. The dividend of $0.18 per share will be paid July 31, 2014, to holders of record on July 28, 2014, with an ex-dividend date of July 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.

Estimated June 30, 2014 Book Value Per Share

The Company's estimated book value per share as of June 30, 2014 was $13.05. 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 June 30, 2014, the Company's preliminary estimated total stockholders' equity was approximately $125.7 million with 9,632,108 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 June 30, 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 June 30, 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)
Asset Category
Current
Face

Fair
Value

Current
Price
Percentage
of
Portfolio
Weighted
Average
Coupon
Realized
Jun 2014 CPR
(Reported in Jul)
As of June 30, 2014            
Adjustable Rate RMBS $ 4,286 $ 4,650  108.51 0.53% 4.11% 0.18%
10-1 Hybrid Rate RMBS  74,473  75,061  100.79 8.57% 2.55% 12.61%
Hybrid Adjustable Rate RMBS  74,473  75,061  100.79 8.57% 2.55% 12.61%
15 Year Fixed Rate RMBS  83,012  87,688  105.63 10.01% 3.40% 3.25%
20 Year Fixed Rate RMBS  123,605  131,984  106.78 15.07% 3.93% 3.91%
30 Year Fixed Rate RMBS  482,603  527,538  109.31 60.22% 4.54% 5.57%
Total Fixed Rate RMBS  689,220  747,210  108.41 85.30% 4.30% 4.81%
Total Pass-through RMBS  767,979  826,921  107.68 94.40% 4.14% 5.74%
Interest-Only Securities  281,193  38,743  13.78 4.42% 4.40% 19.25%
Inverse Interest-Only Securities  72,162  10,340  14.33 1.18% 6.04% 13.43%
Structured RMBS  353,355  49,083  13.89 5.60% 4.74% 17.98%
Total Mortgage Assets $ 1,121,334 $ 876,004   100.00% 4.17% 10.08%
   
   
RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in Thousands) ($ in thousands)
Asset Category
Fair
Value
Percentage
of
Portfolio
Asset Category
Fair
Value
Percentage
of
Portfolio
As of June 30, 2014     As of June 30, 2014    
Fannie Mae $ 547,123 62.5% Whole Pool Assets $ 740,212 84.5%
Freddie Mac  318,454 36.3% Non Whole Pool Assets  135,792 15.5%
Ginnie Mae  10,427 1.2% Total Mortgage Assets $ 876,004 100.0%
Total Mortgage Assets $ 876,004 100.0%      
         
         
Repurchase Agreement Exposure By Counterparty        
($ in thousands)
As of June 30, 2014

Total
Borrowings

% of
Total
Debt
Weighted
Average
Maturity
in Days


Longest
Maturity
Citigroup Global Markets Inc $ 156,153 19.8% 19 9/3/2014
Cantor Fitzgerald & Co 79,295 10.1% 27 8/22/2014
KGS-Alpha Capital Markets, L.P 76,241 9.7% 36 10/3/2014
Morgan Stanley & Co 66,373 8.5% 50 8/19/2014
CRT Capital Group, LLC 64,760 8.3% 55 8/29/2014
Mitsubishi UFJ Securities (USA), Inc 58,960 7.5% 7 7/25/2014
Goldman, Sachs & Co 56,637 7.2% 25 7/28/2014
ED&F Man Capital Markets Inc 53,094 6.8% 21 8/1/2014
J.P. Morgan Securities LLC 48,343 6.2% 10 7/11/2014
Mizuho Securities USA, Inc 45,138 5.8% 13 7/23/2014
South Street Securities, LLC 40,042 5.1% 16 7/28/2014
Suntrust Robinson Humphrey, Inc 24,826 3.2% 3 7/3/2014
Other 13,839 1.8% 74 9/12/2014
Total Borrowings $ 783,701 100.0% 26 10/3/2014
 
 
RMBS Risk Measures
($ in thousands)
Mortgage Assets
Asset Category



Fair
Value
Weighted
Average
Months
To Next
Coupon Reset
(if applicable)

Weighted
Average
Lifetime
Cap
(if applicable)

Weighted
Average
Periodic
Cap per Year
(if applicable)

Modeled
Interest
Rate
Sensitivity
(-50 BPS)(1)

Modeled
Interest
Rate
Sensitivity
(+50 BPS)(1)
As of June 30, 2014            
Adjustable Rate RMBS  $ 4,650 1 10.16% 2.00%  $ 7  $ (13)
Hybrid Adjustable Rate RMBS  75,061 104 7.55% 2.00%  1,768  (2,134)
Total Fixed Rate RMBS  747,210 n/a n/a n/a  13,795  (19,349)
Total Pass-through RMBS  826,921 n/a n/a n/a  15,570  (21,496)
Interest-Only Securities  38,743 n/a n/a n/a  (7,049)  6,872
Inverse Interest-Only Securities  10,340 0 6.19% n/a  (647)  136
Structured RMBS  49,083 n/a n/a n/a  (7,696)  7,008
Total Mortgage Assets  $ 876,004 n/a n/a n/a  $ 7,874  $ (14,488)
Funding Hedges
 

Average
Notional
Balance


Hedge
Period
End Date
Modeled
Interest
Rate
Sensitivity
(-50 BPS)(1)
Modeled
Interest
Rate
Sensitivity
(+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions  $ 500,000 Dec-2018  $ (8,950)  $ 10,295
Payer Swaption 100,000 Jun-2020  (680)  1,295
Grand Total  $ (1,756)  $ (2,898)
 
(1)  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