- 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. | ||||||