- December 2014 Monthly Dividend of $0.18 Per Share
- RMBS Portfolio Characteristics as of November 28, 2014
VERO BEACH, FL, Dec. 9, 2014 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of December 2014. The dividend of $0.18 per share will be paid December 30, 2014, to holders of record on December 26, 2014, with an ex-dividend date of December 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.
As of December 5, 2014, the Company had 16,270,773 shares outstanding, including shares sold via the Company's At-The-Market program through that date that have not yet settled. At September 30, 2014, the Company had 13,024,449 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of November 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:
- RMBS Valuation Characteristics
- 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. has elected 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) | ||||||
| Percentage | Weighted | Realized | ||||
| Current | Fair | Current | of | Average | Nov 2014 CPR | |
| Asset Category | Face1 | Value1 | Price | Portfolio | Coupon | (Reported in Dec) |
| As of November 28, 2014 | ||||||
| Adjustable Rate RMBS | $ 3,546 | $ 3,742 | 105.52 | 0.27% | 3.52% | 0.00% |
| 10-1 Hybrid Rate RMBS | 69,625 | 70,961 | 101.92 | 5.17% | 2.54% | 5.33% |
| Hybrid Adjustable Rate RMBS | 69,625 | 70,961 | 101.92 | 5.17% | 2.54% | 5.33% |
| 15 Year Fixed Rate RMBS | 79,567 | 84,531 | 106.24 | 6.15% | 3.40% | 6.79% |
| 20 Year Fixed Rate RMBS | 242,424 | 261,221 | 107.75 | 19.00% | 4.00% | 2.60% |
| 30 Year Fixed Rate RMBS | 816,204 | 895,130 | 109.67 | 65.11% | 4.57% | 4.47% |
| Total Fixed Rate RMBS | 1,138,195 | 1,240,882 | 109.02 | 90.26% | 4.37% | 4.22% |
| Total Pass-through RMBS | 1,211,366 | 1,315,585 | 108.60 | 95.70% | 4.27% | 4.28% |
| Interest-Only Securities | 329,707 | 42,398 | 12.86 | 3.08% | 4.04% | 13.59% |
| Inverse Interest-Only Securities | 106,089 | 16,740 | 15.78 | 1.22% | 6.23% | 12.09% |
| Structured RMBS | 435,796 | 59,138 | 13.57 | 4.30% | 4.66% | 13.22% |
| Total Mortgage Assets | $ 1,647,162 | $ 1,374,723 | 100.00% | 4.28% | 7.12% | |
| (1) Amounts include assets with a fair value of approximately $44.5 million purchased in November 2014 which settle in December 2014. | ||||||
| RMBS Assets by Agency | Investment Company Act of 1940 (Whole Pool) Test | |||||
| ($ in thousands) | ($ in thousands) | |||||
| Percentage | Percentage | |||||
| Fair | of | Fair | of | |||
| Asset Category | Value | Portfolio | Asset Category | Value | Portfolio | |
| As of November 28, 2014 | As of November 28, 2014 | |||||
| Fannie Mae | $ 1,052,459 | 76.6% | Whole Pool Assets | $ 1,077,791 | 78.4% | |
| Freddie Mac | 313,248 | 22.7% | Non Whole Pool Assets | 296,932 | 21.6% | |
| Ginnie Mae | 9,016 | 0.7% | Total Mortgage Assets | $ 1,374,723 | 100.0% | |
| Total Mortgage Assets | $ 1,374,723 | 100.0% | ||||
| Repurchase Agreement Exposure By Counterparty | ||||
| ($ in thousands) | ||||
| Weighted | ||||
| % of | Average | |||
| Total | Total | Maturity | Longest | |
| As of November 28, 2014 | Borrowings1 | Debt | in Days | Maturity |
| J.P. Morgan Securities LLC | $ 190,001 | 15.3% | 63 | 3/10/2015 |
| Citigroup Global Markets Inc | 178,474 | 14.5% | 32 | 2/4/2015 |
| CRT Capital Group, LLC | 116,903 | 9.5% | 54 | 1/26/2015 |
| KGS-Alpha Capital Markets, L.P | 109,673 | 8.9% | 44 | 4/6/2015 |
| Mitsubishi UFJ Securities (USA), Inc | 89,133 | 7.3% | 43 | 1/23/2015 |
| Cantor Fitzgerald & Co | 78,215 | 6.4% | 26 | 1/20/2015 |
| ED&F Man Capital Markets Inc | 75,916 | 6.2% | 46 | 2/2/2015 |
| Goldman, Sachs & Co | 61,277 | 5.0% | 83 | 2/19/2015 |
| Morgan Stanley & Co | 59,011 | 4.8% | 19 | 12/17/2014 |
| Guggenheim Securities, LLC | 49,901 | 4.1% | 45 | 1/23/2015 |
| Barclays Capital Inc. | 48,839 | 4.0% | 26 | 12/24/2014 |
| South Street Securities, LLC | 37,501 | 3.1% | 38 | 1/26/2015 |
| Daiwa Securities America Inc. | 32,747 | 2.7% | 14 | 12/12/2014 |
| Suntrust Robinson Humphrey, Inc | 32,225 | 2.6% | 3 | 12/1/2014 |
| Mizuho Securities USA, Inc | 25,115 | 2.0% | 51 | 1/26/2015 |
| ICBC Financial Services LLC | 23,494 | 1.9% | 55 | 1/22/2015 |
| Other | 20,676 | 1.7% | 83 | 2/19/2015 |
| Total Borrowings | $ 1,229,101 | 100.0% | 44 | 4/6/2015 |
| (1) In November 2014, the Company purchased assets with a fair value of approximately $44.5 million which settle in December 2014 that are expected to be funded by repurchase agreements. | ||||
| RMBS Risk Measures | ||||||
| ($ in thousands) | ||||||
| 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)(1) | (+50 BPS)(1) |
| As of November 28, 2014 | ||||||
| Adjustable Rate RMBS | $ 3,742 | 5 | 10.05% | 2.00% | $ 16 | $ (22) |
| Hybrid Adjustable Rate RMBS | 70,961 | 99 | 7.54% | 2.00% | 1,373 | (1,656) |
| Total Fixed Rate RMBS | 1,240,882 | n/a | n/a | n/a | 18,279 | (26,137) |
| Total Pass-through RMBS | 1,315,585 | n/a | n/a | n/a | 19,668 | (27,815) |
| Interest-Only Securities | 42,398 | n/a | n/a | n/a | (6,397) | 5,800 |
| Inverse Interest-Only Securities | 16,740 | 1 | 6.39% | n/a | (823) | 137 |
| Structured RMBS | 59,138 | n/a | n/a | n/a | (7,220) | 5,937 |
| Total Mortgage Assets | $ 1,374,723 | n/a | n/a | n/a | $ 12,448 | $ (21,878) |
| Funding Hedges | ||||||
| Modeled | Modeled | |||||
| Interest | Interest | |||||
| Average | Hedge | Rate | Rate | |||
| Notional | Period | Sensitivity | Sensitivity | |||
| Balance | End Date | (-50 BPS)(1) | (+50 BPS)(1) | |||
| Eurodollar Futures Contracts - Short Positions | $ 760,000 | Dec-2018 | $ (12,804) | $ 14,250 | ||
| Payer Swaption | 375,000 | Sep-2025 | (340) | 929 | ||
| Grand Total | $ (696) | $ (6,699) | ||||
| (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. | ||||||