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September 2013 Monthly Dividend of $0.135 per Share
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MBS Portfolio Characteristics as of August 30, 2013
VERO BEACH, Fla., Sept. 10, 2013 (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 September 2013. The dividend of $0.135 per share will be paid September 30, 2013, to holders of record on September 25, 2013, with an ex-dividend date of September 23, 2013.
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 Friday, August 30, 2013 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.
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MBS Assets by Agency
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Investment Company Act of 1940 Whole Pool Test Results
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Repurchase agreement exposure by counter-party
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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, 2012.
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MBS Valuation Characteristics |
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(in thousands of $s) |
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Weighted |
Realized Aug 2013 |
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Asset Category |
Current |
Fair |
Current |
Percentage of |
Average |
CPR |
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Face |
Value |
Price |
Portfolio |
Coupon |
(Reported in Sep) |
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As of August 30, 2013 |
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Adjustable Rate MBS |
5,703 |
6,170 |
108.18 |
1.86% |
4.23% |
0.10% |
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10-1 Hybrid Rate MBS |
121,667 |
120,004 |
98.63 |
36.22% |
2.56% |
6.73% |
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Total Hybrid Adjustable Rate MBS |
121,667 |
120,004 |
98.63 |
36.22% |
2.56% |
6.73% |
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15 Year Fixed Rate MBS |
37,896 |
38,859 |
102.54 |
11.73% |
3.00% |
4.00% |
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20 Year Fixed Rate MBS |
31,294 |
31,983 |
102.20 |
9.65% |
3.50% |
0.25% |
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30 Year Fixed Rate MBS |
115,503 |
114,369 |
99.02 |
34.52% |
3.39% |
3.73% |
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Total Fixed Rate MBS |
184,693 |
185,211 |
100.28 |
55.90% |
3.33% |
3.20% |
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Total Mortgage-backed Pass-through MBS |
312,063 |
311,385 |
99.78 |
93.98% |
3.05% |
4.52% |
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Interest-Only Securities |
132,486 |
18,249 |
13.77 |
5.51% |
4.28% |
22.50% |
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Inverse Interest-Only Securities |
18,144 |
1,677 |
9.24 |
0.51% |
6.17% |
47.12% |
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Structured MBS |
150,630 |
19,926 |
13.23 |
6.02% |
4.44% |
25.46% |
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Total Mortgage Assets |
462,693 |
331,311 |
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100.00% |
3.13% |
11.34% |
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MBS Assets by Agency |
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(in thousands of $s) |
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Fair |
Percentage of |
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As of August 30, 2013 |
Value |
Portfolio |
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Fannie Mae |
211,450 |
63.8% |
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Freddie Mac |
97,303 |
29.4% |
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Ginnie Mae |
22,558 |
6.8% |
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Total Portfolio |
331,311 |
100% |
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Investment Company Act of 1940 (Whole Pool) Test |
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(in thousands of $s) |
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Fair |
Percentage of |
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As of August 30, 2013 |
Value |
Portfolio |
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Whole Pool Assets |
275,813 |
83.2% |
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Non Whole Pool Assets |
55,498 |
16.8% |
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Total Portfolio |
331,311 |
100% |
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Repurchase Agreement Exposure By Counterparty |
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(in thousands of $s) |
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Weighted |
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Total |
% Of Total |
Average |
Longest |
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As of August 30, 2013 |
Borrowings |
Debt |
Maturity in |
Maturity |
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Days |
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Cantor Fitzgerald & Co |
4,608 |
1.55% |
19 |
9/18/2013 |
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Citigroup Global Markets Inc |
121,363 |
40.70% |
28 |
10/8/2013 |
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CRT Capital Group, LLC |
31,441 |
10.54% |
28 |
9/27/2013 |
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KGS-Alpha Capital Markets, L.P |
4,777 |
1.60% |
4 |
9/3/2013 |
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Mizuho Securities USA, Inc |
25,075 |
8.41% |
51 |
11/6/2013 |
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Pierpont Securities, LLC |
10,684 |
3.58% |
28 |
9/27/2013 |
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The PrinceRidge Group, LLC |
25,988 |
8.71% |
26 |
9/25/2013 |
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South Street Securities, LLC |
49,619 |
16.64% |
15 |
9/23/2013 |
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Suntrust Robinson Humphry, Inc |
24,672 |
8.27% |
17 |
9/16/2013 |
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Total Borrowings |
298,227 |
100% |
26 |
11/6/2013 |
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MBS Risk Measures |
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(in thousands of $s) |
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Weighted |
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Average Months |
Weighted |
Weighted |
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Modeled |
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Fair |
To Next Coupon |
Average Lifetime |
Average Periodic |
Modeled Interest |
Interest Rate |
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Asset Category |
Value |
Reset |
Cap |
Cap Per Year |
Rate Sensitivity |
Sensitivity +50 |
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(if applicable) |
(if applicable) |
(if applicable) |
-50 BPS* |
BPS* |
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As of August 30, 2013 |
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Adjustable Rate MBS |
6,170 |
5 |
10.05% |
2.00% |
37 |
(52) |
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Total Hybrid Adjustable Rate MBS |
120,004 |
113 |
7.56% |
2.00% |
2,924 |
(3,358) |
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Total Fixed Rate MBS |
185,211 |
n/a |
n/a |
n/a |
5,557 |
(5,884) |
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Total Mortgage-backed Pass-through MBS |
311,385 |
n/a |
n/a |
n/a |
8,518 |
(9,294) |
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Interest-Only Securities |
18,249 |
n/a |
n/a |
n/a |
(1,321) |
828 |
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Inverse Interest-Only Securities |
1,677 |
1 |
6.35% |
n/a |
(113) |
30 |
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Structured MBS |
19,926 |
n/a |
n/a |
n/a |
(1,434) |
858 |
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Total Mortgage Assets |
331,311 |
n/a |
n/a |
n/a |
7,084 |
(8,436) |
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Modeled |
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Notional |
Hedge Period |
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Modeled Interest |
Interest Rate |
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(in thousands of $s) |
Balance |
End Date |
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Rate Sensitivity |
Sensitivity +50 |
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-50 BPS* |
BPS* |
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Funding Hedge |
250,000 |
Sep-18 |
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(5,332) |
6,563 |
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Grand Total |
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1,752 |
(1,873) |
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* Modeled results from Citigroup Global Markets, Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon |
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prices are calculated assuming constant LIBOR OAS. |
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* These results are for illustrative purposes only and actual results may differ materially. |
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CONTACT: Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
