- August 2014 Monthly Dividend of $0.18 Per Share
- RMBS Portfolio Characteristics as of July 31, 2014
VERO BEACH, Fla., Aug. 12, 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 August 2014. The dividend of $0.18 per share will be paid August 29, 2014, to holders of record on August 26, 2014, with an ex-dividend date of August 22, 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.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of July 31, 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. 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 Jul 2014 CPR (Reported in Aug) | ||||||
| As of July 31, 2014 | ||||||||||||
| Adjustable Rate RMBS | $ 4,273 | $ 4,642 | 108.62 | 0.51% | 4.10% | 51.56% | ||||||
| 10-1 Hybrid Rate RMBS | 73,204 | 73,604 | 100.55 | 8.01% | 2.55% | 16.28% | ||||||
| Hybrid Adjustable Rate RMBS | 73,204 | 73,604 | 100.55 | 8.01% | 2.55% | 16.28% | ||||||
| 15 Year Fixed Rate RMBS | 82,411 | 86,636 | 105.13 | 9.43% | 3.40% | 4.25% | ||||||
| 20 Year Fixed Rate RMBS | 122,865 | 130,211 | 105.98 | 14.17% | 3.93% | 5.42% | ||||||
| 30 Year Fixed Rate RMBS | 519,642 | 565,575 | 108.84 | 61.55% | 4.56% | 4.42% | ||||||
| Total Fixed Rate RMBS | 724,918 | 782,422 | 107.93 | 85.15% | 4.33% | 4.59% | ||||||
| Total Pass-through RMBS | 802,395 | 860,668 | 107.26 | 93.67% | 4.18% | 6.03% | ||||||
| Interest-Only Securities | 342,291 | 48,004 | 14.02 | 5.22% | 4.12% | 18.79% | ||||||
| Inverse Interest-Only Securities | 70,567 | 10,145 | 14.38 | 1.11% | 6.04% | 16.13% | ||||||
| Structured RMBS | 412,858 | 58,149 | 14.08 | 6.33% | 4.46% | 18.25% | ||||||
| Total Mortgage Assets | $ 1,215,253 | $ 918,817 | 100.00% | 4.19% | 9.93% | |||||||
| 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 July 31, 2014 | As of July 31, 2014 | |||||||||
| Fannie Mae | $ 593,657 | 64.6% | Whole Pool Assets | $ 775,267 | 84.4% | |||||
| Freddie Mac | 314,922 | 34.3% | Non Whole Pool Assets | 143,550 | 15.6% | |||||
| Ginnie Mae | 10,238 | 1.1% | Total Mortgage Assets | $ 918,817 | 100.0% | |||||
| Total Mortgage Assets | $ 918,817 | 100.0% | ||||||||
| Repurchase Agreement Exposure By Counterparty | ||||||||
| ($ in thousands) | ||||||||
| As of July 31, 2014 | Total Borrowings | % of Total Debt | Weighted Average Maturity in Days | Longest Maturity | ||||
| Citigroup Global Markets Inc | $ 155,708 | 19.3% | 17 | 9/3/2014 | ||||
| Cantor Fitzgerald & Co | 79,120 | 9.8% | 36 | 9/12/2014 | ||||
| KGS-Alpha Capital Markets, L.P | 76,265 | 9.5% | 25 | 10/3/2014 | ||||
| CRT Capital Group, LLC | 72,006 | 9.0% | 25 | 8/29/2014 | ||||
| Morgan Stanley & Co | 66,526 | 8.3% | 19 | 8/19/2014 | ||||
| Mitsubishi UFJ Securities (USA), Inc | 59,137 | 7.4% | 6 | 8/25/2014 | ||||
| Goldman, Sachs & Co | 55,894 | 6.9% | 25 | 8/28/2014 | ||||
| ED&F Man Capital Markets Inc | 52,691 | 6.5% | 49 | 10/16/2014 | ||||
| J.P. Morgan Securities LLC | 49,795 | 6.2% | 69 | 10/8/2014 | ||||
| Mizuho Securities USA, Inc | 43,678 | 5.4% | 14 | 8/22/2014 | ||||
| South Street Securities, LLC | 39,049 | 4.9% | 17 | 8/28/2014 | ||||
| Suntrust Robinson Humphrey, Inc | 24,748 | 3.1% | 1 | 8/1/2014 | ||||
| Guggenheim Securities, LLC | 16,058 | 2.0% | 85 | 10/24/2014 | ||||
| Other | 13,839 | 1.7% | 43 | 9/12/2014 | ||||
| Total Borrowings | $ 804,514 | 100.0% | 27 | 10/24/2014 | ||||
| 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 July 31, 2014 | ||||||||||||
| Adjustable Rate RMBS | $ 4,642 | 1 | 10.16% | 2.00% | $ 12 | $ (21) | ||||||
| Hybrid Adjustable Rate RMBS | 73,604 | 103 | 7.55% | 2.00% | 1,781 | (2,078) | ||||||
| Total Fixed Rate RMBS | 782,422 | n/a | n/a | n/a | 15,201 | (20,471) | ||||||
| Total Pass-through RMBS | 860,668 | n/a | n/a | n/a | 16,994 | (22,570) | ||||||
| Interest-Only Securities | 48,004 | n/a | n/a | n/a | (7,174) | 6,395 | ||||||
| Inverse Interest-Only Securities | 10,145 | 1 | 6.19% | n/a | (588) | 30 | ||||||
| Structured RMBS | 58,149 | n/a | n/a | n/a | (7,762) | 6,425 | ||||||
| Total Mortgage Assets | $ 918,817 | n/a | n/a | n/a | $ 9,232 | $ (16,145) | ||||||
| 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 | $ (9,291) | $ 10,479 | ||||||||
| Payer Swaption | 175,000 | Jul-2025 | (1,756) | 3,224 | ||||||||
| Grand Total | $ (1,815) | $ (2,442) | ||||||||||
| (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
