- May 2015 Monthly Dividend of $0.18 Per Share
- RMBS Portfolio Characteristics as of April 30, 2015
VERO BEACH, Fla., May 11, 2015 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE: ORC ) announced today that the Board of Directors declared a monthly cash dividend for the month of May 2015. The dividend of $0.18 per share will be paid May 29, 2015, to holders of record on May 26, 2015, with an ex-dividend date of May 21, 2015.
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 May 11, 2015, the Company had 18,848,257 shares outstanding, including shares sold via the Company's at the market program through that date that have not yet settled. At March 31, 2015, the Company had 17,924,383 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of April 30, 2015 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 REIT 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, 2014.
| RMBS Valuation Characteristics | ||||||
| ($ in thousands) | ||||||
| Percentage | Weighted | Realized | ||||
| Current | Fair | Current | of | Average | Apr 2015 CPR | |
| Asset Category | Face | Value (1) | Price | Portfolio | Coupon | (Reported in May) |
| As of April 30, 2015 | ||||||
| Adjustable Rate RMBS | $ 3,246 | $ 3,472 | 106.95 | 0.20% | 3.64% | 0.13% |
| 10-1 Hybrid Rate RMBS | 55,856 | 57,524 | 102.99 | 3.39% | 2.56% | 2.95% |
| Hybrid Adjustable Rate RMBS | 55,856 | 57,524 | 102.99 | 3.39% | 2.56% | 2.95% |
| 15 Year Fixed Rate RMBS | 75,889 | 81,127 | 106.90 | 4.78% | 3.40% | 7.24% |
| 20 Year Fixed Rate RMBS | 310,966 | 336,082 | 108.08 | 19.78% | 4.00% | 7.19% |
| 30 Year Fixed Rate RMBS | 1,034,678 | 1,132,934 | 109.50 | 66.69% | 4.50% | 18.15% |
| Total Fixed Rate RMBS | 1,421,533 | 1,550,143 | 109.05 | 91.25% | 4.33% | 15.02% |
| Total Pass-through RMBS | 1,480,635 | 1,611,139 | 108.81 | 94.84% | 4.27% | 14.40% |
| Interest-Only Securities | 569,888 | 72,033 | 12.64 | 4.24% | 3.62% | 16.10% |
| Inverse Interest-Only Securities | 94,574 | 15,539 | 16.43 | 0.92% | 6.21% | 24.25% |
| Structured RMBS | 664,462 | 87,572 | 13.18 | 5.16% | 4.08% | 17.34% |
| Total Mortgage Assets | $ 2,145,097 | $ 1,698,711 | 100.00% | 4.26% | 15.42% | |
| RMBS Assets by Agency | ||
| ($ in thousands) | ||
| Percentage | ||
| Fair | of | |
| Asset Category | Value (1) | Portfolio |
| As of April 30, 2015 | ||
| Fannie Mae | $ 1,347,086 | 79.3% |
| Freddie Mac | 331,876 | 19.5% |
| Ginnie Mae | 19,749 | 1.2% |
| Total Mortgage Assets | $ 1,698,711 | 100.0% |
| Investment Company Act of 1940 (Whole Pool) Test | ||
| ($ in thousands) | ||
| Percentage | ||
| Fair | of | |
| Asset Category | Value (1) | Portfolio |
| As of April 30, 2015 | ||
| Whole Pool Assets | $ 1,082,824 | 63.7% |
| Non Whole Pool Assets | 615,887 | 36.3% |
| Total Mortgage Assets | $ 1,698,711 | 100.0% |
| (1) The tables above include to-be-announced securities with a fair value of approximately $190.5 million purchased prior to month-end which settle in May 2015. | ||||
| Repurchase Agreement Exposure By Counterparty | ||||
| ($ in thousands) | ||||
| Weighted | ||||
| % of | Average | |||
| Total | Total | Maturity | Longest | |
| As of April 30, 2015 | Borrowings | Debt | in Days | Maturity |
| J.P. Morgan Securities LLC | $ 197,184 | 14.2% | 43 | 7/10/2015 |
| Citigroup Global Markets Inc | 134,088 | 9.7% | 21 | 7/29/2015 |
| Mitsubishi UFJ Securities (USA), Inc | 126,528 | 9.1% | 22 | 6/1/2015 |
| Goldman, Sachs & Co | 122,498 | 8.8% | 45 | 6/17/2015 |
| ICBC Financial Services LLC | 113,957 | 8.2% | 14 | 5/22/2015 |
| CRT Capital Group, LLC | 109,392 | 7.9% | 22 | 5/27/2015 |
| RBC Capital Markets, LLC | 106,434 | 7.7% | 19 | 5/22/2015 |
| Cantor Fitzgerald & Co | 74,976 | 5.4% | 11 | 5/18/2015 |
| ED&F Man Capital Markets Inc | 66,599 | 4.8% | 37 | 7/6/2015 |
| Mizuho Securities USA, Inc | 56,642 | 4.1% | 13 | 5/27/2015 |
| Morgan Stanley & Co | 56,391 | 4.1% | 20 | 5/20/2015 |
| KGS-Alpha Capital Markets, L.P | 52,668 | 3.8% | 14 | 5/27/2015 |
| Guggenheim Securities, LLC | 49,090 | 3.5% | 24 | 5/27/2015 |
| Daiwa Securities America Inc. | 48,390 | 3.5% | 12 | 5/14/2015 |
| South Street Securities, LLC | 36,741 | 2.6% | 18 | 5/27/2015 |
| Nomura Securities International, Inc. | 31,344 | 2.3% | 18 | 6/1/2015 |
| Suntrust Robinson Humphrey, Inc | 4,551 | 0.3% | 8 | 5/8/2015 |
| Total Borrowings | $ 1,387,473 | 100.0% | 25 | 7/29/2015 |
| 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 April 30, 2015 | ||||||||||||
| Adjustable Rate RMBS | $ 3,472 | 2 | 10.07% | 2.00% | $ 19 | $ (20) | ||||||
| Hybrid Adjustable Rate RMBS | 57,524 | 93 | 7.56% | 2.00% | 883 | (1,118) | ||||||
| Total Fixed Rate RMBS | 1,550,143 | n/a | n/a | n/a | 21,132 | (27,982) | ||||||
| Total Pass-through RMBS | 1,611,139 | n/a | n/a | n/a | 22,034 | (29,120) | ||||||
| Interest-Only Securities | 72,033 | n/a | n/a | n/a | (14,084) | 12,549 | ||||||
| Inverse Interest-Only Securities | 15,539 | 1 | 6.39% | n/a | (793) | 314 | ||||||
| Structured RMBS | 87,572 | n/a | n/a | n/a | (14,877) | 12,863 | ||||||
| Total Mortgage Assets | $ 1,698,711 | n/a | n/a | n/a | $ 7,157 | $ (16,257) | ||||||
| Funding Hedges | ||||||||||||
| Modeled | Modeled | |||||||||||
| Interest | Interest | |||||||||||
| Average | Hedge | Rate | Rate | |||||||||
| Notional | Period | Sensitivity | Sensitivity | |||||||||
| Balance | End Date | (-50 BPS) (1) | (+50 BPS) (1) | |||||||||
| As of April 30, 2015 | ||||||||||||
| Eurodollar Futures Contracts - Short Positions | $ 780,000 | Dec-2018 | $ (12,769) | $ 14,625 | ||||||||
| Payer Swaption | 375,000 | Sep-2025 | (87) | 541 | ||||||||
| Grand Total | $ (5,699) | $ (1,091) | ||||||||||
| (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
