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| 8-K - ORC FORM 8-K 2013-05-09 - Orchid Island Capital, Inc. | orc8k20130509.htm |
Orchid Island Capital, Inc. Announces the Declaration of the Monthly Dividend for May 2013 and Portfolio Summary as of April 30, 2013
VERO BEACH, Fla., May 9, 2013 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (NYSE MKT:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of May 2013. The dividend of $0.135 per share will be paid May 31, 2013, to holders of record on May 28, 2013, with an ex-dividend date of May 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.
Details of the MBS Portfolio Performance
Details of the MBS portfolio as of April 30, 2013 are presented below. These figures are preliminary and subject to change. The information contained herein is an inter-quarter update created by the Company based upon information that the Company believes is accurate.
MBS Portfolio Characteristics
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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
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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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Asset Category
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Current
Face*
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Fair
Value*
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Current
Price
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Percentage
of Portfolio
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Weighted
Average Coupon
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Realized April 2013 CPR
(Reported in May)*
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As of April 30, 2013
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Adjustable Rate MBS
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5,968 | 6,469 | 108.39 | 1.76 | % | 4.19 | % | 0.87 | % | |||||||||||||||
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10-1 Hybrid Rate MBS
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103,128 | 107,735 | 104.47 | 29.32 | % | 2.61 | % | 8.60 | % | |||||||||||||||
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Total Hybrid Adjustable Rate MBS
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103,128 | 107,735 | 104.47 | 29.32 | % | 2.61 | % | 8.60 | % | |||||||||||||||
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10 Year Fixed Rate MBS
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9,704 | 10,331 | 106.46 | 2.81 | % | 3.00 | % | 2.20 | % | |||||||||||||||
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15 Year Fixed Rate MBS
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26,892 | 28,495 | 105.96 | 7.75 | % | 3.10 | % | 12.79 | % | |||||||||||||||
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20 Year Fixed Rate MBS
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46,697 | 49,869 | 106.79 | 13.57 | % | 3.34 | % | 0.60 | % | |||||||||||||||
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30 Year Fixed Rate MBS
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134,031 | 143,018 | 106.71 | 38.92 | % | 3.41 | % | 1.78 | % | |||||||||||||||
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Total Fixed Rate MBS
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217,324 | 231,713 | 106.62 | 63.06 | % | 3.34 | % | 2.91 | % | |||||||||||||||
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Total Mortgage-backed Pass-through MBS
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326,420 | 345,918 | 105.97 | 94.13 | % | 3.13 | % | 4.67 | % | |||||||||||||||
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Interest-Only Securities
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162,357 | 19,334 | 11.91 | 5.26 | % | 3.95 | % | 27.58 | % | |||||||||||||||
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Inverse Interest-Only Securities
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24,180 | 2,220 | 9.18 | 0.60 | % | 6.15 | % | 34.30 | % | |||||||||||||||
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Structured MBS
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186,537 | 21,554 | 11.55 | 5.87 | % | 4.17 | % | 28.45 | % | |||||||||||||||
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Total Mortgage Assets
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512,957 | 367,472 | 100.00 | % | 3.19 | % | 13.32 | % | ||||||||||||||||
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* Amounts are as of April 30, 2013, and do not reflect pay-downs received in May. Prepayment speeds reported are not reflected in the current balance and fair value amounts.
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MBS Assets by Agency
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(in thousands of $s)
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As of April 30, 2013
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Fair
Value
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Percentage
of Portfolio
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Fannie Mae
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174,767 | 47.6 | % | |||||
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Freddie Mac
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168,612 | 45.9 | % | |||||
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Ginnie Mae
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24,093 | 6.6 | % | |||||
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Total Portfolio
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367,472 | 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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As of April 30, 2013
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Fair
Value
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Percentage
of Portfolio
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Whole Pool Assets
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304,961 | 83.0 | % | |||||
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Non Whole Pool Assets
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62,511 | 17.0 | % | |||||
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Total Portfolio
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367,472 | 100 | % | |||||
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Repurchase Agreement Exposure By Counterparty
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(in thousands of $s)
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As of April 30, 2013
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Total
Borrowings
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% Of Total
Debt
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Weighted Average
Maturity in Days
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Longest
Maturity
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Cantor Fitzgerald & Co
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29,855 | 9.19 | % | 5 |
5/20/2013
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Citigroup Global Markets Inc
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100,716 | 31.01 | % | 31 |
6/10/2013
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CRT Capital Group, LLC
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65,820 | 20.26 | % | 20 |
5/24/2013
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KGS-Alpha Capital Markets, L.P
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5,052 | 1.56 | % | 1 |
5/1/2013
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Mizuho Securities USA, Inc
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15,405 | 4.74 | % | 6 |
5/6/2013
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Pierpont Securities, LLC
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16,322 | 5.02 | % | 52 |
6/21/2013
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The PrinceRidge Group, LLC
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35,934 | 11.06 | % | 23 |
5/24/2013
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South Street Securities, LLC
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44,622 | 13.74 | % | 14 |
5/24/2013
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Suntrust Robinson Humphry, Inc
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11,106 | 3.42 | % | 17 |
5/17/2013
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Total Borrowings*
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324,832 | 100 | % | 22 |
6/21/2013
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* excludes 3,806 in borrowings of an asset which was sold on 4/26/13 and which subsequently settled on 5/1/13.
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MBS Risk Measures
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(in thousands of $s)
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Asset Category
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Fair
Value
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Weighted Average Months To Next Coupon Reset
(if applicable)
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Weighted Average Lifetime Cap
(if applicable)
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Weighted Average Periodic Cap Per Year
(if applicable)
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Modeled Interest Rate Sensitivity
-50 BPS*
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Modeled Interest
Rate Sensitivity
+50 BPS*
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As of April 30, 2013
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Adjustable Rate MBS
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6,469 | 1 | 10.04 | % | 2.00 | % | -3 | -24 | ||||||||||||||||
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Total Hybrid Adjustable Rate MBS
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103,128 | 114 | 7.61 | % | 2.00 | % | 843 | -1,972 | ||||||||||||||||
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Total Fixed Rate MBS
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217,324 | n/a | n/a | n/a | 5,291 | -6,634 | ||||||||||||||||||
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Total Mortgage-backed Pass-through MBS
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326,921 | n/a | n/a | n/a | 6,131 | -8,629 | ||||||||||||||||||
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Interest-Only Securities
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162,357 | n/a | n/a | n/a | -2,346 | 2,397 | ||||||||||||||||||
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Inverse Interest-Only Securities
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24,180 | 1 | 6.35 | % | n/a | -180 | 259 | |||||||||||||||||
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Structured MBS
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186,537 | n/a | n/a | n/a | -2,526 | 2,657 | ||||||||||||||||||
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Total Mortgage Assets
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513,459 | n/a | n/a | n/a | 3,604 | -5,973 | ||||||||||||||||||
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(in thousands)
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Notional Balance
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Hedge Period End
Date
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Modeled Interest Rate Sensitivity
-50 BPS*
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Modeled Interest
Rate Sensitivity +50 BPS*
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Funding Hedge
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250,000 |
Mar-18
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-3,756 | 5,938 | ||||||||||||||||||||
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Grand Total
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(152 | ) | (35 | ) | ||||||||||||||||||||
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* 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.
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* These results are for illustrative purposes only and actual results may differ materially.
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Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400