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8-K - ORC FORM 8-K 2013-11-12 - Orchid Island Capital, Inc.orc20131112.htm
Exhibit 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
NOVEMBER 2013 MONTHLY DIVIDEND AND
OCTOBER 31, 2013 MBS PORTFOLIO CHARACTERISTICS

·  
November 2013 Monthly Dividend of $0.135 Per Share
·  
MBS Portfolio Characteristics as of October 31, 2013

Vero Beach, Fla., November 12, 2013 - 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 November 2013. The dividend of $0.135 per share will be paid November 27, 2013, to holders of record on November 25, 2013, with an ex-dividend date of November 21, 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 October 31, 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.
 
 
·  
MBS Assets by Agency
·  
Investment Company Act of 1940 Whole Pool Test Results
·  
Repurchase agreement exposure by counterparty
·  
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.


 
 

 


MBS Valuation Characteristics
                                   
(in thousands of $s)
                                   
                     
Percentage
   
Weighted
   
Realized
 
   
Current
   
Fair
   
Current
   
of
   
Average
   
Oct 2013 CPR
 
Asset Category
 
Face
   
Value
   
Price
   
Portfolio
   
Coupon
   
(Reported in Nov)
 
As of October 31, 2013
                                   
Adjustable Rate MBS
  $ 5,672     $ 6,134       108.14       1.82 %     4.02 %     50.74 %
10-1 Hybrid Rate MBS
    77,986       78,352       100.47       23.21 %     2.56 %     6.02 %
Hybrid Adjustable Rate MBS
    77,986       78,352       100.47       23.21 %     2.56 %     6.02 %
15 Year Fixed Rate MBS
    22,204       23,104       104.06       6.84 %     3.00 %     8.24 %
20 Year Fixed Rate MBS
    31,062       32,268       103.88       9.56 %     3.50 %     4.87 %
30 Year Fixed Rate MBS
    166,120       174,754       105.20       51.77 %     4.03 %     5.71 %
Total Fixed Rate MBS
    219,386       230,126       104.90       68.17 %     3.86 %     5.85 %
Total Pass-through MBS
    303,044       314,612       103.82       93.20 %     3.54 %     6.73 %
Interest-Only Securities
    133,396       17,544       13.15       5.20 %     4.30 %     22.05 %
Inverse Interest-Only Securities
    39,730       5,422       13.65       1.60 %     5.91 %     18.12 %
Structured MBS
    173,126       22,966       13.27       6.80 %     4.68 %     21.15 %
Total Mortgage Assets
  $ 476,170     $ 337,578       -       100.00 %     3.61 %     11.97 %


MBS Assets by Agency
           
Investment Company Act of 1940 (Whole Pool) Test
 
(in thousands of $s)
           
(in thousands of $s)
           
         
Percentage
           
Percentage
 
   
Fair
   
of
     
Fair
   
of
 
Asset Category
 
Value
   
Portfolio
 
Asset Category
 
Value
   
Portfolio
 
As of October 31, 2013
           
As of October 31, 2013
           
Fannie Mae
  $ 182,188       54.0 %
Whole Pool Assets
  $ 278,000       82.4 %
Freddie Mac
    136,612       40.5 %
Non Whole Pool Assets
    59,578       17.7 %
Ginnie Mae
    18,778       5.6 %
Total Mortgage Assets
  $ 337,578       100.0 %
Total Mortgage Assets
  $ 337,578       100.0 %                  


Repurchase Agreement Exposure By Counterparty
                   
(in thousands of $s)
                   
               
Weighted
   
         
% of
   
Average
   
   
Total
   
Total
   
Maturity
 
Longest
   
Borrowings
   
Debt
   
in Days
 
Maturity
Citigroup Global Markets Inc
  $ 117,386       35.2 %     10  
11/22/2013
South Street Securities, LLC
    49,432       14.8 %     14  
11/25/2013
Suntrust Robinson Humphry, Inc
    46,056       13.8 %     7  
11/7/2013
Cantor Fitzgerald & Co
    40,058       12.0 %     22  
11/25/2013
Mizuho Securities USA, Inc
    26,557       8.0 %     22  
1/10/2014
Pierpont Securities, LLC
    26,465       7.9 %     12  
11/12/2013
KGS-Alpha Capital Markets, L.P
    12,706       3.8 %     17  
11/25/2013
Morgan Stanley
    10,198       3.1 %     7  
11/7/2013
CRT Capital Group, LLC
    4,536       1.4 %     26  
11/26/2013
Total Borrowings
  $ 333,394       100.0 %     13  
1/10/2014


 
 

 


MBS Risk Measures
                                   
(in thousands of $s)
                                   
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)*
   
(+50 BPS)*
 
As of October 31, 2013
                                   
Adjustable Rate MBS
  $ 6,134       4       10.05 %     2.00 %   $ 60     $ (76 )
Hybrid Adjustable Rate MBS
    78,352       112       7.56 %     2.00 %     1,699       (2,093 )
Total Fixed Rate MBS
    230,126       n/a       n/a       n/a       5,247       (6,492 )
Total Pass-through MBS
    314,612       n/a       n/a       n/a       7,006       (8,661 )
Interest-Only Securities
    17,544       n/a       n/a       n/a       (2,516 )     2,082  
Inverse Interest-Only Securities
    5,422       1       6.08 %     n/a       41       (210 )
Structured MBS
    22,966       n/a       n/a       n/a       (2,475 )     1,872  
Total Mortgage Assets
  $ 337,578       n/a       n/a       n/a     $ 4,531     $ (6,789 )
Funding Hedges
                                               
                                   
Modeled
   
Modeled
 
                                   
Interest
   
Interest
 
                   
Average
   
Hedge
   
Rate
   
Rate
 
                   
Notional
   
Period
   
Sensitivity
   
Sensitivity
 
                   
Balance
   
End Date
   
(-50 BPS)*
   
(+50 BPS)*
 
Eurodollar Futures Contracts - Short Positions
    $ 257,353    
Dec-2018
    $ (4,823 )   $ 5,469  
Grand Total
                                  $ (292 )   $ (1,320 )

*
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.

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400