Attached files

file filename
8-K - ORC FORM 8-K 2014-03-12 - Orchid Island Capital, Inc.orc8k20140312.htm
Exhibit 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
MARCH 2014 MONTHLY DIVIDEND AND
FEBRUARY 28, 2014 MBS PORTFOLIO CHARACTERISTICS

·  
March 2014 Monthly Dividend of $0.18 Per Share
·  
MBS Portfolio Characteristics as of February 28, 2014

Vero Beach, Fla., March 11, 2014 - 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 March 2014. The dividend of $0.18 per share will be paid March 31, 2014, to holders of record on March 26, 2014, with an ex-dividend date of March 24, 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.

MBS Portfolio Characteristics

Details of the MBS portfolio as of February 28, 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:
 
 
·  
MBS Valuation Characteristics
·  
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, 2013.


 
 

 


MBS Valuation Characteristics
                                   
(in thousands of $s)
                                   
                     
Percentage
   
Weighted
   
Realized
 
   
Current
   
Fair
   
Current
   
of
   
Average
   
Feb 2014 CPR
 
Asset Category
 
Face
   
Value
   
Price
   
Portfolio
   
Coupon
   
(Reported in Mar)
 
As of February 28, 2014
                                   
Adjustable Rate MBS
  $ 4,809     $ 5,200       108.12       0.97 %     3.95 %     48.73 %
10-1 Hybrid Rate MBS
    76,112       76,352       100.31       14.19 %     2.55 %     3.46 %
Hybrid Adjustable Rate MBS
    76,112       76,352       100.31       14.19 %     2.55 %     3.46 %
15 Year Fixed Rate MBS
    80,481       84,759       105.32       15.76 %     3.40 %     1.42 %
20 Year Fixed Rate MBS
    30,482       31,571       103.57       5.87 %     3.50 %     0.26 %
30 Year Fixed Rate MBS
    288,332       311,620       108.08       57.92 %     4.54 %     4.52 %
Total Fixed Rate MBS
    399,295       427,950       107.18       79.55 %     4.24 %     3.57 %
Total Pass-through MBS
    480,216       509,502       106.10       94.71 %     3.98 %     4.00 %
Interest-Only Securities
    149,372       21,432       14.35       3.98 %     4.48 %     16.91 %
Inverse Interest-Only Securities
    48,300       7,022       14.54       1.31 %     6.08 %     11.65 %
Structured MBS
    197,672       28,454       14.39       5.29 %     4.88 %     15.63 %
Total Mortgage Assets
  $ 677,888     $ 537,956       -       100.00 %     4.03 %     7.39 %


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 February 28, 2014
           
As of February 28, 2014
           
Fannie Mae
  $ 293,729       54.6 %
Whole Pool Assets
  $ 491,338       91.3 %
Freddie Mac
    226,335       42.1 %
Non Whole Pool Assets
    46,618       8.7 %
Ginnie Mae
    17,892       3.3 %
Total Mortgage Assets
  $ 537,956       100.0 %
Total Mortgage Assets
  $ 537,956       100.0 %                  


Repurchase Agreement Exposure By Counterparty
                   
(in thousands of $s)
                   
               
Weighted
   
         
% of
   
Average
   
   
Total
   
Total
   
Maturity
 
Longest
As of February 28, 2014
 
Borrowings
   
Debt
   
in Days
 
Maturity
Citigroup Global Markets Inc
  $ 143,650       28.5 %     23  
5/27/2014
Cantor Fitzgerald & Co
    54,903       10.9 %     17  
3/17/2014
South Street Securities, LLC
    48,975       9.7 %     13  
3/24/2014
Mizuho Securities USA, Inc
    48,414       9.6 %     37  
4/10/2014
Suntrust Robinson Humphrey, Inc
    45,179       9.0 %     11  
3/11/2014
Morgan Stanley & Co
    38,154       7.6 %     74  
5/13/2014
CRT Capital Group, LLC
    37,136       7.4 %     23  
3/26/2014
KGS-Alpha Capital Markets, L.P
    25,573       5.1 %     17  
3/25/2014
ED&F Man Capital Markets Inc
    25,079       5.0 %     17  
3/17/2014
Goldman, Sachs & Co
    23,919       4.7 %     14  
3/17/2014
Mitsubishi UFJ Securities (USA), Inc
    12,703       2.5 %     28  
3/28/2014
Total Borrowings
  $ 503,685       100.0 %     25  
5/27/2014



 
 

 


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 February 28, 2014
                                   
Adjustable Rate MBS
  $ 5,200       3       10.13 %     2.00 %   $ 9     $ (19 )
Hybrid Adjustable Rate MBS
    76,352       108       7.56 %     2.00 %     2,010       (2,361 )
Total Fixed Rate MBS
    427,950       n/a       n/a       n/a       10,003       (12,523 )
Total Pass-through MBS
    509,502       n/a       n/a       n/a       12,022       (14,903 )
Interest-Only Securities
    21,432       n/a       n/a       n/a       (4,052 )     3,952  
Inverse Interest-Only Securities
    7,022       -       4.17 %     n/a       45       (303 )
Structured MBS
    28,454       n/a       n/a       n/a       (4,006 )     3,649  
Total Mortgage Assets
  $ 537,956       n/a       n/a       n/a     $ 8,016     $ (11,254 )
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
    $ 350,000    
Dec-2018
    $ (6,166 )   $ 7,000  
Grand Total
                                  $ 1,850     $ (4,254 )

*
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