Orchid Island Capital, Inc. Announces The Declaration Of The Monthly Dividend For April 2013 And Portfolio Summary As Of March 31, 2013

NEW YORK, April 11, 2013 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (NYSE:ORC) announced that on April 10, 2013, the Board of Directors declared a monthly cash dividend for the month of April 2013. The dividend of $0.135 per share will be paid April 30, 2013, to holders of record on April 25, 2013, with an ex-dividend date of April 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

On February 28, 2013, the Company announced it had fully deployed the proceeds from its recently completed initial public offering. Details of the MBS portfolio as of March 31, 2013 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes, are subject to  review by the Company's independent registered public accounting firm. 
  • MBS Portfolio Characteristics
  • MBS Assets by Agency.
  • Investment Company Act of 1940 Whole Pool Test Results
  • Repurchase agreement exposure by counter-party
  • 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)
Asset Category Current Face Fair Value Current Price Percentage of Portfolio Weighted Average Coupon Realized Feb 2013 CPR (Reported in March)
As of March 31, 2013            
Adjustable Rate MBS 5,983 6,485 108.39 1.80% 4.20% 0.12%
7-1 Hybrid Rate MBS 24,171 25,357 104.91 7.04% 2.52% 1.13%
10-1 Hybrid Rate MBS 83,423 87,128 104.44 24.18% 2.65% 5.69%
Total Hybrid Adjustable Rate MBS 107,594 112,485 104.55 31.22% 2.62% 4.54%
10 Year Fixed Rate MBS 9,893 10,484 105.98 2.91% 3.00% 1.94%
15 Year Fixed Rate MBS 53,016 55,975 105.58 15.54% 3.05% 7.64%
20 Year Fixed Rate MBS 29,154 30,814 105.69 8.55% 3.25% 0.38%
30 Year Fixed Rate MBS 114,349 120,535 105.41 33.46% 3.40% 0.31%
Total Fixed Rate MBS 206,412 217,808 105.52 60.46% 3.27% 5.87%
Total Mortgage-backed Pass-through MBS 319,989 336,778 105.25 93.48% 3.07% 4.94%
Interest-Only Securities 167,102 21,141 12.65 5.87% 3.94% 20.58%
Inverse Interest-Only Securities 25,661 2,341 9.12 0.65% 6.15% 37.76%
Structured MBS 192,763 23,482 12.18 6.52% 4.16% 23.52%
Total Mortgage Assets 512,752 360,260   100.00% 3.14% 13.53%
     
MBS Assets by Agency   Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s)  
As of March 31, 2013 Fair Value Percentage of Portfolio   Fair Value Percentage of Portfolio
Fannie Mae 228,668 63.5%      
Freddie Mac 106,817 29.6% Whole Pool Assets 314,788 87.4%
Ginnie Mae 24,775 6.9% Non Whole Pool Assets 45,472 12.6%
Total Portfolio 360,260 100% Total Portfolio 360,260 100%
Repurchase Agreement Exposure By Counterparty    
(in thousands of $s)
As of March 31, 2013 Total Borrowings % Of Total Debt Weighted Average Maturity in Days Longest Maturity
Cantor Fitzgerald & Co 30,048 9.50% 8 4/19/2013
Citigroup Global Markets Inc 107,287 33.90% 21 4/25/2013
CRT Capital Group, LLC 45,277 14.31% 5 4/26/2013
KGS-Alpha Capital Markets, L.P 5,057 1.60% 4 4/1/2013
Mizuho Securities USA, Inc 15,464 4.89% 7 4/4/2013
Pierpont Securities, LLC 16,322 5.16% 85 6/21/2013
The PrinceRidge Group, LLC 35,928 11.35% 26 4/25/2013
South Street Securities, LLC 21,587 6.82% 9 4/19/2013
Suntrust Robinson Humphry, Inc 39,476 12.47% 22 4/19/2013
Total Borrowings 316,446 100% 20 6/21/2013
             
MBS Risk Measures            
(in thousands of $s)            
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* Modeled Interest Rate Sensitivity +50 BPS*
As of March 31, 2013            
Adjustable Rate MBS 6,485 2 10.04% 2.00% 79 -87
Total Hybrid Adjustable Rate MBS 112,485 107 7.62% 2.00% 1,384 -2,308
Total Fixed Rate MBS 217,808 n/a n/a n/a 5,589 -6,220
Total Mortgage-backed Pass-through MBS 336,778 n/a n/a n/a 7,052 -8,614
Interest-Only Securities 21,141 n/a n/a n/a -2,374 2,451
Inverse Interest-Only Securities 2,341 1 6.35% n/a -189 277
Structured MBS 23,482 n/a n/a n/a -2,564 2,728
Total Mortgage Assets 360,260 n/a n/a n/a 4,488 -5,886
             
(in thousands) Notional Balance Hedge Period End Date      
Funding Hedge 250,000 Mar-18     -4,199 5,938
Grand Total         289 51
* 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

Orchid Island Capital, Inc.