Maryland
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001-35236
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27-3269228
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(State or Other Jurisdiction of Incorporation)
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(Commission File Number)
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(IRS Employer Identification No.)
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¨
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Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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¨
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Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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¨
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Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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¨
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Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
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99.1
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Orchid Island Capital, Inc. Slide Deck Investor Presentation
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99.2
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Press Release dated June 10, 2013
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Date: June 10, 2013
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ORCHID ISLAND CAPITAL, INC.
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||
By:
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/s/ Robert E. Cauley | ||
Robert E. Cauley
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|||
Chairman and Chief Executive Officer
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·
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MBS Assets by Agency
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·
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Investment Company Act of 1940 Whole Pool Test Results
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·
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Repurchase agreement exposure by counter-party
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·
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MBS Risk Measures
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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
|
Weighted Average Coupon
|
Realized May 2013 CPR
(Reported in June) *
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||||||||||||||||||
As of May 31, 2013
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||||||||||||||||||||||||
Adjustable Rate MBS
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5,949 | 6,448 | 108.39 | 1.86 | % | 4.19 | % | 28.30 | % | |||||||||||||||
10-1 Hybrid Rate MBS
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102,216 | 105,333 | 103.05 | 30.41 | % | 2.61 | % | 11.18 | % | |||||||||||||||
Total Hybrid Adjustable Rate MBS
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102,216 | 105,333 | 103.05 | 30.41 | % | 2.61 | % | 11.18 | % | |||||||||||||||
10 Year Fixed Rate MBS
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9,611 | 10,096 | 105.05 | 2.92 | % | 3.00 | % | 13.24 | % | |||||||||||||||
15 Year Fixed Rate MBS
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26,258 | 27,453 | 104.55 | 7.93 | % | 3.10 | % | 9.67 | % | |||||||||||||||
20 Year Fixed Rate MBS
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31,712 | 33,300 | 105.01 | 9.61 | % | 3.50 | % | 1.31 | % | |||||||||||||||
30 Year Fixed Rate MBS
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136,841 | 141,356 | 103.30 | 40.81 | % | 3.40 | % | 1.59 | % | |||||||||||||||
Total Fixed Rate MBS
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204,422 | 212,205 | 103.81 | 61.27 | % | 3.36 | % | 3.59 | % | |||||||||||||||
Total Mortgage-backed Pass-through MBS
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312,587 | 323,986 | 103.65 | 93.55 | % | 3.13 | % | 7.07 | % | |||||||||||||||
Interest-Only Securities
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156,985 | 20,224 | 12.88 | 5.84 | % | 3.94 | % | 22.71 | % | |||||||||||||||
Inverse Interest-Only Securities
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22,790 | 2,128 | 9.34 | 0.61 | % | 6.16 | % | 43.57 | % | |||||||||||||||
Structured MBS
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179,775 | 22,352 | 12.43 | 6.45 | % | 4.15 | % | 25.35 | % | |||||||||||||||
Total Mortgage Assets
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492,363 | 346,338 | 100.00 | % | 3.20 | % | 14.45 | % | ||||||||||||||||
* Amounts are as of May 31, 2013, and do not reflect pay-downs received in June. Prepayment speeds reported are not reflected in the current balance and fair value amounts.
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||||||||||||||||||||||||
MBS Assets by Agency
|
||||||||
(in thousands of $s)
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||||||||
As of May 31, 2013
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Fair
Value
|
Percentage
of Portfolio
|
||||||
Fannie Mae
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202,890 | 58.6 | % | |||||
Freddie Mac
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119,107 | 34.4 | % | |||||
Ginnie Mae
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24,342 | 7.0 | % | |||||
Total Portfolio
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346,338 | 100 | % |
Investment Company Act of 1940 (Whole Pool) Test
|
||||||||
(in thousands of $s)
|
||||||||
As of May 31, 2013
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Fair
Value
|
Percentage
of Portfolio
|
||||||
Whole Pool Assets
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286,533 | 82.7 | % | |||||
Non Whole Pool Assets
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59,805 | 17.3 | % | |||||
Total Portfolio
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346,338 | 100 | % |
Repurchase Agreement Exposure By Counterparty
|
||||
(in thousands of $s)
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||||
As of May 31, 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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14,841
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5.61%
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8
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6/19/2013
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Citigroup Global Markets Inc
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100,271
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37.93%
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26
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7/30/2013
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CRT Capital Group, LLC
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22,132
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8.37%
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11
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6/24/2013
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KGS-Alpha Capital Markets, L.P
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4,966
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1.88%
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31
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7/1/2013
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Mizuho Securities USA, Inc
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15,516
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5.87%
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6
|
6/6/2013
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Pierpont Securities, LLC
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16,322
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6.18%
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21
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6/21/2013
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The PrinceRidge Group, LLC
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35,319
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13.36%
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23
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6/24/2013
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South Street Securities, LLC
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44,458
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16.82%
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14
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6/24/2013
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Suntrust Robinson Humphrey, Inc
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10,509
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3.98%
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14
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6/14/2013
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Total Borrowings *
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264,334
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100%
|
19
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7/30/2013
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* excludes $56,683 of borrowings against assets which were sold on 5/28/13 and which are scheduled to settle on 6/13/13 and $45,097 of estimated borrowings against assets which were purchased on 5/29/13 and which are scheduled to settle on the same day.
|
MBS Risk Measures As of June 6, 2013*
|
||||||||||||||||||||||||
(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 May 31, 2013
|
||||||||||||||||||||||||
Adjustable Rate MBS
|
6,216 | 1 | 10.04 | % | 2.00 | % | 20 | -35 | ||||||||||||||||
Total Hybrid Adjustable Rate MBS
|
104,084 | 114 | 7.61 | % | 2.00 | % | 1,811 | -2,437 | ||||||||||||||||
Total Fixed Rate MBS
|
211,153 | n/a | n/a | n/a | 5,930 | -6,548 | ||||||||||||||||||
Total Mortgage-backed Pass-through MBS
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321,453 | n/a | n/a | n/a | 7,761 | -9,020 | ||||||||||||||||||
Interest-Only Securities
|
18,539 | n/a | n/a | n/a | -1,754 | 1,372 | ||||||||||||||||||
Inverse Interest-Only Securities
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2,035 | 1 | 6.36 | % | n/a | -191 | 173 | |||||||||||||||||
Structured MBS
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20,574 | n/a | n/a | n/a | -1,944 | 1,545 | ||||||||||||||||||
Total Mortgage Assets
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342,027 | n/a | n/a | n/a | 5,817 | -7,475 | ||||||||||||||||||
(in thousands)
|
Notional Balance
|
Hedge Period
End Date
|
Modeled Interest Rate Sensitivity
-50 BPS**
|
Modeled Interest
Rate Sensitivity +50 BPS**
|
||||||||||||||||||||
Funding Hedge
|
250,000 |
Dec-18
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-5,327 | 6,875 | ||||||||||||||||||||
Grand Total
|
490 | (600 | ) | |||||||||||||||||||||
*Reflects June paydowns and trading activity between May 31, 2013 and June 6, 2013
|
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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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