Maryland
|
001-35236
|
27-3269228
|
(State or Other Jurisdiction of Incorporation)
|
(Commission File Number)
|
(IRS Employer Identification No.)
|
¨
|
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
|
¨
|
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
|
¨
|
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
|
¨
|
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
|
Exhibit No.
|
Description
|
|
99.1
|
Press Release dated December 9, 2014
|
Date: December 9, 2014
|
ORCHID ISLAND CAPITAL, INC.
|
||
By:
|
/s/ Robert E. Cauley | ||
Robert E. Cauley
|
|||
Chairman and Chief Executive Officer
|
Exhibit No.
|
Description
|
|
99.1
|
Press Release dated December 9, 2014
|
·
|
December 2014 Monthly Dividend of $0.18 Per Share
|
·
|
RMBS Portfolio Characteristics as of November 28, 2014
|
·
|
RMBS Valuation Characteristics
|
·
|
RMBS Assets by Agency
|
·
|
Investment Company Act of 1940 (Whole Pool) Test Results
|
·
|
Repurchase Agreement Exposure by Counterparty
|
·
|
RMBS Risk Measures
|
RMBS Valuation Characteristics
|
||||||||||||||||||||||||
($ in thousands)
|
||||||||||||||||||||||||
Percentage
|
Weighted
|
Realized
|
||||||||||||||||||||||
Current
|
Fair
|
Current
|
of
|
Average
|
Nov 2014 CPR
|
|||||||||||||||||||
Asset Category
|
Face1
|
Value1
|
Price
|
Portfolio
|
Coupon
|
(Reported in Dec)
|
||||||||||||||||||
As of November 28, 2014
|
||||||||||||||||||||||||
Adjustable Rate RMBS
|
$ | 3,546 | $ | 3,742 | 105.52 | 0.27 | % | 3.52 | % | 0.00 | % | |||||||||||||
10-1 Hybrid Rate RMBS
|
69,625 | 70,961 | 101.92 | 5.17 | % | 2.54 | % | 5.33 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
|
69,625 | 70,961 | 101.92 | 5.17 | % | 2.54 | % | 5.33 | % | |||||||||||||||
15 Year Fixed Rate RMBS
|
79,567 | 84,531 | 106.24 | 6.15 | % | 3.40 | % | 6.79 | % | |||||||||||||||
20 Year Fixed Rate RMBS
|
242,424 | 261,221 | 107.75 | 19.00 | % | 4.00 | % | 2.60 | % | |||||||||||||||
30 Year Fixed Rate RMBS
|
816,204 | 895,130 | 109.67 | 65.11 | % | 4.57 | % | 4.47 | % | |||||||||||||||
Total Fixed Rate RMBS
|
1,138,195 | 1,240,882 | 109.02 | 90.26 | % | 4.37 | % | 4.22 | % | |||||||||||||||
Total Pass-through RMBS
|
1,211,366 | 1,315,585 | 108.60 | 95.70 | % | 4.27 | % | 4.28 | % | |||||||||||||||
Interest-Only Securities
|
329,707 | 42,398 | 12.86 | 3.08 | % | 4.04 | % | 13.59 | % | |||||||||||||||
Inverse Interest-Only Securities
|
106,089 | 16,740 | 15.78 | 1.22 | % | 6.23 | % | 12.09 | % | |||||||||||||||
Structured RMBS
|
435,796 | 59,138 | 13.57 | 4.30 | % | 4.66 | % | 13.22 | % | |||||||||||||||
Total Mortgage Assets
|
$ | 1,647,162 | $ | 1,374,723 | 100.00 | % | 4.28 | % | 7.12 | % |
(1)
|
Amounts include assets with a fair value of approximately $44.5 million purchased in November 2014 which settle in December 2014.
|
RMBS Assets by Agency
|
Investment Company Act of 1940 (Whole Pool) Test
|
||||||||||||||||
($ in thousands)
|
($ in thousands)
|
||||||||||||||||
Percentage
|
Percentage
|
||||||||||||||||
Fair
|
of
|
Fair
|
of
|
||||||||||||||
Asset Category
|
Value
|
Portfolio
|
Asset Category
|
Value
|
Portfolio
|
||||||||||||
As of November 28, 2014
|
As of November 28, 2014
|
||||||||||||||||
Fannie Mae
|
$ | 1,052,459 | 76.6 | % |
Whole Pool Assets
|
$ | 1,077,791 | 78.4 | % | ||||||||
Freddie Mac
|
313,248 | 22.7 | % |
Non Whole Pool Assets
|
296,932 | 21.6 | % | ||||||||||
Ginnie Mae
|
9,016 | 0.7 | % |
Total Mortgage Assets
|
$ | 1,374,723 | 100.0 | % | |||||||||
Total Mortgage Assets
|
$ | 1,374,723 | 100.0 | % |
Repurchase Agreement Exposure By Counterparty
|
|||||||||||||
($ in thousands)
|
|||||||||||||
Weighted
|
|||||||||||||
% of
|
Average
|
||||||||||||
Total
|
Total
|
Maturity
|
Longest
|
||||||||||
As of November 28, 2014
|
Borrowings1
|
Debt
|
in Days
|
Maturity
|
|||||||||
J.P. Morgan Securities LLC
|
$ | 190,001 | 15.3 | % | 63 |
3/10/2015
|
|||||||
Citigroup Global Markets Inc
|
178,474 | 14.5 | % | 32 |
2/4/2015
|
||||||||
CRT Capital Group, LLC
|
116,903 | 9.5 | % | 54 |
1/26/2015
|
||||||||
KGS-Alpha Capital Markets, L.P
|
109,673 | 8.9 | % | 44 |
4/6/2015
|
||||||||
Mitsubishi UFJ Securities (USA), Inc
|
89,133 | 7.3 | % | 43 |
1/23/2015
|
||||||||
Cantor Fitzgerald & Co
|
78,215 | 6.4 | % | 26 |
1/20/2015
|
||||||||
ED&F Man Capital Markets Inc
|
75,916 | 6.2 | % | 46 |
2/2/2015
|
||||||||
Goldman, Sachs & Co
|
61,277 | 5.0 | % | 83 |
2/19/2015
|
||||||||
Morgan Stanley & Co
|
59,011 | 4.8 | % | 19 |
12/17/2014
|
||||||||
Guggenheim Securities, LLC
|
49,901 | 4.1 | % | 45 |
1/23/2015
|
||||||||
Barclays Capital Inc.
|
48,839 | 4.0 | % | 26 |
12/24/2014
|
||||||||
South Street Securities, LLC
|
37,501 | 3.1 | % | 38 |
1/26/2015
|
||||||||
Daiwa Securities America Inc.
|
32,747 | 2.7 | % | 14 |
12/12/2014
|
||||||||
Suntrust Robinson Humphrey, Inc
|
32,225 | 2.6 | % | 3 |
12/1/2014
|
||||||||
Mizuho Securities USA, Inc
|
25,115 | 2.0 | % | 51 |
1/26/2015
|
||||||||
ICBC Financial Services LLC
|
23,494 | 1.9 | % | 55 |
1/22/2015
|
||||||||
Other
|
20,676 | 1.7 | % | 83 |
2/19/2015
|
||||||||
Total Borrowings
|
$ | 1,229,101 | 100.0 | % | 44 |
4/6/2015
|
(1)
|
In November 2014, the Company purchased assets with a fair value of approximately $44.5 million which settle in December 2014 that are expected to be funded by repurchase agreements.
|
RMBS Risk Measures
|
||||||||||||||||||||||||
($ in thousands)
|
||||||||||||||||||||||||
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)(1)
|
(+50 BPS)(1)
|
||||||||||||||||||
As of November 28, 2014
|
||||||||||||||||||||||||
Adjustable Rate RMBS
|
$ | 3,742 | 5 | 10.05 | % | 2.00 | % | $ | 16 | $ | (22 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
|
70,961 | 99 | 7.54 | % | 2.00 | % | 1,373 | (1,656 | ) | |||||||||||||||
Total Fixed Rate RMBS
|
1,240,882 | n/a | n/a | n/a | 18,279 | (26,137 | ) | |||||||||||||||||
Total Pass-through RMBS
|
1,315,585 | n/a | n/a | n/a | 19,668 | (27,815 | ) | |||||||||||||||||
Interest-Only Securities
|
42,398 | n/a | n/a | n/a | (6,397 | ) | 5,800 | |||||||||||||||||
Inverse Interest-Only Securities
|
16,740 | 1 | 6.39 | % | n/a | (823 | ) | 137 | ||||||||||||||||
Structured RMBS
|
59,138 | n/a | n/a | n/a | (7,220 | ) | 5,937 | |||||||||||||||||
Total Mortgage Assets
|
$ | 1,374,723 | n/a | n/a | n/a | $ | 12,448 | $ | (21,878 | ) | ||||||||||||||
Funding Hedges
|
||||||||||||||||||||||||
Modeled
|
Modeled
|
|||||||||||||||||||||||
Interest
|
Interest
|
|||||||||||||||||||||||
Average
|
Hedge
|
Rate
|
Rate
|
|||||||||||||||||||||
Notional
|
Period
|
Sensitivity
|
Sensitivity
|
|||||||||||||||||||||
Balance
|
End Date
|
(-50 BPS)(1)
|
(+50 BPS)(1)
|
|||||||||||||||||||||
Eurodollar Futures Contracts - Short Positions
|
$ | 760,000 |
Dec-2018
|
$ | (12,804 | ) | $ | 14,250 | ||||||||||||||||
Payer Swaption
|
375,000 |
Sep-2025
|
(340 | ) | 929 | |||||||||||||||||||
Grand Total
|
$ | (696 | ) | $ | (6,699 | ) |
(1)
|
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.
|