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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Exhibit No.
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Description
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99.1
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Press Release dated January 13, 2015
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Date: January 13, 2015
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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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Exhibit No.
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Description
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99.1
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Press Release dated January 13, 2015
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·
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January 2015 Monthly Dividend of $0.18 Per Share
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·
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Estimated Book Value Per Share at December 31, 2014 of $13.05
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·
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Estimated 2.4% total return on equity for the quarter, or 9.6% annualized
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·
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RMBS Portfolio Characteristics as of December 31, 2014
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·
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Tax Characterization of 2014 Distributions 100% Ordinary Taxable Income
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 Whole Pool Test Results
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·
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Repurchase agreement exposure by counterparty
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·
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ in thousands)
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||||||||||||||||||||||||
Percentage
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Weighted
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Realized
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||||||||||||||||||||||
Current
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Fair
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Current
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of
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Average
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Dec 2014 CPR
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|||||||||||||||||||
Asset Category
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Face
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Value
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Price
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Portfolio
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Coupon
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(Reported in Jan)
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||||||||||||||||||
As of December 31, 2014
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$ | 3,535 | $ | 3,794 | 107.33 | 0.24 | % | 3.55 | % | 0.01 | % | |||||||||||||
10-1 Hybrid Rate RMBS
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69,159 | 70,400 | 101.79 | 4.55 | % | 2.54 | % | 5.52 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
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69,159 | 70,400 | 101.79 | 4.55 | % | 2.54 | % | 5.52 | % | |||||||||||||||
15 Year Fixed Rate RMBS
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78,715 | 83,429 | 105.99 | 5.39 | % | 3.40 | % | 8.31 | % | |||||||||||||||
20 Year Fixed Rate RMBS
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287,146 | 309,154 | 107.66 | 19.96 | % | 4.00 | % | 9.27 | % | |||||||||||||||
30 Year Fixed Rate RMBS
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930,639 | 1,020,010 | 109.60 | 65.83 | % | 4.56 | % | 8.02 | % | |||||||||||||||
Total Fixed Rate RMBS
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1,296,500 | 1,412,593 | 108.95 | 91.18 | % | 4.37 | % | 8.40 | % | |||||||||||||||
Total Pass-through RMBS
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1,369,194 | 1,486,787 | 108.59 | 95.97 | % | 4.28 | % | 8.10 | % | |||||||||||||||
Interest-Only Securities
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352,849 | 46,611 | 13.21 | 3.01 | % | 3.95 | % | 15.76 | % | |||||||||||||||
Inverse Interest-Only Securities
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104,027 | 15,773 | 15.16 | 1.02 | % | 6.23 | % | 20.50 | % | |||||||||||||||
Structured RMBS
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456,876 | 62,384 | 13.65 | 4.03 | % | 4.52 | % | 16.92 | % | |||||||||||||||
Total Mortgage Assets
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$ | 1,826,070 | $ | 1,549,171 | 100.00 | % | 4.29 | % | 10.53 | % |
RMBS Assets by Agency
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Investment Company Act of 1940 (Whole Pool) Test
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||||||||||||||||
($ in thousands)
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($ in thousands)
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||||||||||||||||
Percentage
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Percentage
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||||||||||||||||
Fair
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of
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Fair
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of
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||||||||||||||
Asset Category
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Value
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Portfolio
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Asset Category
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Value
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Portfolio
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||||||||||||
As of December 31, 2014
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As of December 31, 2014
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Fannie Mae
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$ | 1,243,923 | 80.3 | % |
Whole Pool Assets
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$ | 1,213,225 | 78.3 | % | ||||||||
Freddie Mac
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296,203 | 19.1 | % |
Non Whole Pool Assets
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335,946 | 21.7 | % | ||||||||||
Ginnie Mae
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9,045 | 0.6 | % |
Total Mortgage Assets
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$ | 1,549,171 | 100.0 | % | |||||||||
Total Mortgage Assets
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$ | 1,549,171 | 100.0 | % |
Repurchase Agreement Exposure By Counterparty
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($ in thousands)
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|||||||||||||
Weighted
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|||||||||||||
% of
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Average
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||||||||||||
Total
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Total
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Maturity
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Longest
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||||||||||
As of December 31, 2014
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Borrowings
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Debt
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in Days
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Maturity
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|||||||||
J.P. Morgan Securities LLC
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$ | 200,816 | 14.1 | % | 29 |
3/10/2015
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Citigroup Global Markets Inc
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187,955 | 13.1 | % | 30 |
3/2/2015
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Goldman, Sachs & Co
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125,159 | 8.7 | % | 60 |
3/11/2015
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Mitsubishi UFJ Securities (USA), Inc
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121,926 | 8.5 | % | 10 |
1/23/2015
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CRT Capital Group, LLC
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116,903 | 8.1 | % | 21 |
1/26/2015
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ICBC Financial Services LLC
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113,353 | 7.9 | % | 28 |
2/10/2015
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KGS-Alpha Capital Markets, L.P
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109,510 | 7.6 | % | 20 |
4/6/2015
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Cantor Fitzgerald & Co
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77,673 | 5.4 | % | 13 |
1/20/2015
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ED&F Man Capital Markets Inc
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75,791 | 5.3 | % | 37 |
3/23/2015
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Morgan Stanley & Co
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60,454 | 4.2 | % | 16 |
1/16/2015
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Mizuho Securities USA, Inc
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56,294 | 3.9 | % | 27 |
2/3/2015
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Daiwa Securities America Inc.
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50,602 | 3.5 | % | 10 |
1/12/2015
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Guggenheim Securities, LLC
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49,951 | 3.5 | % | 20 |
1/23/2015
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South Street Securities, LLC
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37,380 | 2.6 | % | 29 |
2/5/2015
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Suntrust Robinson Humphrey, Inc
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32,208 | 2.2 | % | 15 |
1/15/2015
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Other
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20,676 | 1.4 | % | 50 |
2/19/2015
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Barclays Capital, Inc
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- | - | - |
-
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Total Borrowings
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$ | 1,436,651 | 100.0 | % | 27 |
4/6/2015
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RMBS Risk Measures
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($ in thousands)
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||||||||||||||||||||||||
Mortgage Assets
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Weighted
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Average
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Weighted
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Weighted
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Modeled
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Modeled
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Months
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Average
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Average
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Interest
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Interest
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To Next
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Lifetime
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Periodic
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Rate
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Rate
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||||||||||||||||||||
Fair
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Coupon Reset
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Cap
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Cap Per Year
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Sensitivity
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Sensitivity
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|||||||||||||||||||
Asset Category
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Value
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(if applicable)
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(if applicable)
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(if applicable)
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(-50 BPS)(1)
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(+50 BPS)(1)
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As of December 31, 2014
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Adjustable Rate RMBS
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$ | 3,794 | 4 | 10.05 | % | 2.00 | % | $ | 16 | $ | (19 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
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70,400 | 98 | 7.54 | % | 2.00 | % | 1,330 | (1,602 | ) | |||||||||||||||
Total Fixed Rate RMBS
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1,412,593 | n/a | n/a | n/a | 18,526 | (26,830 | ) | |||||||||||||||||
Total Pass-through RMBS
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1,486,787 | n/a | n/a | n/a | 19,872 | (28,451 | ) | |||||||||||||||||
Interest-Only Securities
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46,611 | n/a | n/a | n/a | (7,078 | ) | 6,365 | |||||||||||||||||
Inverse Interest-Only Securities
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15,773 | 0 | 6.39 | % | n/a | (757 | ) | 177 | ||||||||||||||||
Structured RMBS
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62,384 | n/a | n/a | n/a | (7,835 | ) | 6,542 | |||||||||||||||||
Total Mortgage Assets
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$ | 1,549,171 | n/a | n/a | n/a | $ | 12,037 | $ | (21,909 | ) | ||||||||||||||
Funding Hedges
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Modeled
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Modeled
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|||||||||||||||||||||||
Interest
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Interest
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|||||||||||||||||||||||
Average
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Hedge
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Rate
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Rate
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|||||||||||||||||||||
Notional
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Period
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Sensitivity
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Sensitivity
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Balance
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End Date
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(-50 BPS)(1)
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(+50 BPS)(1)
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Eurodollar Futures Contracts - Short Positions
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$ | 760,000 |
Dec-2018
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$ | (13,087 | ) | $ | 14,250 | ||||||||||||||||
Payer Swaption
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375,000 |
Sep-2025
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(232 | ) | 725 | |||||||||||||||||||
Grand Total
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$ | (1,282 | ) | $ | (6,934 | ) |
(1)
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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. These results are for illustrative purposes only and actual results may differ materially.
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