Business Wire | Oct 29, 2020 04:06PM EDT

Orchid Island Capital Announces Third Quarter 2020 Results

Oct. 29, 2020

VERO BEACH, Fla.--(BUSINESS WIRE)--Oct. 29, 2020--Orchid Island Capital, Inc. (NYSE:ORC) ("Orchid" or the "Company"), a real estate investment trust ("REIT"), today announced results of operations for the three month period ended September 30, 2020.

Third Quarter 2020 Highlights

* Net income of $28.1 million, or $0.42 per common share, which consists of: Net interest income of $25.2 million, or $0.37 per common share Total expenses of $2.8 million, or $0.04 per common share Net realized and unrealized gains of $5.7 million, or $0.09 per share, on RMBS and derivative instruments, including net interest income on interest rate swaps * Third quarter total dividends declared and paid of $0.19 per common share * Book value per share of $5.44 at September 30, 2020 * Total return of 7.9%, comprised of $0.19 dividend per common share and $0.22 increase in book value per common share, divided by beginning book value per share * Company to discuss results on Friday, October 30, 2020, at 10:00 AM ET * Supplemental materials to be discussed on the call can be downloaded from the investor relations section of the Company's website at www.orchidislandcapital.com

Details of Third Quarter 2020 Results of Operations

The Company reported net income of $28.1 million for the three month period ended September 30, 2020, compared with net loss of $8.5 million for the three month period ended September 30, 2019. The third quarter net income included net interest income of $25.2 million, net portfolio gains of $5.7 million (which includes realized and unrealized losses on RMBS and derivative instruments, and net interest expense realized on interest rate swaps), management fees and allocated overhead of $1.6 million, audit, legal and other professional fees of $0.2 million, and other operating, general and administrative expenses of $1.0 million.

Capital Allocation and Return on Invested Capital

The Company allocates capital to two RMBS sub-portfolios, the pass-through RMBS portfolio, consisting of mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae (the "GSEs") and collateralized mortgage obligations ("CMOs") issued by the GSEs ("PT RMBS"), and the structured RMBS portfolio, consisting of interest-only ("IO") and inverse interest-only ("IIO") securities. As of June 30, 2020, approximately 90% of the Company's investable capital (which consists of equity in pledged PT RMBS, available cash and unencumbered assets) was deployed in the PT RMBS portfolio. At September 30, 2020, the allocation to the PT RMBS portfolio increased by 2% to approximately 92%.

The table below details the changes to the respective sub-portfolios during the quarter, as well as the returns generated by each.

(in thousands)

Portfolio Activity for the Quarter

Structured Security Portfolio

Pass-Through Interest-Only Inverse Interest

Portfolio Securities Only Sub-total Total Securities

Marketvalue - $ 3,268,502 $ 36,259 $ - $ 36,259 $ 3,304,761 June 30,2020

Securities 1,026,317 - - - 1,026,317 purchased

Securities (668,897 ) - - - (668,897 )sold

Gains on 498 - - - 498 sales

Return of n/a (2,948 ) - (2,948 ) (2,948 )investment

Pay-downs (120,532 ) n/a - n/a (120,532 )

Premiumlost due (11,587 ) n/a - n/a (11,587 )topay-downs

Mark tomarket 15,270 (2,515 ) - (2,515 ) 12,755 gains(losses)

Marketvalue - $ 3,509,571 $ 30,796 $ - $ 30,796 $ 3,540,367 September30, 2020

The tables below present the allocation of capital between the respective portfolios at September 30, 2020 and June 30, 2020, and the return on invested capital for each sub-portfolio for the three month period ended September 30, 2020. The return on invested capital in the PT RMBS and structured RMBS portfolios was approximately 10.1% and (6.4)%, respectively, for the third quarter of 2020. The combined portfolio generated a return on invested capital of approximately 8.5%.

($ in thousands)

Capital Allocation

Structured Security Portfolio

Pass-Through Interest-Only Inverse Interest

Portfolio Securities Only Sub-total Total Securities

September 30, 2020

Market value $ 3,509,571 $ 30,796 $ - $ 30,796 $ 3,540,367

Cash^(1) 133,694 - - - 133,694

Borrowings^ (3,281,303 ) - - - (3,281,303 )(2)

Total $ 361,962 $ 30,796 $ - $ 30,796 $ 392,758

% of Total 92.2 % 7.8 % - 7.8 % 100.0 %

June 30, 2020

Market value $ 3,268,502 $ 36,259 $ - $ 36,259 $ 3,304,761

Cash 236,031 - - - 236,031

Borrowings^ (3,174,739 ) - - - (3,174,739 )(3)

Total $ 329,794 $ 36,259 $ - $ 36,259 $ 366,053

% of Total 90.1 % 9.9 % - 9.9 % 100.0 %

(1)

At September 30, 2020, cash was decreased by unsettled purchases of approximately $113.7 million, which have already been reflected in the market value of the portfolio.

(2)

At September 30, 2020, there were outstanding repurchase agreement balances of $22.7 million secured by IO securities. We entered into these arrangements to generate additional cash available to meet margin calls on PT RMBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.

(3)

At June 30, 2020, there were outstanding repurchase agreement balances of $25.7 million secured by IO securities. We entered into these arrangements to generate additional cash available to meet margin calls on PT RMBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.

At September 30, 2020, cash was decreased by unsettled purchases of(1) approximately $113.7 million, which have already been reflected in the market value of the portfolio.

At September 30, 2020, there were outstanding repurchase agreement balances of $22.7 million secured by IO securities. We entered into these(2) arrangements to generate additional cash available to meet margin calls on PT RMBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.

At June 30, 2020, there were outstanding repurchase agreement balances of $25.7 million secured by IO securities. We entered into these arrangements(3) to generate additional cash available to meet margin calls on PT RMBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.

($ in thousands)

Returns for the Quarter Ended September 30, 2020

Structured Security Portfolio

Pass-Through

Interest-Only

Inverse Interest

Portfolio

Securities

Only Securities

Sub-total

Total

Income / (loss) (net of borrowing cost)

$

24,978

$

202

$

-

$

202

$

25,180

Realized and unrealized gains / (losses)

4,181

(2,515

)

-

(2,515

)

1,666

Derivative gains

4,079

n/a

-

n/a

4,079

Total Return

$

33,238

$

(2,313

)

$

-

$

(2,313

)

$

30,925

Beginning Capital Allocation

$

329,794

$

36,259

$

-

$

36,259

$

366,053

Return on Invested Capital for the Quarter(1)

10.1

%

(6.4

)%

-

(6.4

)%

8.5

%

Average Capital Allocation(2)

$

345,878

$

33,528

$

-

$

33,528

$

379,406

Return on Average Invested Capital for the Quarter(3)

9.6

%

(6.9

)%

-

(6.9

)%

8.2

%

($ in thousands)



Returns for the Quarter Ended September 30, 2020

Structured Security Portfolio

Pass-Through Interest-Only Inverse Interest

Portfolio Securities Only Sub-total Total Securities

Income /(loss)(net of $ 24,978 $ 202 $ - $ 202 $ 25,180 borrowingcost)

Realizedandunrealized 4,181 (2,515 ) - (2,515 ) 1,666 gains /(losses)

Derivative 4,079 n/a - n/a 4,079 gains

Total $ 33,238 $ (2,313 ) $ - $ (2,313 ) $ 30,925 Return

BeginningCapital $ 329,794 $ 36,259 $ - $ 36,259 $ 366,053 Allocation

Return onInvestedCapital 10.1 % (6.4 )% - (6.4 ) 8.5 %for the %Quarter^(1)

AverageCapital $ 345,878 $ 33,528 $ - $ 33,528 $ 379,406 Allocation^(2)

Return onAverageInvested )Capital 9.6 % (6.9 )% - (6.9 % 8.2 %for theQuarter^(3)

(1)

Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage.

(2)

Calculated using two data points, the Beginning and Ending Capital Allocation balances.

(3)

Calculated by dividing the Total Return by the Average Capital Allocation, expressed as a percentage.

Prepayments

For the quarter ended September 30, 2020, Orchid received $123.5 million in scheduled and unscheduled principal repayments and prepayments, which equated to a 3-month constant prepayment rate ("CPR") of approximately 17.0%. Prepayment rates on the two RMBS sub-portfolios were as follows (in CPR):

(1) Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage.

(2) Calculated using two data points, the Beginning and Ending Capital Allocation balances.

(3) Calculated by dividing the Total Return by the Average Capital Allocation, expressed as a percentage.

Prepayments

For the quarter ended September 30, 2020, Orchid received $123.5 million in scheduled and unscheduled principal repayments and prepayments, which equated to a 3-month constant prepayment rate ("CPR") of approximately 17.0%. Prepayment rates on the two RMBS sub-portfolios were as follows (in CPR):

Structured

PT RMBS RMBS Total

Three Months Ended Portfolio (%) Portfolio (%) Portfolio (%)

September 30, 2020 14.3 40.4 17.0

June 30, 2020 13.9 35.3 16.3

March 31, 2020 9.8 22.9 11.9

December 31, 2019 14.3 23.4 16.0

September 30, 2019 15.5 19.3 16.4

June 30, 2019 10.9 12.7 11.4

March 31, 2019 9.5 8.4 9.2

Portfolio

The following tables summarize certain characteristics of Orchid's PT RMBS and structured RMBS as of September 30, 2020 and December 31, 2019:

($ in thousands)

Weighted

Percentage Average

of Weighted Maturity

Fair Entire Average in Longest

Asset Category Value Portfolio Coupon Months Maturity

September 30, 2020

Adjustable Rate $ 960 0.0 % 3.64 % 167 1-Sep-35RMBS

Fixed Rate RMBS 3,357,501 94.8 % 3.57 % 339 1-Sep-50

Fixed Rate CMOs 151,110 4.3 % 4.00 % 316 15-Dec-42

TotalMortgage-backed 3,509,571 99.1 % 3.59 % 338 1-Sep-50Pass-through

Interest-Only 30,796 0.9 % 4.00 % 270 25-Jul-48Securities

Total Structured 30,796 0.9 % 4.00 % 270 25-Jul-48RMBS

Total Mortgage $ 3,540,367 100.0 % 3.62 % 332 1-Sep-50Assets

December 31, 2019

Adjustable Rate $ 1,014 0.0 % 4.51 % 176 1-Sep-35RMBS

Fixed Rate RMBS 3,206,013 89.3 % 3.90 % 342 1-Dec-49

Fixed Rate CMOs 299,205 8.3 % 4.20 % 331 15-Oct-44

TotalMortgage-backed 3,506,232 97.6 % 3.92 % 341 1-Dec-49Pass-through

Interest-Only 60,986 1.7 % 3.99 % 280 25-Jul-48Securities

InverseInterest-Only 23,703 0.7 % 3.34 % 285 15-Jul-47Securities

Total Structured 84,689 2.4 % 3.79 % 281 25-Jul-48RMBS

Total Mortgage $ 3,590,921 100.0 % 3.90 % 331 1-Dec-49Assets

($ in thousands)

September 30, 2020

December 31, 2019

Percentage of

Percentage of

Agency

Fair Value

Entire Portfolio

Fair Value

Entire Portfolio

Fannie Mae

$

2,151,928

60.8

%

$

2,170,668

60.4

%

Freddie Mac

1,388,439

39.2

%

1,420,253

39.6

%

Total Portfolio

$

3,540,367

100.0

%

$

3,590,921

100.0

%

($ in thousands)

September 30, 2020 December 31, 2019

Percentage of Percentage of

Agency Fair Value Entire Fair Value Entire Portfolio Portfolio

Fannie Mae $ 2,151,928 60.8 % $ 2,170,668 60.4 %

Freddie Mac 1,388,439 39.2 % 1,420,253 39.6 %

Total Portfolio $ 3,540,367 100.0 % $ 3,590,921 100.0 %

September 30, 2020

December 31, 2019

Weighted Average Pass-through Purchase Price

$

107.30

$

105.16

Weighted Average Structured Purchase Price

$

20.14

$

18.15

Weighted Average Pass-through Current Price

$

110.14

$

106.26

Weighted Average Structured Current Price

$

10.26

$

13.85

Effective Duration (1)

1.790

2.780

September 30, December 31, 2020 2019

Weighted Average Pass-through Purchase $ 107.30 $ 105.16Price

Weighted Average Structured Purchase $ 20.14 $ 18.15Price

Weighted Average Pass-through Current $ 110.14 $ 106.26Price

Weighted Average Structured Current Price $ 10.26 $ 13.85

Effective Duration ^(1) 1.790 2.780

(1)

Effective duration of 1.790 indicates that an interest rate increase of 1.0% would be expected to cause a 1.790% decrease in the value of the RMBS in the Company's investment portfolio at September 30, 2020. An effective duration of 2.780 indicates that an interest rate increase of 1.0% would be expected to cause a 2.780% decrease in the value of the RMBS in the Company's investment portfolio at December 31, 2019. These figures include the structured securities in the portfolio, but do not include the effect of the Company's funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

Financing, Leverage and Liquidity

As of September 30, 2020, the Company had outstanding repurchase obligations of approximately $3,281.3 million with a net weighted average borrowing rate of 0.24%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $3,426.3 million and cash pledged to counterparties of approximately $24.8 million. The Company's leverage ratio at September 30, 2020 was 8.8 to 1. At September 30, 2020, the Company's liquidity was approximately $210.6 million, consisting of unpledged RMBS (excluding the value of the unsettled purchases) and cash and cash equivalents. To enhance our liquidity even further, we may pledge more of our structured RMBS as part of a repurchase agreement funding, but retain the cash in lieu of acquiring additional assets. In this way we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash. Below is a list of our outstanding borrowings under repurchase obligations at September 30, 2020.

Effective duration of 1.790 indicates that an interest rate increase of 1.0% would be expected to cause a 1.790% decrease in the value of the RMBS in the Company's investment portfolio at September 30, 2020. An effective duration of 2.780 indicates that an interest rate increase of 1.0% would(1) be expected to cause a 2.780% decrease in the value of the RMBS in the Company's investment portfolio at December 31, 2019. These figures include the structured securities in the portfolio, but do not include the effect of the Company's funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

Financing, Leverage and Liquidity

As of September 30, 2020, the Company had outstanding repurchase obligations of approximately $3,281.3 million with a net weighted average borrowing rate of 0.24%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $3,426.3 million and cash pledged to counterparties of approximately $24.8 million. The Company's leverage ratio at September 30, 2020 was 8.8 to 1. At September 30, 2020, the Company's liquidity was approximately $210.6 million, consisting of unpledged RMBS (excluding the value of the unsettled purchases) and cash and cash equivalents. To enhance our liquidity even further, we may pledge more of our structured RMBS as part of a repurchase agreement funding, but retain the cash in lieu of acquiring additional assets. In this way we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash. Below is a list of our outstanding borrowings under repurchase obligations at September 30, 2020.

($ in thousands)

Weighted Weighted

Total Average Average

Outstanding % of Borrowing Amount Maturity

Counterparty Balances Total Rate at Risk^ in Days (1)

Mirae Asset $ 373,441 11.3 % 0.25 % $ 19,809 79Securities (USA) Inc.

Wells Fargo Bank, 309,449 9.4 % 0.23 % 16,354 12N.A.

Mitsubishi UFJSecurities (USA), 283,239 8.6 % 0.24 % 16,724 63Inc.

Merrill Lynch,Pierce, Fenner & 282,384 8.6 % 0.25 % 10,381 74Smith Inc

J.P. Morgan 259,594 7.9 % 0.25 % 15,031 160Securities LLC

Cantor Fitzgerald & 227,378 6.9 % 0.24 % 11,751 90Co.

RBC Capital Markets, 212,510 6.5 % 0.22 % 11,486 27LLC

ASL Capital Markets 205,964 6.3 % 0.23 % 10,630 16Inc.

Citigroup Global 202,473 6.2 % 0.24 % 11,033 15Markets, Inc.

ABN AMRO Bank N.V. 197,502 6.0 % 0.23 % 8,804 16

ED&F Man Capital 192,187 5.9 % 0.22 % 10,465 77Markets Inc.

ING Financial Markets 140,413 4.3 % 0.25 % 7,439 19LLC

Daiwa Capital Markets 127,270 3.9 % 0.25 % 5,878 74America, Inc.

South Street 77,304 2.4 % 0.28 % 3,781 155Securities, LLC

BMO Capital Markets 72,642 2.2 % 0.24 % 3,857 72Corp.

Lucid Cash Fund USG 56,314 1.7 % 0.28 % 4,351 15LLC

J.V.B. Financial 26,270 0.8 % 0.30 % 1,251 15Group, LLC

Barclays Capital Inc 25,142 0.8 % 0.29 % 842 41

Austin Atlantic Asset 9,827 0.3 % 0.30 % 545 7Management Co.

Total / Weighted $ 3,281,303 100.0 % 0.24 % $ 170,412 60Average

(1)

Equal to the sum of the fair value of securities sold, accrued interest receivable and cash posted as collateral (if any), minus the sum of repurchase agreement liabilities, accrued interest payable and the fair value of securities posted by the counterparties (if any).

Hedging

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding against a rise in interest rates by entering into derivative financial instrument contracts. The Company has not elected hedging treatment under U.S. generally accepted accounting principles ("GAAP") in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option election. As such, all gains or losses on these instruments are reflected in earnings for all periods presented. At September 30, 2020, such instruments were comprised of Eurodollar and Treasury note ("T-Note") futures contracts, interest rate swap agreements, interest rate swaption agreements, and to-be-announced "TBA" securities.

The table below presents information related to the Company's Eurodollar and T-Note futures contracts at September 30, 2020.

Equal to the sum of the fair value of securities sold, accrued interest(1) receivable and cash posted as collateral (if any), minus the sum of repurchase agreement liabilities, accrued interest payable and the fair value of securities posted by the counterparties (if any).

Hedging

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding against a rise in interest rates by entering into derivative financial instrument contracts. The Company has not elected hedging treatment under U.S. generally accepted accounting principles ("GAAP") in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option election. As such, all gains or losses on these instruments are reflected in earnings for all periods presented. At September 30, 2020, such instruments were comprised of Eurodollar and Treasury note ("T-Note") futures contracts, interest rate swap agreements, interest rate swaption agreements, and to-be-announced "TBA" securities.

The table below presents information related to the Company's Eurodollar and T-Note futures contracts at September 30, 2020.

($ in thousands)

Average Weighted Weighted

Contract Average Average

Notional Entry Effective Open

Expiration Year Amount Rate Rate Equity^ (1)

Eurodollar Futures Contracts (Short Positions)

2020 $ 50,000 3.25 % 0.25 % $ (375 )

2021 50,000 1.03 % 0.20 % (415 )

Total / Weighted Average $ 50,000 1.47 % 0.21 % $ (790 )

Treasury Note Futures Contracts (Short Positions)^(2)

December 2020 5-year T-Note futures

(Dec 2020 - Dec 2025 Hedge Period) $ 69,000 0.70 % 0.69 % $ (22 )

(1)

Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

(2)

T-Note futures contracts were valued at a price of $126.03 at September 30, 2020. The contract value of the short position was $87.0 million.

The table below presents information related to the Company's interest rate swap positions at September 30, 2020.

(1) Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

(2) T-Note futures contracts were valued at a price of $126.03 at September 30, 2020. The contract value of the short position was $87.0 million.

The table below presents information related to the Company's interest rate swap positions at September 30, 2020.

($ in thousands)

Average Net

Fixed Average Estimated Average

Notional Pay Receive Fair Maturity

Expiration Amount Rate Rate Value (Years)

> 3 to ? 5 years $ 620,000 1.29 % 0.25 % (23,817 ) 3.9

> 5 years 200,000 0.67 % 0.25 % (2,819 ) 6.7

$ 820,000 1.14 % 0.25 % $ (26,636 ) 4.6

The following table presents information related to our interest rate swaption positions as of September 30, 2020.

($ in thousands)

Option Underlying Swap

Weighted Average Weighted

Average Average Adjustable Average

Fair Months to Notional Fixed Rate Term

Expiration Cost Value Expiration Amount Rate (LIBOR) (Years)

PayerSwaptions - long

? 1 year $ 3,450 $ 32 5.5 $ 500,000 0.95 % 3 Month 4.0

>1 year ? 13,410 14,016 20.4 675,000 1.49 % 3 Month 12.82 years

$ 16,860 $ 14,048 14.0 $ 1,175,000 1.26 % 3 Month 9.0

PayerSwaptions - short

? 1 year $ (4,660 ) $ (6,221 ) 8.4 $ 507,700 1.49 % 3 Month 12.8

The following table summarizes our contracts to purchase and sell TBA securities as of September 30, 2020.

($ in thousands)

Notional Net

Amount Cost Market Carrying

Long (Short)^(1) Basis^(2) Value^(3) Value^(4)

September 30, 2020

15-Year TBA securities:

2.0% $ 175,000 $ 181,727 $ 181,918 $ 191

30-Year TBA securities:

2.5% 200,000 210,250 209,812 (438 )

$ 375,000 $ 391,977 $ 391,730 $ (247 )

(1)

Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.

(2)

Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.

(3)

Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end.

(4)

Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in our balance sheets.

Dividends

In addition to other requirements that must be satisfied to qualify as a REIT, we must pay annual dividends to our stockholders of at least 90% of our REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gains. We intend to pay regular monthly dividends to our stockholders and have declared the following dividends since our February 2013 IPO.

(1) Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.

(2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.

(3) Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end.

Net carrying value represents the difference between the market value and(4) the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in our balance sheets.

Dividends

In addition to other requirements that must be satisfied to qualify as a REIT, we must pay annual dividends to our stockholders of at least 90% of our REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gains. We intend to pay regular monthly dividends to our stockholders and have declared the following dividends since our February 2013 IPO.

(in thousands, except per share data)

Year Per Share Total Amount

2013 $ 1.395 $ 4,662

2014 2.160 22,643

2015 1.920 38,748

2016 1.680 41,388

2017 1.680 70,717

2018 1.070 55,814

2019 0.960 54,421

2020 - YTD^(1) 0.660 44,055

Totals $ 11.525 $ 332,448

(1)

On October 14, 2020, the Company declared a dividend of $0.065 per share to be paid on November 25, 2020. The effect of this dividend is included in the table above, but is not reflected in the Company's financial statements as of September 30, 2020.

Peer Performance

The tables below present total return data for Orchid compared to a selected group of peers based on stock price performance for periods through September 30, 2020 and based on book value performance for periods through June 30, 2020.

On October 14, 2020, the Company declared a dividend of $0.065 per share(1) to be paid on November 25, 2020. The effect of this dividend is included in the table above, but is not reflected in the Company's financial statements as of September 30, 2020.

Peer Performance

The tables below present total return data for Orchid compared to a selected group of peers based on stock price performance for periods through September 30, 2020 and based on book value performance for periods through June 30, 2020.

Portfolio Total Rate of Return Versus Peer Group Average - Stock PricePerformance

ORC Spread

ORC Over / (Under)

Total Rate Peer Peer

of Return^ Average^(1) Average^(3) (1) (2)

Year to Date (1/1/2020 - 9/30/2020) (2.6)% (28.4)% 25.8%

One Year Total Return 3.3% (19.9)% 23.2%

Two Year Total Return (4.9)% (22.2)% 17.3%

Three Year Total Return (21.2)% (27.6)% 6.4%

Four Year Total Return (9.4)% (16.7)% 7.3%

Five Year Total Return 20.5% (1.9)% 22.4%

Six Year Total Return (0.9)% (5.0)% 4.1%

Seven Year Total Return 40.7% 2.3% 38.4%

Inception to Date (2/13/2013 - 9/30 11.1% (15.4)% 26.5%/2020)

Source: SEC filings and press releases of Orchid and Peer Group(1)

Total rate of return for each period is pulled from Bloomberg COMP page and includes reinvested dividends, for each period noted.

(2)

The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, DX, AI and CHMI.

(3)

Represents the total rate of return for Orchid minus peer average in each respective measurement period.

Source: SEC filings and press releases of Orchid and Peer Group(1) Total rate of return for each period is pulled from Bloomberg COMP page and includes reinvested dividends, for each period noted.

The peer average is the unweighted, simple, average of the total rate of(2) return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, DX, AI and CHMI.

(3) Represents the total rate of return for Orchid minus peer average in each respective measurement period.

Portfolio Total Rate of Return Versus Peer Group Average - Book Value Performance

ORC Spread

ORC

Over / (Under)

Total Rate

Peer

Peer

of Return(1)

Average(1)(2)

Average(3)

Year to Date (1/1/2020 - 6/30/2020)

(10.3)%

(20.4)%

10.1%

One Year Total Return

(7.9)%

(14.2)%

6.3%

Two Year Total Return

(10.0)%

(14.4)%

4.4%

Three Year Total Return

(8.0)%

(11.5)%

3.5%

Four Year Total Return

(6.3)%

(8.7)%

2.4%

Five Year Total Return

(4.2)%

(7.4)%

3.2%

Six Year Total Return

7.4%

(3.7)%

11.1%

Inception to Date (3/31/2013 - 6/30/2020)(4)

9.2%

(4.3)%

13.5%

Portfolio Total Rate of Return Versus Peer Group Average - Book ValuePerformance

ORC Spread

ORC Over / (Under)

Total Rate Peer Peer

of Return^ Average^(1) Average^(3) (1) (2)

Year to Date (1/1/2020 - 6/30/2020) (10.3)% (20.4)% 10.1%

One Year Total Return (7.9)% (14.2)% 6.3%

Two Year Total Return (10.0)% (14.4)% 4.4%

Three Year Total Return (8.0)% (11.5)% 3.5%

Four Year Total Return (6.3)% (8.7)% 2.4%

Five Year Total Return (4.2)% (7.4)% 3.2%

Six Year Total Return 7.4% (3.7)% 11.1%

Inception to Date (3/31/2013 - 6/30/ 9.2% (4.3)% 13.5%2020)^(4)

Source: SEC filings and press releases of Orchid and Peer Group(1)

Total rate of return for each period is change in book value per share over the period plus dividends per share declared divided by the book value per share at the beginning of the period.

(2)

The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, ARR, DX, AI and CHMI.

(3)

Represents the total rate of return for Orchid minus peer average in each respective measurement period.

(4)

Peer book values are not available for Orchid's true inception date (2/13/2013). Because all peer book values are not available as of Orchid's true inception date (2/13/2013), the starting point for Orchid and all of the peer companies is 3/31/2013.

Book Value Per Share

The Company's book value per share at September 30, 2020 was $5.44. The Company computes book value per share by dividing total stockholders' equity by the total number of shares outstanding of the Company's common stock. At September 30, 2020, the Company's stockholders' equity was $376.7 million with 69,295,962 shares of common stock outstanding.

Stock Offerings

On August 4, 2020, we entered into an equity distribution agreement (the "August 2020 Equity Distribution Agreement") with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $150,000,000 of shares of our common stock in transactions that are deemed to be "at the market" offerings and privately negotiated transactions. Through September 30, 2020, we issued a total of 3,073,326 shares under the August 2020 Equity Distribution Agreement for aggregate gross proceeds of approximately $15.8 million, and net proceeds of approximately $15.6 million, net of commissions and fees.

Stock Repurchase Program

On July 29, 2015, the Board of Directors passed a resolution authorizing the repurchase of up to 2,000,000 shares of the Company's common stock. As part of the stock repurchase program, shares may be purchased in open market transactions, including through block purchases, privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is subject to economic and market conditions, stock price, applicable legal requirements and other factors. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company's common stock. The authorization does not obligate the Company to acquire any particular amount of common stock, and the program may be suspended or discontinued at the Company's discretion without prior notice.

Since inception of the program through September 30, 2020, the Company repurchased a total of 5,685,511 shares under the stock repurchase program at an aggregate cost of approximately $40.4 million, including commissions and fees, for a weighted average price of $7.10 per share. During the nine months ended September 30, 2020, the Company repurchased a total of 19,891 shares at an aggregate cost of approximately $0.1 million, including commissions and fees, for a weighted average price of $3.42 per share. As of September 30, 2020, the remaining authorization under the repurchase program is for up to 837,311 shares of the Company's common stock.

Management Commentary

Commenting on the third quarter, Robert E. Cauley, Chairman and Chief Executive Officer, said, "COVID-19 continues to dominate the performance of the markets and economy. While both have recovered from the depths of March, especially the financial markets, the economy continues to languish. The recovery has proven to be very uneven, with some sectors back to or near pre-pandemic levels of activity while others remain far below with little prospect for getting back to those levels soon. The unemployment rate remains elevated - with the most recent read at 7.9% - as millions of Americans remain out of work.

"The Federal Reserve (the "Fed") has taken, and continues to take, steps to support markets and the economy. For Orchid, the Fed's asset purchase program provides tremendous support for the Agency RMBS market and minimizes the likelihood of another market disruption such as the one we witnessed this past March. However, much needed additional stimulus from Washington and the federal government has been absent since the end of the second quarter. The federal government will not provide another round of stimulus until after the presidential election. Interest rates continue to trade in a narrow range and at extremely low levels. The market expects the Fed Funds rate to remain at the effective lower bound near zero for an extended period of time, even more so after the Fed altered its monetary policy framework relating to inflation during the third quarter.

"Target investments in the Agency RMBS market continue to be bifurcated between the production coupons - the target of Fed asset purchases - and higher coupons in specified pool form. The TBA market for higher coupons remains weak as the sector lacks support from the Fed and prepayment speeds are extremely high, resulting in poor expected returns for investors. This leads investors to look to the specified pool market - with lower expected prepayment speeds - for attractive returns. With prepayment concerns paramount in the current environment, we continued to focus security selection on the specified pool market and to a lesser extent lower coupon, 30-year TBA securities that offered attractive carry potential via the dollar roll market. We continue to de-emphasize structured securities in this environment in light of high prepayment speeds, low implied volatility, and potential liquidity issues should market conditions deteriorate again.

"Since the economy cannot fully recover absent the containment of the COVID-19 pandemic, which is not expected to occur in the near term, current market conditions are likely to persist. As a result, we expect prepayment speeds will remain elevated, the Fed will be active in the Agency RMBS market with asset purchases, funding levels will remain low and the most attractive returns available will be either in the TBA dollar roll market with lower coupons or with specified pools in higher coupons. If this proves to be the case, we would anticipate book value volatility to remain low and relative performance to be driven by realized net interest margins. Accordingly, our focus will remain on managing premium amortization and therefore protecting the portfolio from excessive prepayments. We expect that the low level of rates, if realized, will keep funding levels low as well, and supportive of our net interest margin. Finally, our hedge strategy continues to shift towards more reliance on volatility linked instruments such as swaptions given the low levels of implied volatility reflected in market pricing."

Earnings Conference Call Details

An earnings conference call and live audio webcast will be hosted Friday, October 30, 2020, at 10:00 AM ET. The conference call may be accessed by dialing toll free (877) 341-5668. International callers dial (224) 357-2205. The conference passcode is 1290377. The supplemental materials may be downloaded from the investor relations section of the Company's website at www.orchidislandcapital.com. A live audio webcast of the conference call can be accessed via the investor relations section of the Company's website at www.orchidislandcapital.com, and an audio archive of the webcast will be available until November 30, 2020.

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS and CMOs, such as mortgage pass-through certificates issued by the GSEs, and (ii) structured Agency RMBS, such as IOs, IIOs and principal only securities, among other types of structured Agency RMBS. Orchid is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

Forward-Looking Statements

Statements herein relating to matters that are not historical facts, including, but not limited to statements regarding interest rates, liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, returns, refinancing activity, portfolio positioning and repositioning, book value, investment and operating strategy, hedging levels, the supply and demand for Agency RMBS, the effect of actions of the U.S. government, including the Fed, market expectations, future dividends, the stock repurchase program and general economic conditions, are forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. The reader is cautioned that such forward-looking statements are based on information available at the time and on management's good faith belief with respect to future events, and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. Important factors that could cause such differences are described in Orchid Island Capital, Inc.'s filings with the Securities and Exchange Commission, including its most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q. Orchid Island Capital, Inc. assumes no obligation to update forward-looking statements to reflect subsequent results, changes in assumptions or changes in other factors affecting forward-looking statements.

Summarized Financial Statements

The following is a summarized presentation of the unaudited balance sheets as of September 30, 2020, and December 31, 2019, and the unaudited quarterly results of operations for the nine and three months ended September 30, 2020 and 2019. Amounts presented are subject to change.

Source: SEC filings and press releases of Orchid and Peer Group Total rate of return for each period is change in book value per share(1) over the period plus dividends per share declared divided by the book value per share at the beginning of the period.

The peer average is the unweighted, simple, average of the total rate of(2) return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, ARR, DX, AI and CHMI.

(3) Represents the total rate of return for Orchid minus peer average in each respective measurement period.

Peer book values are not available for Orchid's true inception date (2/13/(4) 2013). Because all peer book values are not available as of Orchid's true inception date (2/13/2013), the starting point for Orchid and all of the peer companies is 3/31/2013.

Book Value Per Share

The Company's book value per share at September 30, 2020 was $5.44. The Company computes book value per share by dividing total stockholders' equity by the total number of shares outstanding of the Company's common stock. At September 30, 2020, the Company's stockholders' equity was $376.7 million with 69,295,962 shares of common stock outstanding.

Stock Offerings

On August 4, 2020, we entered into an equity distribution agreement (the "August 2020 Equity Distribution Agreement") with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $150,000,000 of shares of our common stock in transactions that are deemed to be "at the market" offerings and privately negotiated transactions. Through September 30, 2020, we issued a total of 3,073,326 shares under the August 2020 Equity Distribution Agreement for aggregate gross proceeds of approximately $15.8 million, and net proceeds of approximately $15.6 million, net of commissions and fees.

Stock Repurchase Program

On July 29, 2015, the Board of Directors passed a resolution authorizing the repurchase of up to 2,000,000 shares of the Company's common stock. As part of the stock repurchase program, shares may be purchased in open market transactions, including through block purchases, privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is subject to economic and market conditions, stock price, applicable legal requirements and other factors. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company's common stock. The authorization does not obligate the Company to acquire any particular amount of common stock, and the program may be suspended or discontinued at the Company's discretion without prior notice.

Since inception of the program through September 30, 2020, the Company repurchased a total of 5,685,511 shares under the stock repurchase program at an aggregate cost of approximately $40.4 million, including commissions and fees, for a weighted average price of $7.10 per share. During the nine months ended September 30, 2020, the Company repurchased a total of 19,891 shares at an aggregate cost of approximately $0.1 million, including commissions and fees, for a weighted average price of $3.42 per share. As of September 30, 2020, the remaining authorization under the repurchase program is for up to 837,311 shares of the Company's common stock.

Management Commentary

Commenting on the third quarter, Robert E. Cauley, Chairman and Chief Executive Officer, said, "COVID-19 continues to dominate the performance of the markets and economy. While both have recovered from the depths of March, especially the financial markets, the economy continues to languish. The recovery has proven to be very uneven, with some sectors back to or near pre-pandemic levels of activity while others remain far below with little prospect for getting back to those levels soon. The unemployment rate remains elevated - with the most recent read at 7.9% - as millions of Americans remain out of work.

"The Federal Reserve (the "Fed") has taken, and continues to take, steps to support markets and the economy. For Orchid, the Fed's asset purchase program provides tremendous support for the Agency RMBS market and minimizes the likelihood of another market disruption such as the one we witnessed this past March. However, much needed additional stimulus from Washington and the federal government has been absent since the end of the second quarter. The federal government will not provide another round of stimulus until after the presidential election. Interest rates continue to trade in a narrow range and at extremely low levels. The market expects the Fed Funds rate to remain at the effective lower bound near zero for an extended period of time, even more so after the Fed altered its monetary policy framework relating to inflation during the third quarter.

"Target investments in the Agency RMBS market continue to be bifurcated between the production coupons - the target of Fed asset purchases - and higher coupons in specified pool form. The TBA market for higher coupons remains weak as the sector lacks support from the Fed and prepayment speeds are extremely high, resulting in poor expected returns for investors. This leads investors to look to the specified pool market - with lower expected prepayment speeds - for attractive returns. With prepayment concerns paramount in the current environment, we continued to focus security selection on the specified pool market and to a lesser extent lower coupon, 30-year TBA securities that offered attractive carry potential via the dollar roll market. We continue to de-emphasize structured securities in this environment in light of high prepayment speeds, low implied volatility, and potential liquidity issues should market conditions deteriorate again.

"Since the economy cannot fully recover absent the containment of the COVID-19 pandemic, which is not expected to occur in the near term, current market conditions are likely to persist. As a result, we expect prepayment speeds will remain elevated, the Fed will be active in the Agency RMBS market with asset purchases, funding levels will remain low and the most attractive returns available will be either in the TBA dollar roll market with lower coupons or with specified pools in higher coupons. If this proves to be the case, we would anticipate book value volatility to remain low and relative performance to be driven by realized net interest margins. Accordingly, our focus will remain on managing premium amortization and therefore protecting the portfolio from excessive prepayments. We expect that the low level of rates, if realized, will keep funding levels low as well, and supportive of our net interest margin. Finally, our hedge strategy continues to shift towards more reliance on volatility linked instruments such as swaptions given the low levels of implied volatility reflected in market pricing."

Earnings Conference Call Details

An earnings conference call and live audio webcast will be hosted Friday, October 30, 2020, at 10:00 AM ET. The conference call may be accessed by dialing toll free (877) 341-5668. International callers dial (224) 357-2205. The conference passcode is 1290377. The supplemental materials may be downloaded from the investor relations section of the Company's website at www.orchidislandcapital.com. A live audio webcast of the conference call can be accessed via the investor relations section of the Company's website at www.orchidislandcapital.com, and an audio archive of the webcast will be available until November 30, 2020.

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS and CMOs, such as mortgage pass-through certificates issued by the GSEs, and (ii) structured Agency RMBS, such as IOs, IIOs and principal only securities, among other types of structured Agency RMBS. Orchid is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

Forward-Looking Statements

Statements herein relating to matters that are not historical facts, including, but not limited to statements regarding interest rates, liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, returns, refinancing activity, portfolio positioning and repositioning, book value, investment and operating strategy, hedging levels, the supply and demand for Agency RMBS, the effect of actions of the U.S. government, including the Fed, market expectations, future dividends, the stock repurchase program and general economic conditions, are forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. The reader is cautioned that such forward-looking statements are based on information available at the time and on management's good faith belief with respect to future events, and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. Important factors that could cause such differences are described in Orchid Island Capital, Inc.'s filings with the Securities and Exchange Commission, including its most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q. Orchid Island Capital, Inc. assumes no obligation to update forward-looking statements to reflect subsequent results, changes in assumptions or changes in other factors affecting forward-looking statements.

Summarized Financial Statements

The following is a summarized presentation of the unaudited balance sheets as of September 30, 2020, and December 31, 2019, and the unaudited quarterly results of operations for the nine and three months ended September 30, 2020 and 2019. Amounts presented are subject to change.

ORCHID ISLAND CAPITAL, INC.

BALANCE SHEETS

($ in thousands, except per share data)

(Unaudited - Amounts Subject to Change)



September 30, December 31, 2020 2019

ASSETS:

Total mortgage-backed securities $ 3,540,367 $ 3,590,921

Cash, cash equivalents and restricted 247,346 278,655cash

Accrued interest receivable 10,378 12,404

Derivative assets, at fair value 14,239 -

Other assets 603 100

Total Assets $ 3,812,933 $ 3,882,080



LIABILITIES AND STOCKHOLDERS' EQUITY

Repurchase agreements $ 3,281,303 $ 3,448,106

Payable for unsettled securities 113,653 -purchased

Dividends payable 4,505 5,045

Derivative liabilities, at fair value 33,295 20,658

Accrued interest payable 752 11,101

Due to affiliates 590 622

Other liabilities 2,094 1,041

Total Liabilities 3,436,192 3,486,573

Total Stockholders' Equity 376,741 395,507

Total Liabilities and Stockholders' $ 3,812,933 $ 3,882,080Equity

Common shares outstanding 69,295,962 63,061,781

Book value per share $ 5.44 $ 6.27

ORCHID ISLAND CAPITAL, INC.

STATEMENTS OF OPERATIONS

($ in thousands, except per share data)

(Unaudited - Amounts Subject to Change)

Nine Months Ended September 30,

Three Months Ended September 30,

2020

2019

2020

2019

Interest income

$

90,152

$

104,795

$

27,223

$

35,907

Interest expense

(23,045

)

(63,644

)

(2,043

)

(22,321

)

Net interest income

67,107

41,151

25,180

13,586

(Losses) gains on RMBS and derivative contracts

(73,712

)

(27,848

)

5,745

(19,431

)

Net portfolio (loss) income

(6,605

)

13,303

30,925

(5,845

)

Expenses

7,746

7,650

2,849

2,632

Net (loss) income

$

(14,351

)

$

5,653

$

28,076

$

(8,477

)

Basic net (loss) income per share

$

(0.22

)

$

0.10

$

0.42

$

(0.14

)

Diluted net (loss) income per share

$

(0.22

)

$

0.10

$

0.42

$

(0.14

)

Weighted Average Shares Outstanding

66,014,379

54,037,721

67,301,901

60,418,985

Dividends Declared Per Common Share:

$

0.595

$

0.720

$

0.190

$

0.240

ORCHID ISLAND CAPITAL, INC.

STATEMENTS OF OPERATIONS

($ in thousands, except per share data)

(Unaudited - Amounts Subject to Change)



Nine Months Ended September 30, Three Months Ended September 30,

2020 2019 2020 2019

Interest $ 90,152 $ 104,795 $ 27,223 $ 35,907 income

Interest (23,045 ) (63,644 ) (2,043 ) (22,321 )expense

Net interest 67,107 41,151 25,180 13,586 income

(Losses)gains onRMBS and (73,712 ) (27,848 ) 5,745 (19,431 )derivativecontracts

Netportfolio (6,605 ) 13,303 30,925 (5,845 )(loss)income

Expenses 7,746 7,650 2,849 2,632

Net (loss) $ (14,351 ) $ 5,653 $ 28,076 $ (8,477 )income

Basic net(loss) $ (0.22 ) $ 0.10 $ 0.42 $ (0.14 )income pershare

Diluted net(loss) $ (0.22 ) $ 0.10 $ 0.42 $ (0.14 )income pershare

WeightedAverage 66,014,379 54,037,721 67,301,901 60,418,985 SharesOutstanding

DividendsDeclared Per $ 0.595 $ 0.720 $ 0.190 $ 0.240 CommonShare:

Three Months Ended September 30,

Key Balance Sheet Metrics

2020

2019

Average RMBS(1)

$

3,422,564

$

3,674,087

Average repurchase agreements(1)

3,228,021

3,571,752

Average stockholders' equity(1)

361,355

375,823

Leverage ratio(2)

8.8:1

9.9:1

Key Performance Metrics

Average yield on RMBS(3)

3.18%

3.91%

Average cost of funds(3)

0.25%

2.50%

Average economic cost of funds(4)

1.11%

2.36%

Average interest rate spread(5)

2.93%

1.41%

Average economic interest rate spread(6)

2.07%

1.55%

Three Months Ended September 30,

Key Balance Sheet Metrics 2020 2019

Average RMBS^(1) $ 3,422,564 $ 3,674,087

Average repurchase agreements^(1) 3,228,021 3,571,752

Average stockholders' equity^(1) 361,355 375,823

Leverage ratio^(2) 8.8:1 9.9:1



Key Performance Metrics

Average yield on RMBS^(3) 3.18% 3.91%

Average cost of funds^(3) 0.25% 2.50%

Average economic cost of funds^(4) 1.11% 2.36%

Average interest rate spread^(5) 2.93% 1.41%

Average economic interest rate spread^(6) 2.07% 1.55%

(1)

Average RMBS, borrowings and stockholders' equity balances are calculated using two data points, the beginning and ending balances.

(2)

The leverage ratio is calculated by dividing total ending liabilities by ending stockholders' equity.

(3)

Portfolio yields and costs of funds are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the quarterly periods presented.

(4)

Represents the interest cost of our borrowings and the effect of derivative agreements attributed to the period related to hedging activities, divided by average borrowings.

(5)

Average interest rate spread is calculated by subtracting average cost of funds from average yield on RMBS.

(6)

Average economic interest rate spread is calculated by subtracting average economic cost of funds from average yield on RMBS.

View source version on businesswire.com: https://www.businesswire.com/news/home/20201029006200/en/

CONTACT: Orchid Island Capital, Inc. Robert E. Cauley, 772-231-1400 Chairman and Chief Executive Officer www.orchidislandcapital.com