Business Wire | Oct 14, 2020 05:33PM EDT

Orchid Island Capital Announces Estimated Third Quarter 2020 Results, October 2020 Monthly Dividend and September 30, 2020 RMBS Portfolio Characteristics

Oct. 14, 2020

VERO BEACH, Fla.--(BUSINESS WIRE)--Oct. 14, 2020--Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced today that the Board of Directors (the "Board") declared a monthly cash dividend for the month of October 2020. The dividend of $0.065 per share will be paid November 25, 2020 to holders of record on October 30, 2020, with an ex-dividend date of October 29, 2020. The Company plans on announcing its next dividend after the Board's meeting on November 12, 2020.

The Company intends to make regular monthly cash distributions to its stockholders. In order to qualify as a real estate investment trust ("REIT"), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

As of October 14, 2020, and September 30, 2020, the Company had 69,295,962 shares outstanding. At June 30, 2020, the Company had 66,220,664 shares outstanding.

Estimated September 30, 2020 Book Value Per Share

The Company's estimated book value per share as of September 30, 2020 was $5.44. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2020, the Company's preliminary estimated total stockholders' equity was approximately $376.7 million with 69,295,962 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated net income per share of $0.42, which includes $0.09 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended September 30, 2020. These amounts compare to total dividends declared during the quarter of $0.19 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

Estimated Total Return on Equity

The Company's estimated total return on equity for the quarter ended September 30, 2020 was 7.9%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company's stockholders' equity at the beginning of the quarter. The total return was $0.41 per share, comprised of dividends per share of $0.19 and an increase in book value per share of $0.22 from June 30, 2020.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2020 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter ended September 30, 2020, are subject to review by the Company's independent registered public accounting firm.

* RMBS Valuation Characteristics * RMBS Assets by Agency

* Investment Company Act of 1940 Whole Pool Test Results * Repurchase Agreement Exposure by Counterparty * RMBS Risk Measures

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, such as mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

Forward-Looking Statements

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company's distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.'s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the "Risk Factors" section of the Company's Annual Report on Form 10-K for the fiscal year ended December 31, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.

RMBS Valuation Characteristics

($ in thousands)

Realized Realized

Sep 2020 Jul - Sep Modeled Modeled

Net Weighted CPR 2020 CPR Interest Interest

% Weighted Average (1-Month) (3-Month) Rate Rate

Current Fair of Current Average Maturity (Reported (Reported Sensitivity Sensitivity

Type Face Value^(1) Portfolio Price Coupon GWAC Age (Months) in Oct) in Oct) (-50 BPS)^ (+50 BPS)^ (2) (2)

Pass Through RMBS

Post Reset ARM $ 928 $ 960 0.02% $ 103.49 3.64% 3.84% 194 167 0.00% 0.00% $ 4 $ (3)

Fixed Rate CMO 141,260 151,111 3.84% 106.97 4.00% 4.40% 39 316 28.88% 22.56% (141) 91

15yr 4.0 1,217 1,319 0.03% 108.36 4.00% 4.49% 29 137 99.88% 89.58% 13 (12)

15yr Total 1,217 1,319 0.03% 108.36 4.00% 4.49% 29 137 99.88% 89.58% 13 (12)

20yr 2.5 148,522 155,962 3.97% 105.01 2.50% 3.34% 3 237 6.51% 3.76% 370 (674)

20yr Total 148,522 155,962 3.97% 105.01 2.50% 3.34% 3 237 6.51% 3.76% 370 (674)

30yr 2.5 249,737 263,182 6.69% 105.38 2.50% 3.36% 2 358 7.94% n/a 1,769 (3,371)

30yr 3.0 281,234 303,919 7.73% 108.07 3.00% 3.71% 7 352 12.88% 10.31% 3,487 (4,583)

30yr 3.5 1,466,583 1,619,320 41.18% 110.41 3.50% 3.99% 10 346 13.44% 12.14% 14,781 (20,480)

30yr 4.0 462,535 520,169 13.23% 112.46 4.00% 4.52% 19 336 21.43% 16.04% 6,207 (7,260)

30yr 4.5 285,023 323,387 8.22% 113.46 4.50% 5.01% 16 341 20.54% 20.06% 2,659 (2,966)

30yr 5.0 149,517 170,242 4.33% 113.86 5.00% 5.56% 27 328 27.98% 24.27% 1,774 (1,850)

30yr Total 2,894,629 3,200,219 81.39% 110.56 3.62% 4.17% 12 345 15.74% 14.48% 30,677 (40,510)

Total Pass Through 3,186,556 3,509,571 89.25% 110.14 3.59% 4.15% 13 338 15.93% 14.34% 30,923 (41,108)RMBS

Structured RMBS

Interest-Only 300,143 30,796 0.78% 10.26 4.00% 4.60% 76 270 41.23% 40.44% (2,467) 4,335Securities

Total Structured 300,143 30,796 0.78% 10.26 4.00% 4.60% 76 270 41.23% 40.44% (2,467) 4,335RMBS

Long TBA Positions

FNCI 2.0 TBA 175,000 181,918 4.63% 103.95 2.00% 1,535 (1,985)

FNCL 2.5 TBA 200,000 209,813 5.34% 104.91 2.50% 1,716 (2,898)

Total Long TBA 375,000 391,731 9.96% 104.46 2.27% 3,251 (4,883)

Total Mortgage (41,656)Assets $ 3,861,699 $ 3,932,098 100.00% 3.49% 4.18% 18 332 18.17% 16.99% $ 31,707 $

Interest

Interest

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 BPS)(2)

(+50 BPS)(2)

Eurodollar Futures

$

(50,000)

Dec-2021

(313)

313

Swaps

(820,000)

Apr-2025

(9,805)

19,593

5-Year Treasury Futures

(69,000)

Dec-2020(3)

(1,913)

2,524

Swaptions

(667,300)

May-2021

(2,563)

4,462

Hedge Total

$

(1,606,300)

$

(14,594)

$

26,892

Rate Shock Grand Total

$

17,113

$

(14,764)



Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

Hedge Balance End (-50 BPS)^ (+50 BPS)^ (2) (2)

Eurodollar $ (50,000) Dec-2021 (313) 313Futures

Swaps (820,000) Apr-2025 (9,805) 19,593

5-Year Dec-2020Treasury (69,000) ^(3) (1,913) 2,524Futures

Swaptions (667,300) May-2021 (2,563) 4,462

Hedge $ (1,606,300) $ (14,594) $ 26,892Total

Rate ShockGrand $ 17,113 $ (14,764)Total

(1)

mounts in the tables above include assets with a fair value of approximately $113.5 million purchased in September 2020, which settle in October 2020.

(2)

Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.

(3)

Five year treasury futures contracts were valued at prices of $126.03 at September 30, 2020. The market value of the short position was $87.0 million.

mounts in the tables above include assets with a fair value of(1) approximately $113.5 million purchased in September 2020, which settle in October 2020.

Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are(2) calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.

Five year treasury futures contracts were valued at prices of $126.03 at(3) September 30, 2020. The market value of the short position was $87.0 million.

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(1)(2)

Portfolio

Asset Category

Value(1)(2)

Portfolio

As of September 30, 2020

As of September 30, 2020

Fannie Mae

$

2,151,928

60.8%

Non-Whole Pool Assets

$

687,363

19.4%

Freddie Mac

1,388,439

39.2%

Whole Pool Assets

2,853,004

80.6%

Total Mortgage Assets

$

3,540,367

100.0%

Total Mortgage Assets

$

3,540,367

100.0%

RMBS Assets by Investment Company Act of 1940 WholeAgency Pool Test

($ in ($ in thousands) thousands)

Percentage Percentage

Fair of Fair of

Asset Category Value^(1) Portfolio Asset Category Value^(1) Portfolio (2) (2)

As of September As of September 30, 2020 30, 2020

Fannie Mae $ 2,151,928 60.8% Non-Whole Pool $ 687,363 19.4% Assets

Freddie Mac 1,388,439 39.2% Whole Pool 2,853,004 80.6% Assets

Total Mortgage $ 3,540,367 100.0% Total Mortgage $ 3,540,367 100.0%Assets Assets

(1)

Amounts in the tables above include assets with a fair value of approximately $113.5 million purchased in September 2020, which settle in October 2020.

(2)

Amounts in the tables above exclude long TBA positions with a market value of approximately $391.7 million.

Amounts in the tables above include assets with a fair value of(1) approximately $113.5 million purchased in September 2020, which settle in October 2020.

(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $391.7 million.

Borrowings By Counterparty($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of September 30, 2020

Borrowings

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

373,441

11.3%

0.25%

79

2/11/2021

Wells Fargo Bank, N.A.

309,449

9.4%

0.23%

12

10/19/2020

Mitsubishi UFJ Securities (USA), Inc

283,239

8.6%

0.25%

62

1/26/2021

Merrill Lynch, Pierce, Fenner & Smith

282,384

8.6%

0.25%

74

12/14/2020

J.P. Morgan Securities LLC

259,594

7.9%

0.25%

160

3/12/2021

Cantor Fitzgerald & Co

227,378

6.9%

0.24%

90

1/8/2021

RBC Capital Markets, LLC

212,510

6.5%

0.22%

27

11/24/2020

ASL Capital Markets Inc.

205,964

6.3%

0.23%

16

10/28/2020

Citigroup Global Markets Inc

202,473

6.2%

0.24%

15

10/21/2020

ABN AMRO Bank N.V.

197,502

6.0%

0.23%

16

10/23/2020

ED&F Man Capital Markets Inc

192,187

5.9%

0.22%

77

1/14/2021

ING Financial Markets LLC

140,413

4.3%

0.25%

19

10/19/2020

Daiwa Securities America Inc.

127,270

3.9%

0.25%

74

1/15/2021

South Street Securities, LLC

77,304

2.4%

0.28%

155

5/13/2021

Bank of Montreal

72,642

2.2%

0.24%

72

12/11/2020

Lucid Cash Fund USG LLC

56,314

1.7%

0.28%

15

10/15/2020

J.V.B. Financial Group, LLC

26,270

0.8%

0.30%

15

10/15/2020

Barclays Capital Inc

25,142

0.8%

0.29%

41

11/10/2020

Austin Atlantic Asset Management Co.

9,827

0.3%

0.30%

7

10/7/2020

Total Borrowings

$

3,281,303

100.0%

0.24%

60

5/13/2021

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CONTACT: Orchid Island Capital, Inc. Robert E. Cauley Telephone: (772) 231-1400