Business Wire | Nov 12, 2020 06:41PM EST

Orchid Island Capital Announces November 2020 Monthly Dividend and October 31, 2020 RMBS Portfolio Characteristics

Nov. 12, 2020

VERO BEACH, Fla.--(BUSINESS WIRE)--Nov. 12, 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 November 2020. The dividend of $0.065 per share will be paid December 29, 2020, to holders of record of the Company's common stock on November 30, 2020, with an ex-dividend date of November 27, 2020. The Company plans on announcing its next common stock dividend on December 15, 2020.

The Company intends to make regular monthly cash distributions to its holders of common stock. 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 November 12, 2020, October 31, 2020 and September 30, 2020, the Company had 69,295,962 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 2020 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

* 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 and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, 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

Oct 2020 Aug - Oct 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 Nov) in Nov) (-50 BPS)^ (+50 BPS)^ (2) (2)

Pass Through RMBS

Post Reset ARM $ 924 $ 956 0.02% $ 103.50 3.39% 3.84% 195 166 65.71% 51.63% $ 3 $ (2)

Fixed Rate CMO 135,894 145,172 3.60% 106.83 4.00% 4.40% 40 315 11.02% 20.49% (86) (137)

15yr 4.0 692 742 0.02% 107.24 4.00% 4.49% 30 125 6.41% 89.68% 7 (8)

15yr Total 692 742 0.02% 107.24 4.00% 4.49% 30 125 6.41% 89.68% 7 (8)

20yr 2.0 100,000 103,397 2.56% 103.40 2.00% 2.88% 1 239 0.70% 6.16% 984 (1,646)

20yr 2.5 147,250 153,647 3.81% 104.34 2.50% 3.34% 4 236 8.46% 4.30% 579 (1,151)

20yr Total 247,250 257,044 6.37% 103.96 2.30% 3.15% 3 237 5.32% 4.99% 1,563 (2,797)

30yr 2.5 247,618 259,497 6.43% 104.80 2.50% 3.36% 3 357 5.44% n/a 2,245 (4,152)

30yr 3.0 605,480 662,434 16.42% 109.41 3.00% 3.56% 4 355 17.76% 18.52% 11,463 (14,265)

30yr 3.5 1,446,206 1,600,002 39.66% 110.63 3.50% 3.99% 11 345 15.02% 13.74% 15,437 (22,471)

30yr 4.0 204,193 229,733 5.69% 112.51 4.00% 4.52% 27 327 20.09% 17.83% 3,632 (4,114)

30yr 4.5 279,005 316,470 7.84% 113.43 4.50% 5.01% 17 340 21.57% 21.15% 2,703 (3,212)

30yr 5.0 46,897 53,024 1.31% 113.06 5.00% 5.65% 33 321 23.95% 28.06% 480 (486)

30yr Total 2,829,399 3,121,160 77.37% 110.31 3.47% 4.01% 11 346 15.69% 15.87% 35,960 (48,700)

Total Pass Through 3,214,159 3,525,074 87.38% 109.67 3.40% 3.96% 12 336 14.60% 14.50% 37,447 (51,644)RMBS

Structured RMBS

Interest-Only 285,612 30,517 0.76% 10.68 4.00% 4.60% 77 269 45.15% 42.46% (2,805) 4,546Securities

Total Structured 285,612 30,517 0.76% 10.68 4.00% 4.60% 77 269 45.15% 42.46% (2,805) 4,546RMBS

Long TBA Positions

FNCL 2.0 TBA 465,000 478,514 11.86% 102.91 2.00% 7,273 (10,599)

Total Long TBA 465,000 478,514 11.86% 102.91 2.00% 7,273 (10,599)

Total Mortgage $ 3,964,771 $ 4,034,105 100.00% 3.28% 4.01% 17 331 17.35% 17.25% $ 41,915 $ (57,697)Assets



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

(9,790)

19,564

5-Year Treasury Futures

(69,000)

Dec-2020(3)

(2,455)

1,979

TBA

(328,000)

Nov-2020

(2,472)

4,111

Swaptions

(667,300)

May-2021

(3,810)

4,712

Hedge Total

$

(1,934,300)

$

(18,840)

$

30,679

Rate Shock Grand Total

$

23,075

$

(27,018)

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 (9,790) 19,564

5-Year Dec-2020Treasury (69,000) ^(3) (2,455) 1,979Futures

TBA (328,000) Nov-2020 (2,472) 4,111

Swaptions (667,300) May-2021 (3,810) 4,712

Hedge $ (1,934,300) $ (18,840) $ 30,679Total

Rate ShockGrand $ 23,075 $ (27,018)Total

(1)

Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 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 $125.60 at October 31, 2020. The market value of the short position was $86.7 million.

Amounts in the tables above include assets with a fair value of(1) approximately $362.0 million purchased in October 2020, which settle in November 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 $125.60 at(3) October 31, 2020. The market value of the short position was $86.7 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 October 31, 2020

As of October 31, 2020

Fannie Mae

$

2,087,940

58.7%

Non-Whole Pool Assets

$

777,779

21.9%

Freddie Mac

1,467,651

41.3%

Whole Pool Assets

2,777,812

78.1%

Total Mortgage Assets

$

3,555,591

100.0%

Total Mortgage Assets

$

3,555,591

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 October As of October 31, 2020 31, 2020

Fannie Mae $ 2,087,940 58.7% Non-Whole Pool $ 777,779 21.9% Assets

Freddie Mac 1,467,651 41.3% Whole Pool 2,777,812 78.1% Assets

Total Mortgage $ 3,555,591 100.0% Total Mortgage $ 3,555,591 100.0%Assets Assets

(1)

Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 2020.

(2)

Amounts in the tables above exclude long TBA positions with a market value of approximately $478.5 million.

Amounts in the tables above include assets with a fair value of(1) approximately $362.0 million purchased in October 2020, which settle in November 2020.

(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $478.5 million.

Borrowings By Counterparty($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of October 31, 2020

Borrowings

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

367,343

11.8%

0.24%

90

2/11/2021

Mitsubishi UFJ Securities (USA), Inc

341,477

11.1%

0.24%

60

1/26/2021

Merrill Lynch, Pierce, Fenner & Smith

282,037

9.2%

0.25%

44

12/14/2020

Wells Fargo Bank, N.A.

282,011

9.2%

0.23%

60

1/19/2021

J.P. Morgan Securities LLC

259,243

8.5%

0.25%

130

3/12/2021

RBC Capital Markets, LLC

205,128

6.7%

0.22%

61

1/12/2021

Citigroup Global Markets Inc

199,862

6.5%

0.23%

75

1/21/2021

ED&F Man Capital Markets Inc

164,703

5.4%

0.22%

61

1/22/2021

ABN AMRO Bank N.V.

162,034

5.3%

0.22%

58

1/13/2021

ASL Capital Markets Inc.

153,278

5.0%

0.23%

71

1/20/2021

ING Financial Markets LLC

133,587

4.4%

0.22%

75

1/14/2021

Cantor Fitzgerald & Co.

129,520

4.2%

0.24%

70

1/13/2021

Daiwa Securities America Inc.

121,359

4.0%

0.25%

44

1/15/2021

South Street Securities, LLC

76,724

2.5%

0.28%

135

5/13/2021

Bank of Montreal

72,242

2.4%

0.24%

41

12/11/2020

Lucid Cash Fund USG LLC

54,433

1.8%

0.26%

12

11/12/2020

Goldman, Sachs & Co.

27,563

0.9%

0.20%

16

11/16/2020

J.V.B. Financial Group, LLC

25,024

0.8%

0.23%

76

1/15/2021

AAAMCO

9,713

0.3%

0.26%

4

11/4/2020

Total Borrowings

$

3,067,281

100.0%

0.24%

70

5/13/2021

View source version on businesswire.com: https://www.businesswire.com/news/home/20201112006131/en/

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