Business Wire | Dec 15, 2020 04:12PM EST

Orchid Island Capital Announces December 2020 Monthly Dividend and November 30, 2020 RMBS Portfolio Characteristics

Dec. 15, 2020

VERO BEACH, Fla.--(BUSINESS WIRE)--Dec. 15, 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 December 2020. The dividend of $0.065 per share will be paid January 27, 2020, to holders of record of the Company's common stock on December 31, 2020, with an ex-dividend date of December 30, 2020. The Company plans on announcing its next common stock dividend on January 14, 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 December 15, 2020, the Company had 72,604,539 shares of common stock outstanding. As of November 30, 2020, the Company had 70,117,699 shares of common stock outstanding. As of September 30, 2020, the Company had 69,295,962 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 30, 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

Nov 2020 Sep - Nov 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 Portfolio Price Coupon GWAC Age (Months) in Dec) in Dec) (-50 BPS)^ (+50 BPS)^ (1) (1)

Pass Through RMBS

Post Reset $ 728 $ 751 0.02% $ 103.09 3.63% 4.09% 200 161 0.00% 44.80% $ 2 $ (2)ARM

Fixed Rate 133,802 142,898 3.66% 106.80 4.00% 4.40% 41 314 27.27% 22.79% (141) 79CMO

15yr 4.0 684 733 0.02% 107.18 4.00% 4.49% 31 124 21.98% 90.38% 7 (8)

15yr Total 684 733 0.02% 107.18 4.00% 4.49% 31 124 21.98% 90.38% 7 (8)

20yr 2.0 99,631 103,680 2.66% 104.06 2.00% 2.88% 2 238 2.11% n/a 611 (1,210)

20yr 2.5 145,731 152,835 3.92% 104.88 2.50% 3.34% 5 235 9.78% 8.26% 246 (489)

20yr Total 245,362 256,515 6.57% 104.55 2.30% 3.15% 4 236 6.66% 8.26% 857 (1,699)

30yr 2.5 498,883 527,414 13.52% 105.72 2.50% 3.41% 2 355 2.78% 5.97% 3,937 (7,732)

30yr 3.0 747,464 819,236 21.00% 109.60 3.00% 3.49% 4 356 6.55% 27.44% 13,799 (17,444)

30yr 3.5 1,169,332 1,289,742 33.05% 110.30 3.50% 3.98% 12 344 15.11% 14.53% 10,913 (15,929)

30yr 4.0 186,724 210,858 5.40% 112.92 4.00% 4.51% 27 326 14.97% 25.95% 3,350 (3,772)

30yr 4.5 98,453 111,257 2.85% 113.00 4.50% 5.00% 18 339 21.61% 25.98% 829 (881)

30yr 5.0 27,576 31,294 0.80% 113.49 5.00% 5.63% 33 320 24.53% 36.46% 287 (278)

30yr Total 2,728,432 2,989,801 76.62% 109.58 3.27% 3.83% 9 348 10.83% 15.43% 33,115 (46,036)

Total Pass 3,109,008 3,390,698 86.90% 109.06 3.22% 3.80% 10 337 11.21% 15.44% 33,840 (47,666)Through RMBS

Structured RMBS

Interest-Only 270,232 28,783 0.74% 10.65 4.00% 4.60% 78 267 40.82% 42.63% (2,333) 4,021Securities

TotalStructured 270,232 28,783 0.74% 10.65 4.00% 4.60% 78 267 40.82% 42.63% (2,333) 4,021RMBS

Long TBA Positions

FNCL 2.0 TBA 465,000 482,438 12.36% 103.75 2.00% 5,847 (9,432)

Total Long 465,000 482,438 12.36% 103.75 2.00% 5,847 (9,432)TBA

TotalMortgage $ 3,844,240 $ 3,901,919 100.00% 3.13% 3.87% 16 332 13.58% 18.71% $ 37,354 $ (53,077)Assets



Interest

Interest

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 BPS)(1)

(+50 BPS)(1)

Eurodollar Futures

$

(50,000)

Dec-2021

(313)

313

Swaps

(820,000)

Apr-2025

(9,053)

19,262

5-Year Treasury Futures

(69,000)

Mar-2021(2)

(2,177)

2,388

TBA

(328,000)

Nov-2020

(2,098)

3,442

Swaptions

(667,300)

May-2021

(3,864)

4,396

Hedge Total

$

(1,934,300)

$

(17,505)

$

29,801

Rate Shock Grand Total

$

19,849

$

(23,276)

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

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

Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

Hedge Balance End (-50 BPS)^ (+50 BPS)^ (1) (1)

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

Swaps (820,000) Apr-2025 (9,053) 19,262

5-Year Mar-2021Treasury (69,000) ^(2) (2,177) 2,388Futures

TBA (328,000) Nov-2020 (2,098) 3,442

Swaptions (667,300) May-2021 (3,864) 4,396

Hedge $ (1,934,300) $ (17,505) $ 29,801Total

Rate ShockGrand $ 19,849 $ (23,276)Total

(1) Modeled results from Citigroup Global Markets Inc. Yield Book. Interestrate shocks assume instantaneous parallel shifts and horizon prices arecalculated assuming constant LIBOR option-adjusted spreads. These results arefor illustrative purposes only and actual results may differ materially.

(2) Five year treasury futures contracts were valued at prices of $126.03 atNovember 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)

Portfolio

Asset Category

Value(1)

Portfolio

As of November 30, 2020

As of November 30, 2020

Fannie Mae

$

2,335,519

68.3%

Non-Whole Pool Assets

$

480,382

14.0%

Freddie Mac

1,083,962

31.7%

Whole Pool Assets

2,939,099

86.0%

Total Mortgage Assets

$

3,419,481

100.0%

Total Mortgage Assets

$

3,419,481

100.0%

(1) Amounts in the tables above exclude long TBA positions with a market value of approximately $482.4 million.

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

As of November As of November 30, 2020 30, 2020

Fannie Mae $ 2,335,519 68.3% Non-Whole Pool $ 480,382 14.0% Assets

Freddie Mac 1,083,962 31.7% Whole Pool 2,939,099 86.0% Assets

Total Mortgage $ 3,419,481 100.0% Total Mortgage $ 3,419,481 100.0%Assets Assets

(1) Amounts in the tables above exclude long TBA positions with a market valueof approximately $482.4 million.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of November 30, 2020

Borrowings

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

367,670

11.3%

0.25%

60

2/11/2021

Mitsubishi UFJ Securities (USA), Inc

341,739

10.3%

0.24%

48

1/26/2021

Merrill Lynch, Pierce, Fenner & Smith

282,037

8.5%

0.25%

14

12/14/2020

Wells Fargo Bank, N.A.

277,091

8.4%

0.23%

30

1/19/2021

J.P. Morgan Securities LLC

276,879

8.4%

0.25%

100

3/12/2021

Citigroup Global Markets Inc

222,559

6.7%

0.23%

43

1/19/2021

Cantor Fitzgerald & Co.

214,128

6.5%

0.23%

55

2/12/2021

ASL Capital Markets Inc.

196,506

5.9%

0.23%

60

2/11/2021

RBC Capital Markets, LLC

163,155

4.9%

0.22%

43

1/12/2021

Barclays Capital Inc.

158,409

4.8%

0.23%

43

1/12/2021

ING Financial Markets LLC

125,919

3.8%

0.22%

45

1/14/2021

Daiwa Securities America Inc.

120,549

3.6%

0.25%

41

2/10/2021

ED&F Man Capital Markets Inc

115,495

3.5%

0.22%

44

1/22/2021

ABN AMRO Bank N.V.

109,827

3.3%

0.23%

44

1/13/2021

South Street Securities, LLC

78,756

2.4%

0.28%

133

5/13/2021

Bank of Montreal

72,242

2.2%

0.24%

11

12/11/2020

Nomura Securities International, Inc.

53,293

1.6%

0.21%

84

2/22/2021

Lucid Cash Fund USG LLC

52,657

1.6%

0.26%

10

12/10/2020

Goldman, Sachs & Co.

27,477

0.8%

0.23%

78

2/16/2021

Austin Atlantic Asset Management Co.

25,455

0.8%

0.26%

7

12/7/2020

J.V.B. Financial Group, LLC

23,556

0.7%

0.23%

46

1/15/2021

Total Borrowings

$

3,305,399

100.0%

0.24%

50

5/13/2021

View source version on businesswire.com: https://www.businesswire.com/news/home/20201215006103/en/

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