Business Wire | Feb 10, 2021 05:05PM EST

Orchid Island Capital Announces February 2021 Monthly Dividend and January 31, 2021 RMBS Portfolio Characteristics

Feb. 10, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Feb. 10, 2021--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 February 2021. The dividend of $0.065 per share will be paid March 29, 2021, to holders of record of the Company's common stock on February 26, 2021, with an ex-dividend date of February 25, 2021. The Company plans on announcing its next common stock dividend on March 17, 2021.

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 February 10, 2021 and January 31, 2021, the Company had 85,121,365 shares of common stock outstanding. As of December 31, 2020, the Company had 76,073,317 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 31, 2021 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 and the expected funding of purchased assets and anticipated borrowings. 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

Jan 2021 Nov - Jan Modeled Modeled

Net Weighted CPR 2021 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 Feb) in Feb) (-50 BPS)^ (+50 BPS)^ (2) (2)

Pass Through RMBS

Fixed Rate $ 72,203 $ 76,982 1.73% $ 106.62 4.00% 4.40% 41 313 28.80% 32.06% $ (201) $ (346)CMO

15yr 2.5 239,845 257,515 5.78% 107.37 2.50% 2.87% 1 176 2.83% n/a 3,026 (4,597)

15yr 4.0 647 697 0.02% 107.67 4.00% 4.50% 33 122 23.80% 22.91% 5 (9)

15yr Total 240,492 258,212 5.79% 107.37 2.50% 2.88% 2 176 2.88% 22.91% 3,031 (4,606)

20yr 2.0 397,839 413,008 9.26% 103.81 2.00% 2.86% 2 238 2.63% 2.73% 3,109 (6,803)

20yr Total 397,839 413,008 9.26% 103.81 2.00% 2.86% 2 238 2.63% 2.73% 3,109 (6,803)

30yr 2.5 1,236,221 1,315,433 29.50% 106.41 2.50% 3.31% 3 355 2.58% 4.36% 13,390 (26,285)

30yr 3.0 809,658 891,249 19.99% 110.08 3.00% 3.48% 5 354 6.41% 6.90% 14,818 (21,213)

30yr 3.5 617,482 683,643 15.33% 110.71 3.50% 4.00% 14 340 16.22% 18.60% 5,280 (11,056)

30yr 4.0 180,120 203,249 4.56% 112.84 4.00% 4.51% 29 324 21.94% 19.18% 2,929 (4,179)

30yr 4.5 93,291 105,442 2.37% 113.02 4.50% 5.00% 20 336 26.50% 25.98% 588 (1,301)

30yr Total 2,936,772 3,199,016 71.75% 108.93 3.00% 3.63% 8 349 8.45% 11.64% 37,005 (64,034)

Total Pass 3,647,306 3,947,218 88.53% 108.22 2.88% 3.51% 8 325 7.92% 11.91% 42,944 (75,789)Through RMBS

Structured RMBS

Interest-Only 249,787 29,573 0.66% 11.84 3.98% 4.57% 79 267 38.55% 42.56% (3,926) 3,629Securities

TotalStructured 249,787 29,573 0.66% 11.84 3.98% 4.57% 79 267 38.55% 42.56% (3,926) 3,629RMBS

Long TBA Positions

FNCL 2.0 TBA 365,000 376,349 8.44% 103.11 2.00% 4,983 (8,295)

FNCL 2.5 TBA 100,000 105,234 2.36% 105.23 2.50% 636 (1,700)

Total Long 465,000 481,583 10.80% 103.57 2.11% 5,619 (9,995)TBA

TotalMortgage $ 4,362,093 $ 4,458,374 100.00% 2.86% 3.58% 12 321 9.90% 14.87% $ 44,637 $ (82,155)Assets



Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

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

Eurodollar $ (50,000) Dec-2021 $ (250) $ 250Futures

Swaps (855,000) Apr-2026 (10,103) 22,356

5-Year Mar-2021^Treasury (69,000) (3) (2,217) 2,340Futures

TBA (528,000) Feb-2021 (2,478) 6,912

Swaptions (733,450) Feb-2022 (5,848) 6,329

Hedge Total $ (2,235,450) $ (20,896) $ 38,187

Rate Shock $ 23,741 $ (43,968)Grand Total

(1)

Amounts in the tables above include assets with a fair value of approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 2021.

(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 $125.88 at January 31, 2021. The market value of the short position was $86.9 million.

Amounts in the tables above include assets with a fair value of(1) approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 2021.

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 $125.88 at(3) January 31, 2021. The market value of the short position was $86.9 million.

RMBS Assets by AgencyInvestment 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 January 31, 2021

As of January 31, 2021

Fannie Mae

$

3,087,564

77.6%

Non-Whole Pool Assets

$

569,507

14.3%

Freddie Mac

889,228

22.4%

Whole Pool Assets

3,407,285

85.7%

Total Mortgage Assets

$

3,976,792

100.0%

Total Mortgage Assets

$

3,976,792

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 January As of January 31, 2021 31, 2021

Fannie Mae $ 3,087,564 77.6% Non-Whole Pool $ 569,507 14.3% Assets

Freddie Mac 889,228 22.4% Whole Pool 3,407,285 85.7% Assets

Total Mortgage $ 3,976,792 100.0% Total Mortgage $ 3,976,792 100.0%Assets Assets

(1)

Amounts in the tables above include assets with a fair value of approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 2021.

(2)

Amounts in the tables above exclude long TBA positions with a market value of approximately $481.6 million.

Amounts in the tables above include assets with a fair value of(1) approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 2021.

(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $481.6 million.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of January 31, 2021

Borrowings(1)

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

411,276

10.8%

0.21%

44

4/19/2021

Mirae Asset Securities (USA) Inc.

395,393

10.3%

0.23%

49

7/26/2021

J.P. Morgan Securities LLC

382,267

10.0%

0.24%

56

7/21/2021

Mitsubishi UFJ Securities (USA), Inc

334,442

8.7%

0.21%

76

4/26/2021

ASL Capital Markets Inc.

269,629

7.0%

0.20%

21

4/26/2021

Cantor Fitzgerald & Co.

236,033

6.1%

0.21%

18

4/22/2021

RBC Capital Markets, LLC

230,058

6.0%

0.20%

22

4/19/2021

Citigroup Global Markets Inc

213,413

5.6%

0.20%

11

2/11/2021

Nomura Securities International, Inc.

211,464

5.5%

0.20%

35

4/19/2021

ED&F Man Capital Markets Inc

162,935

4.2%

0.20%

94

7/26/2021

Barclays Capital Inc.

156,684

4.1%

0.21%

12

2/12/2021

Merrill Lynch, Pierce, Fenner & Smith

149,500

3.9%

0.21%

11

3/2/2021

ING Financial Markets LLC

123,519

3.2%

0.21%

73

4/14/2021

ABN AMRO Bank N.V.

104,121

2.7%

0.20%

12

2/12/2021

Daiwa Securities America Inc.

101,630

2.6%

0.23%

16

3/4/2021

South Street Securities, LLC

79,298

2.1%

0.28%

71

5/13/2021

Goldman, Sachs & Co.

77,823

2.0%

0.22%

16

2/16/2021

Bank of Montreal

65,845

1.7%

0.22%

11

2/11/2021

Austin Atlantic Asset Management Co.

51,189

1.3%

0.23%

5

2/5/2021

Lucid Cash Fund USG LLC

51,028

1.3%

0.25%

11

2/11/2021

J.V.B. Financial Group, LLC

34,319

0.9%

0.20%

83

4/26/2021

Total Borrowings

$

3,841,866

100.0%

0.21%

7/26/2021

Borrowings By Counterparty

($ in thousands)

Weighted Weighted

% of Average Average

Total Total Repo Maturity Longest

As of January 31, 2021 Borrowings Debt Rate in Days Maturity ^(1)

Wells Fargo Bank, N.A. $ 411,276 10.8% 0.21% 44 4/19/ 2021

Mirae Asset Securities (USA) 395,393 10.3% 0.23% 49 7/26/Inc. 2021

J.P. Morgan Securities LLC 382,267 10.0% 0.24% 56 7/21/ 2021

Mitsubishi UFJ Securities 334,442 8.7% 0.21% 76 4/26/(USA), Inc 2021

ASL Capital Markets Inc. 269,629 7.0% 0.20% 21 4/26/ 2021

Cantor Fitzgerald & Co. 236,033 6.1% 0.21% 18 4/22/ 2021

RBC Capital Markets, LLC 230,058 6.0% 0.20% 22 4/19/ 2021

Citigroup Global Markets Inc 213,413 5.6% 0.20% 11 2/11/ 2021

Nomura Securities 211,464 5.5% 0.20% 35 4/19/International, Inc. 2021

ED&F Man Capital Markets Inc 162,935 4.2% 0.20% 94 7/26/ 2021

Barclays Capital Inc. 156,684 4.1% 0.21% 12 2/12/ 2021

Merrill Lynch, Pierce, 149,500 3.9% 0.21% 11 3/2/2021Fenner & Smith

ING Financial Markets LLC 123,519 3.2% 0.21% 73 4/14/ 2021

ABN AMRO Bank N.V. 104,121 2.7% 0.20% 12 2/12/ 2021

Daiwa Securities America 101,630 2.6% 0.23% 16 3/4/2021Inc.

South Street Securities, LLC 79,298 2.1% 0.28% 71 5/13/ 2021

Goldman, Sachs & Co. 77,823 2.0% 0.22% 16 2/16/ 2021

Bank of Montreal 65,845 1.7% 0.22% 11 2/11/ 2021

Austin Atlantic Asset 51,189 1.3% 0.23% 5 2/5/2021Management Co.

Lucid Cash Fund USG LLC 51,028 1.3% 0.25% 11 2/11/ 2021

J.V.B. Financial Group, LLC 34,319 0.9% 0.20% 83 4/26/ 2021

Total Borrowings $ 3,841,866 100.0% 0.21% 7/26/ 2021

(1)

In January 2021, the Company sold assets with a fair value of approximately $80.5 million, which settle in February 2021 that collateralize approximately $83.0 million of repurchase agreements included in the table above. In January 2021, the Company purchased assets with a fair value of approximately $46.7 million, which settle in February 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

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