Business Wire | Mar 17, 2021 05:49PM EDT

Orchid Island Capital Announces March 2021 Monthly Dividend and February 28, 2021 RMBS Portfolio Characteristics

Mar. 17, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Mar. 17, 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 March 2021. The dividend of $0.065 per share will be paid April 28, 2021, to holders of record of the Company's common stock on March 31, 2021, with an ex-dividend date of March 30, 2021. The Company plans on announcing its next common stock dividend on April 14, 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 March 17, 2021, the Company had 94,321,365 shares of common stock outstanding. As of February 28, 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 February 28, 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. 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, 2020.

RMBS Valuation Characteristics

($ in thousands)

Realized Realized

Feb 2021 Dec - Feb 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 Portfolio Price Coupon GWAC Age (Months) in Mar) in Mar) (-50 BPS)^ (+50 BPS)^ (1) (1)

Pass Through RMBS

15yr 2.5 $ 238,175 $ 253,790 6.55 % $ 106.56 2.50 % 2.87 % 2 174 2.41 % n/a $ 4,295 $ (4,998 )

15yr 4.0 629 676 0.02 % 107.58 4.00 % 4.50 % 34 122 8.05 % 18.57 % 8 (9 )

15yr Total 238,804 254,466 6.56 % 106.56 2.50 % 2.88 % 3 174 2.43 % 18.57 % 4,303 (5,007 )

20yr 2.0 395,950 407,705 10.52 % 102.97 2.00 % 2.86 % 3 237 3.26 % 3.22 % 6,322 (8,905 )

20yr Total 395,950 407,705 10.52 % 102.97 2.00 % 2.86 % 3 237 3.26 % 3.22 % 6,322 (8,905 )

30yr 2.5 1,231,466 1,287,446 33.21 % 104.55 2.50 % 3.31 % 4 354 4.52 % 4.19 % 25,433 (34,380 )

30yr 3.0 846,209 919,714 23.72 % 108.69 3.00 % 3.48 % 6 353 6.67 % 7.14 % 21,029 (24,742 )

30yr 3.5 607,218 668,872 17.25 % 110.15 3.50 % 4.00 % 15 339 19.91 % 19.18 % 10,390 (14,645 )

30yr 4.0 176,155 198,298 5.11 % 112.57 4.00 % 4.51 % 30 322 15.26 % 19.26 % 3,839 (4,375 )

30yr 4.5 90,796 102,649 2.65 % 113.05 4.50 % 5.00 % 21 335 30.97 % 29.10 % 1,142 (1,622 )

30yr Total 2,951,844 3,176,979 81.94 % 107.63 3.00 % 3.62 % 9 348 9.76 % 10.92 % 61,833 (79,764 )

Total Pass Through 3,586,598 3,839,150 99.02 % 107.04 2.86 % 3.49 % 8 324 8.55 % 10.20 % 72,458 (93,676 )RMBS

Structured RMBS

Interest-Only 238,355 33,354 0.86 % 13.99 3.98 % 4.57 % 80 265 35.64 % 40.44 % (3,881 ) 3,642 Securities

Inverse Interest-Only 69,363 4,644 0.12 % 6.69 3.74 % 4.40 % 42 312 27.54 % n/a (214 ) (264 )Securities

Total Structured RMBS 307,718 37,998 0.98 % 12.35 3.93 % 4.53 % 71 276 33.81 % 40.44 % (4,095 ) 3,378



Total Mortgage Assets $ 3,894,316 $ 3,877,148 100.00 % 2.94 % 3.57 % 13 320 10.55 % 12.71 % $ 68,363 $ (90,298 )



Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

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

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

Swaps (855,000 ) Apr-2026 (22,245 ) 22,245

5-Year Treasury Future (69,000 ) Mar-2021^ (2,200 ) 2,226 (2)

TBA (828,000 ) Feb-2021 (11,826 ) 17,986

Swaptions (725,350 ) Feb-2022 (5,564 ) 8,405

Yield Curve Spread (150,000 ) Feb-2023 n/a n/a Floor

Hedge Total $ (1,226,650 ) $ (42,085 ) $ 51,112

Rate Shock Grand Total $ 26,278 $ (39,186 )

(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 $123.97 at February 28, 2021. The market value of the short position was $85.5 million.

Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are (1) 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 $123.97 at (2) February 28, 2021. The market value of the short position was $85.5 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

Portfolio

Asset Category

Value

Portfolio

As of February 28, 2021

As of February 28, 2021

Fannie Mae

$

3,074,228

79.3%

Non-Whole Pool Assets

$

541,319

14.0%

Freddie Mac

802,920

20.7%

Whole Pool Assets

3,335,829

86.0%

Total Mortgage Assets

$

3,877,148

100.0%

Total Mortgage Assets

$

3,877,148

100.0%

Investment Company Act of 1940 WholeRMBS Assets by Pool TestAgency

($ in ($ in thousands) thousands)

Percentage Percentage

Fair of Fair of

Asset Category Value Portfolio Asset Category Value Portfolio

As of February As of February 28, 2021 28, 2021

Fannie Mae $ 3,074,228 79.3% Non-Whole Pool $ 541,319 14.0% Assets

Freddie Mac 802,920 20.7% Whole Pool 3,335,829 86.0% Assets

Total Mortgage $ 3,877,148 100.0% Total Mortgage $ 3,877,148 100.0%Assets Assets

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of February 28, 2021

Borrowings

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

383,034

10.3%

0.19%

93

8/5/2021

J.P. Morgan Securities LLC

382,688

10.2%

0.24%

28

7/21/2021

Mitsubishi UFJ Securities (USA), Inc

337,701

9.0%

0.22%

48

4/26/2021

Wells Fargo Bank, N.A.

335,569

8.9%

0.20%

36

4/23/2021

ASL Capital Markets Inc.

256,287

6.8%

0.18%

31

4/26/2021

RBC Capital Markets, LLC

227,580

6.1%

0.18%

74

5/24/2021

Cantor Fitzgerald & Co

223,019

5.9%

0.18%

59

5/13/2021

Citigroup Global Markets Inc

213,195

5.7%

0.18%

73

5/12/2021

Nomura Securities International, Inc.

209,661

5.6%

0.18%

58

5/13/2021

ED&F Man Capital Markets Inc

209,572

5.6%

0.20%

90

8/19/2021

Barclays Capital Inc

156,183

4.2%

0.18%

12

3/12/2021

Merrill Lynch, Pierce, Fenner & Smith

146,184

3.9%

0.19%

11

3/11/2021

ING Financial Markets LLC

123,519

3.3%

0.21%

45

4/14/2021

Daiwa Securities America Inc.

100,971

2.7%

0.19%

13

3/16/2021

ABN AMRO Bank N.V.

89,213

2.4%

0.18%

12

3/12/2021

South Street Securities, LLC

79,132

2.1%

0.26%

63

5/13/2021

Goldman, Sachs & Co.

75,447

2.0%

0.18%

78

5/17/2021

Bank of Montreal

65,733

1.8%

0.18%

11

3/11/2021

Lucid Cash Fund USG LLC

50,423

1.3%

0.23%

11

3/11/2021

Austin Atlantic Asset Management Co.

50,386

1.3%

0.21%

5

3/5/2021

J.V.B. Financial Group, LLC

34,319

0.9%

0.20%

55

4/26/2021

Total Borrowings

$

3,749,816

100.0%

0.20%

49

8/19/2021

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