Business Wire | May 12, 2021 05:31PM EDT

Orchid Island Capital Announces May 2021 Monthly Dividend and April 30, 2021 RMBS Portfolio Characteristics

May 12, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--May 12, 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 May 2021. The dividend of $0.065 per share will be paid June 28, 2021, to holders of record of the Company's common stock on May 28, 2021, with an ex-dividend date of May 27, 2021. The Company plans on announcing its next common stock dividend on June 15, 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 May 12, 2021, the Company had 95,262,758 shares of common stock outstanding. As of April 30, 2021 and March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 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. 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

Apr 2021 Feb - Apr 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 May) in May) (-50 BPS)^ (+50 BPS)^ (2) (2)

Pass Through RMBS

15yr 2.5 $ 234,989 $ 248,468 5.85 % $ 105.74 2.50 % 2.87 % 4 172 4.64 % 3.19 % $ 3,689 $ (4,483 )

15yr 4.0 612 659 0.02 % 107.76 4.00 % 4.50 % 36 120 8.21 % 8.16 % 7 (8 )

15yr Total 235,601 249,127 5.87 % 105.74 2.50 % 2.88 % 5 172 4.65 % 3.20 % 3,696 (4,491 )

20yr 2.0 148,010 151,177 3.56 % 102.14 2.00 % 2.87 % 4 236 3.17 % 2.38 % 1,979 (3,032 )

20yr Total 148,010 151,177 3.56 % 102.14 2.00 % 2.87 % 4 236 3.17 % 2.38 % 1,979 (3,032 )

30yr 2.5 682,916 710,585 16.74 % 104.05 2.50 % 3.46 % 6 351 7.92 % 6.27 % 8,831 (15,510 )

30yr 3.0 1,971,077 2,111,209 49.74 % 107.11 3.00 % 3.50 % 5 354 6.94 % 8.09 % 32,952 (47,461 )

30yr 3.5 590,509 647,413 15.25 % 109.64 3.50 % 4.00 % 17 338 21.10 % 22.63 % 6,623 (11,345 )

30yr 4.0 178,573 200,433 4.72 % 112.24 4.00 % 4.51 % 31 322 20.27 % 19.98 % 3,279 (3,861 )

30yr 4.5 84,955 95,643 2.25 % 112.58 4.50 % 5.00 % 23 333 34.25 % 32.75 % 574 (1,040 )

30yr Total 3,508,030 3,765,283 88.71 % 107.33 3.07 % 3.66 % 9 349 10.85 % 12.90 % 52,259 (79,217 )

Total Pass Through 3,891,641 4,165,587 98.14 % 107.04 3.00 % 3.59 % 8 334 10.18 % 11.49 % 57,934 (86,740 )RMBS

Structured RMBS

Interest-Only 496,943 74,334 1.75 % 14.97 3.61 % 4.19 % 60 288 29.31 % 39.71 % (7,132 ) 6,392 Securities

Inverse Interest-Only 62,791 4,619 0.11 % 7.36 3.79 % 4.40 % 44 310 55.23 % 42.17 % (475 ) (81 )Securities

Total Structured RMBS 559,734 78,953 1.86 % 14.11 3.63 % 4.21 % 58 291 32.77 % 40.26 % (7,607 ) 6,311



Total Mortgage Assets $ 4,451,375 $ 4,244,540 100.00 % 3.08 % 3.67 % 15 328 12.62 % 14.15 % $ 50,327 $ (80,429 )



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

$

(188

)

$

188

Swaps

(1,355,000

)

Dec-2026

(39,176

)

39,176

5-Year Treasury Future

(269,000

)

Jun-2021(3)

(9,888

)

7,355

10-Year Treasury Ultra

(23,500

)

Jun-2021(4)

(2,449

)

2,098

TBA

(548,000

)

May-2021

(4,356

)

8,776

Swaptions

(244,350

)

Jun-2022

(6,754

)

6,217

Yield Curve Spread Floor

(150,000

)

Feb-2023

n/a

n/a

Hedge Total

$

(2,639,850

)

$

(62,811

)

$

63,810

Rate Shock Grand Total

$

(12,484

)

$

(16,619

)

Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

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

Eurodollar Futures $ (50,000 ) Dec-2021 $ (188 ) $ 188

Swaps (1,355,000 ) Dec-2026 (39,176 ) 39,176

5-Year Treasury (269,000 ) Jun-2021^ (9,888 ) 7,355 Future (3)

10-Year Treasury (23,500 ) Jun-2021^ (2,449 ) 2,098 Ultra (4)

TBA (548,000 ) May-2021 (4,356 ) 8,776

Swaptions (244,350 ) Jun-2022 (6,754 ) 6,217

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

Hedge Total $ (2,639,850 ) $ (62,811 ) $ 63,810

Rate Shock Grand $ (12,484 ) $ (16,619 )Total

(1)

Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 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 $123.94 at April 30, 2021. The market value of the short position was $333.4 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at April 30, 2021. The market value of the short position was $34.2 million.

Amounts in the tables above include assets with a fair value of(1) approximately $15.8 million purchased in April 2021, which settle in May 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.

(3) Five-year Treasury futures contracts were valued at prices of $123.94 at April 30, 2021. The market value of the short position was $333.4 million.

Ten-year Treasury Ultra futures contracts were valued at prices of $145.55(4) at April 30, 2021. The market value of the short position was $34.2 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)

Portfolio

Asset Category

Value(1)

Portfolio

As of April 30, 2021

As of April 30, 2021

Fannie Mae

$

3,340,240

78.7

%

Non-Whole Pool Assets

$

322,417

7.6

%

Freddie Mac

904,300

21.3

%

Whole Pool Assets

3,922,123

92.4

%

Total Mortgage Assets

$

4,244,540

100.0

%

Total Mortgage Assets

$

4,244,540

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 Value^(1) Portfolio Category

As of April As of30, 2021 April 30, 2021

Non-WholeFannie Mae $ 3,340,240 78.7 % Pool $ 322,417 7.6 % Assets

Freddie Mac 904,300 21.3 % Whole Pool 3,922,123 92.4 % Assets

Total Mortgage TotalAssets $ 4,244,540 100.0 % Mortgage $ 4,244,540 100.0 % Assets

(1)

Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 2021.

Amounts in the tables above include assets with a fair value of(1) approximately $15.8 million purchased in April 2021, which settle in May 2021.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of April 30, 2021

Borrowings(1)

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

379,037

9.4

%

0.12

%

54

7/12/2021

Mirae Asset Securities (USA) Inc.

370,908

9.1

%

0.17

%

59

8/5/2021

ASL Capital Markets Inc.

345,921

8.5

%

0.13

%

50

7/16/2021

J.P. Morgan Securities LLC

345,447

8.5

%

0.18

%

122

9/7/2021

Mitsubishi UFJ Securities (USA), Inc

329,683

8.1

%

0.17

%

49

7/12/2021

RBC Capital Markets, LLC

277,217

6.8

%

0.16

%

32

7/19/2021

ABN AMRO Bank N.V.

224,818

5.5

%

0.15

%

61

7/12/2021

Cantor Fitzgerald & Co

216,315

5.3

%

0.15

%

33

7/8/2021

Citigroup Global Markets Inc

206,872

5.1

%

0.18

%

12

5/12/2021

Nomura Securities International, Inc.

205,089

5.0

%

0.12

%

28

6/18/2021

ED&F Man Capital Markets Inc

204,081

5.0

%

0.15

%

85

8/19/2021

Barclays Capital Inc

152,630

3.8

%

0.17

%

12

5/12/2021

ING Financial Markets LLC

145,001

3.6

%

0.13

%

69

7/8/2021

Merrill Lynch, Pierce, Fenner & Smith Inc.

141,877

3.5

%

0.15

%

73

7/14/2021

South Street Securities, LLC

103,724

2.5

%

0.23

%

79

10/8/2021

Goldman, Sachs & Co. LLC

100,655

2.5

%

0.17

%

31

7/12/2021

Daiwa Capital Markets America Inc.

98,119

2.4

%

0.16

%

11

5/12/2021

BMO Capital Markets Corp.

89,396

2.2

%

0.13

%

75

7/14/2021

Lucid Cash Fund USG LLC

49,242

1.2

%

0.17

%

13

5/13/2021

Austin Atlantic Asset Management Co.

49,157

1.2

%

0.19

%

6

5/6/2021

J.V.B. Financial Group, LLC

32,945

0.8

%

0.11

%

85

7/26/2021

Total Borrowings

$

4,068,134

100.0

%

0.15

%

54

10/8/2021

Borrowings By Counterparty

($ in thousands)

Weighted Weighted

% of Average Average

Total Total Repo Maturity Longest

As of April 30, 2021 Borrowings^ Debt Rate in Days Maturity (1)

Wells Fargo Bank, N.A. $ 379,037 9.4 % 0.12 % 54 7/12/ 2021

Mirae Asset Securities 370,908 9.1 % 0.17 % 59 8/5/2021(USA) Inc.

ASL Capital Markets 345,921 8.5 % 0.13 % 50 7/16/Inc. 2021

J.P. Morgan Securities 345,447 8.5 % 0.18 % 122 9/7/2021LLC

Mitsubishi UFJ 329,683 8.1 % 0.17 % 49 7/12/Securities (USA), Inc 2021

RBC Capital Markets, 277,217 6.8 % 0.16 % 32 7/19/LLC 2021

ABN AMRO Bank N.V. 224,818 5.5 % 0.15 % 61 7/12/ 2021

Cantor Fitzgerald & Co 216,315 5.3 % 0.15 % 33 7/8/2021

Citigroup Global 206,872 5.1 % 0.18 % 12 5/12/Markets Inc 2021

Nomura Securities 205,089 5.0 % 0.12 % 28 6/18/International, Inc. 2021

ED&F Man Capital 204,081 5.0 % 0.15 % 85 8/19/Markets Inc 2021

Barclays Capital Inc 152,630 3.8 % 0.17 % 12 5/12/ 2021

ING Financial Markets 145,001 3.6 % 0.13 % 69 7/8/2021LLC

Merrill Lynch, Pierce, 141,877 3.5 % 0.15 % 73 7/14/Fenner & Smith Inc. 2021

South Street 103,724 2.5 % 0.23 % 79 10/8/Securities, LLC 2021

Goldman, Sachs & Co. 100,655 2.5 % 0.17 % 31 7/12/LLC 2021

Daiwa Capital Markets 98,119 2.4 % 0.16 % 11 5/12/America Inc. 2021

BMO Capital Markets 89,396 2.2 % 0.13 % 75 7/14/Corp. 2021

Lucid Cash Fund USG LLC 49,242 1.2 % 0.17 % 13 5/13/ 2021

Austin Atlantic Asset 49,157 1.2 % 0.19 % 6 5/6/2021Management Co.

J.V.B. Financial Group, 32,945 0.8 % 0.11 % 85 7/26/LLC 2021

Total Borrowings $ 4,068,134 100.0 % 0.15 % 54 10/8/ 2021

(1)

In April 2021, the Company purchased assets with a fair value of approximately $15.8 million, which settle in May 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

View source version on businesswire.com: https://www.businesswire.com/news/home/20210512006043/en/

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