Business Wire | Jun 15, 2021 04:15PM EDT

Orchid Island Capital Announces June 2021 Monthly Dividend and May 31, 2021 RMBS Portfolio Characteristics

Jun. 15, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Jun. 15, 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 June 2021. The dividend of $0.065 per share will be paid July 28, 2021, to holders of record of the Company's common stock on June 30, 2021, with an ex-dividend date of June 29, 2021. The Company plans on announcing its next common stock dividend on July 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 June 15, 2021, the Company had 107,413,793 shares of common stock outstanding. As of May 31, 2021, the Company had 101,340,113 shares of common stock outstanding. As of March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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. 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

May 2021 Mar - May 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 Jun) in Jun) (-50 BPS)^ (+50 BPS)^ (1) (1)

Pass Through RMBS

15yr 2.5 $ 232,960 $ 246,395 5.72 % $ 105.77 2.50 % 2.87 % 5 171 2.97 % 3.37 % $ 4,019 $ (4,735 )

15yr 4.0 603 655 0.02 % 108.59 4.00 % 4.50 % 37 119 8.06 % 8.17 % 7 (8 )

15yr Total 233,563 247,050 5.73 % 105.77 2.50 % 2.88 % 6 171 2.98 % 3.39 % 4,026 (4,743 )

20yr 2.0 147,148 150,167 3.48 % 102.05 2.00 % 2.87 % 5 235 3.55 % 3.15 % 2,439 (3,396 )

20yr Total 147,148 150,167 3.48 % 102.05 2.00 % 2.87 % 5 235 3.55 % 3.15 % 2,439 (3,396 )

30yr 2.5 677,061 703,866 16.33 % 103.96 2.50 % 3.46 % 7 350 10.58 % 8.89 % 12,401 (18,114 )

30yr 3.0 2,182,017 2,332,316 54.12 % 106.89 3.00 % 3.50 % 5 353 6.30 % 6.75 % 46,400 (60,708 )

30yr 3.5 577,397 628,169 14.57 % 108.79 3.50 % 4.00 % 18 336 16.89 % 21.74 % 10,550 (14,259 )

30yr 4.0 50,022 55,108 1.28 % 110.17 4.00 % 4.63 % 60 294 18.78 % 27.75 % 1,098 (1,201 )

30yr 4.5 81,625 90,816 2.11 % 111.26 4.50 % 5.00 % 24 332 26.63 % 31.17 % 1,181 (1,551 )

30yr Total 3,568,122 3,810,275 88.41 % 106.79 3.03 % 3.63 % 9 348 9.47 % 11.19 % 71,630 (95,833 )

Total Pass 3,948,833 4,207,492 97.62 % 106.55 2.96 % 3.55 % 9 334 8.86 % 10.27 % 78,095 (103,972 )Through RMBS

Structured RMBS

Interest-Only 628,945 98,447 2.28 % 15.65 3.63 % 4.19 % 57 291 24.24 % 40.44 % (6,964 ) 5,768 Securities

InverseInterest-Only 57,112 3,975 0.09 % 6.96 3.79 % 4.40 % 45 308 15.28 % 39.07 % (221 ) (187 )Securities

TotalStructured 686,057 102,422 2.38 % 14.93 3.64 % 4.21 % 56 292 23.49 % 40.14 % (7,185 ) 5,581 RMBS



TotalMortgage $ 4,634,890 $ 4,309,914 100.00 % 3.06 % 3.65 % 16 328 11.03 % 12.50 % $ 70,910 $ (98,391 )Assets



Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

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

Eurodollar $ (50,000 ) Dec-2021 $ (125 ) $ 125 Futures

Swaps (1,355,000 ) Dec-2026 (38,961 ) 38,961

5-Year Sep-2021^Treasury (269,000 ) (2) (8,599 ) 8,532 Future

10-Year Sep-2021^Treasury (23,500 ) (3) (2,509 ) 1,987 Ultra

TBA (400,000 ) Jun-2021 (5,619 ) 8,688

Swaptions (244,350 ) May-2022 (7,188 ) 6,301

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

Hedge Total $ (2,491,850 ) $ (63,001 ) $ 64,594

Rate Shock $ 7,909 $ (33,797 )Grand Total

(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 $123.94 at May 31, 2021. The market value of the short position was $333.4 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at May 31, 2021. The market value of the short position was $34.2 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.

(2) Five-year Treasury futures contracts were valued at prices of $123.94 at May 31, 2021. The market value of the short position was $333.4 million.

(3) Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at May 31, 2021. The market value of the short position was $34.2 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 May 31, 2021

As of May 31, 2021

Fannie Mae

$

3,396,877

78.8

%

Non-Whole Pool Assets

$

342,197

7.9

%

Freddie Mac

913,037

21.2

%

Whole Pool Assets

3,967,717

92.1

%

Total Mortgage Assets

$

4,309,914

100.0

%

Total Mortgage Assets

$

4,309,914

100.0

%

RMBS Assets by Investment Company Act of 1940 WholeAgency Pool Test

($ in thousands) ($ in thousands)

Percentage Percentage

Fair of Fair of

Asset Category Value Portfolio Asset Category Value Portfolio

As of May 31, As of May 31, 2021 2021

Fannie Mae $ 3,396,877 78.8 % Non-Whole Pool $ 342,197 7.9 % Assets

Freddie Mac 913,037 21.2 % Whole Pool 3,967,717 92.1 % Assets

Total Mortgage $ 4,309,914 100.0 % Total Mortgage $ 4,309,914 100.0 %Assets Assets

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of May 31, 2021

Borrowings

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

379,933

9.2

%

0.11

%

34

7/12/2021

Mirae Asset Securities (USA) Inc.

368,505

8.9

%

0.14

%

61

8/13/2021

Mitsubishi UFJ Securities (USA), Inc.

353,215

8.5

%

0.18

%

44

7/26/2021

J.P. Morgan Securities LLC

345,507

8.4

%

0.18

%

91

9/7/2021

ASL Capital Markets Inc.

342,467

8.3

%

0.11

%

49

8/26/2021

RBC Capital Markets, LLC

295,929

7.2

%

0.11

%

63

8/12/2021

Cantor Fitzgerald & Co.

225,653

5.5

%

0.12

%

62

8/19/2021

ABN AMRO Bank N.V.

224,818

5.4

%

0.15

%

30

7/12/2021

ED&F Man Capital Markets Inc.

204,081

4.9

%

0.15

%

54

8/19/2021

Nomura Securities International, Inc.

201,930

4.9

%

0.11

%

41

7/23/2021

Citigroup Global Markets Inc.

197,170

4.8

%

0.12

%

42

7/12/2021

ING Financial Markets LLC

175,835

4.3

%

0.12

%

44

8/11/2021

Barclays Capital Inc.

150,511

3.6

%

0.12

%

42

7/12/2021

Merrill Lynch, Pierce, Fenner & Smith

141,669

3.4

%

0.15

%

43

7/14/2021

South Street Securities, LLC

98,634

2.4

%

0.14

%

96

10/8/2021

Goldman, Sachs & Co. LLC

96,703

2.3

%

0.10

%

47

7/19/2021

Daiwa Capital Markets America Inc.

96,139

2.3

%

0.12

%

68

8/12/2021

BMO Capital Markets Corp.

89,396

2.2

%

0.13

%

44

7/14/2021

Lucid Cash Fund USG LLC

62,469

1.5

%

0.14

%

10

6/10/2021

Austin Atlantic Asset Management Co.

48,931

1.2

%

0.16

%

3

6/3/2021

J.V.B. Financial Group, LLC

32,945

0.8

%

0.11

%

54

7/26/2021

Total Borrowings

$

4,132,440

100.0

%

0.13

%

52

10/8/2021

View source version on businesswire.com: https://www.businesswire.com/news/home/20210615006153/en/

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