Business Wire | Aug 18, 2021 05:00PM EDT

Orchid Island Capital Announces August 2021 Monthly Dividend and July 31, 2021 RMBS Portfolio Characteristics

Aug. 18, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Aug. 18, 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 August 2021. The dividend of $0.065 per share will be paid September 28, 2021, to holders of record of the Company's common stock on August 31, 2021, with an ex-dividend date of August 30, 2021. The Company plans on announcing its next common stock dividend on September 16, 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 August 18, 2021, the Company had 123,860,013 shares of common stock outstanding. As of July 31, 2021, the Company had 123,060,013 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 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 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

Jul 2021 May - Jul 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 Aug) in Aug) (-50 BPS)^ (+50 BPS)^ (2) (2)

Pass Through RMBS

15yr 2.5 $ 228,551 $ 242,466 4.82 % $ 106.09 2.50 % 2.87 % 7 168 8.7 % 6.6 % $ 3,281 $ (4,050 )

15yr 4.0 587 630 0.01 % 107.42 4.00 % 4.50 % 39 118 9.1 % 8.7 % 6 (7 )

15yr Total 229,138 243,096 4.83 % 106.09 2.50 % 2.88 % 8 168 8.7 % 6.6 % 3,287 (4,057 )

20yr 2.0 144,854 149,148 2.96 % 102.96 2.00 % 2.87 % 7 233 8.4 % 6.5 % 1,134 (2,235 )

20yr Total 144,854 149,148 2.96 % 102.96 2.00 % 2.87 % 7 233 8.4 % 6.5 % 1,134 (2,235 )

30yr 2.5 909,495 950,505 18.88 % 104.51 2.50 % 3.41 % 6 351 19.3 % 14.7 % 6,906 (14,996 )

30yr 3.0 2,882,330 3,108,869 61.76 % 107.86 3.00 % 3.50 % 6 352 6.9 % 8.0 % 32,847 (56,164 )

30yr 3.5 332,791 366,663 7.28 % 110.18 3.50 % 4.02 % 18 336 17.7 % 18.6 % 4,198 (5,820 )

30yr 4.0 47,827 53,202 1.06 % 111.24 4.00 % 4.63 % 62 293 27.3 % 23.2 % 843 (938 )

30yr 4.5 51,122 57,500 1.14 % 112.48 4.50 % 4.97 % 25 329 23.1 % 26.6 % 460 (660 )

30yr Total 4,223,565 4,536,739 90.12 % 107.41 2.96 % 3.55 % 8 350 10.3 % 11.0 % 45,254 (78,578 )

Total Pass Through 4,597,557 4,928,983 97.91 % 107.21 2.91 % 3.50 % 8 337 10.2 % 10.5 % 49,675 (84,870 )RMBS

Structured RMBS

IO 20yr 3.0 65,486 5,658 0.11 % 8.64 3.00 % 3.64 % 55 180 33.1 % n/a (785 ) 717

IO 20yr 4.0 15,393 1,947 0.04 % 12.65 4.00 % 4.58 % 115 117 17.6 % 19.1 % (48 ) 37

IO 30yr 3.0 102,171 13,595 0.27 % 13.31 3.00 % 3.66 % 47 305 17.8 % 18.9 % (1,813 ) 1,483

IO 30yr 3.5 349,645 54,187 1.08 % 15.50 3.50 % 4.01 % 45 306 19.9 % 20.4 % (5,841 ) 4,773

IO 30yr 4.0 212,841 25,004 0.50 % 11.75 4.00 % 4.57 % 65 288 36.9 % 35.3 % (2,325 ) 2,688

IO 30yr 4.5 5,481 839 0.02 % 15.31 4.50 % 4.99 % 133 214 27.4 % 27.9 % (87 ) 87

IO 30yr 5.0 3,285 522 0.01 % 15.90 5.00 % 5.37 % 133 214 50.9 % 37.4 % (40 ) 45

IO Total 754,302 101,752 2.02 % 13.49 3.55 % 4.11 % 54 285 25.7 % 22.7 % (10,939 ) 9,830

IIO 30yr 4.0 54,145 3,240 0.06 % 5.98 3.76 % 4.40 % 47 306 12.8 % 16.3 % (529 ) 140

Total Structured 808,447 104,992 2.09 % 12.99 3.57 % 4.13 % 53 286 24.8 % 22.3 % (11,468 ) 9,970 RMBS



Total Mortgage $ 5,406,004 $ 5,033,975 100.00 % 3.01 % 3.59 % 15 330 12.4 % 12.3 % $ 38,207 $ (74,900 )Assets



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 $ (125 ) $ 125

Swaps (1,355,000 ) Dec-2026 (37,260 ) 37,260

5-Year Treasury (269,000 ) Sep-2021 (7,458 ) 9,778 Future^(3)

10-Year Treasury (23,500 ) Sep-2021 (2,257 ) 2,513 Ultra^(4)

TBA (400,000 ) Aug-2021 (7,602 ) 12,413

Swaptions (244,350 ) May-2022 (6,190 ) 7,573

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

Hedge Total $ (2,491,850 ) $ (60,892 ) $ 69,662

Rate Shock Grand $ (22,685 ) $ (5,238 )Total

(1)

Amounts in the tables above include assets with a fair value of approximately $260.4 million purchased in July 2021, which settle in August 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 $124.45 at July 31, 2021. The market value of the short position was $334.8 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $150.25 at July 31, 2021. The market value of the short position was $35.3 million.

Amounts in the tables above include assets with a fair value of(1) approximately $260.4 million purchased in July 2021, which settle in August 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 $124.45 at July 31, 2021. The market value of the short position was $334.8 million.

(4) Ten-year Treasury Ultra futures contracts were valued at prices of $150.25 at July 31, 2021. The market value of the short position was $35.3 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 July 31, 2021

As of July 31, 2021

Fannie Mae

$

4,175,983

83.0

%

Non-Whole Pool Assets

$

335,968

6.7

%

Freddie Mac

857,992

17.0

%

Whole Pool Assets

4,698,007

93.3

%

Total Mortgage Assets

$

5,033,975

100.0

%

Total Mortgage Assets

$

5,033,975

100.0

%





RMBS Investment Company Act of 1940 WholeAssets by Pool TestAgency

($ in ($ in thousands) thousands)

Percentage Percentage

Fair of Fair of

Asset Value^(1) Portfolio Asset Value^(1) PortfolioCategory Category

As of July As of July 31, 2021 31, 2021

Non-WholeFannie Mae $ 4,175,983 83.0 % Pool $ 335,968 6.7 % Assets

Freddie 857,992 17.0 % Whole Pool 4,698,007 93.3 %Mac Assets

Total TotalMortgage $ 5,033,975 100.0 % Mortgage $ 5,033,975 100.0 %Assets Assets

(1)

Amounts in the tables above include assets with a fair value of approximately $260.4 million purchased in July 2021, which settle in August 2021.

Amounts in the tables above include assets with a fair value of(1) approximately $260.4 million purchased in July 2021, which settle in August 2021.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of July 31, 2021

Borrowings(1)

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

384,095

8.4

%

0.13

%

38

10/26/2021

Wells Fargo Bank, N.A.

358,877

7.9

%

0.11

%

37

10/12/2021

J.P. Morgan Securities LLC

342,321

7.5

%

0.17

%

35

9/7/2021

ASL Capital Markets Inc.

336,552

7.4

%

0.12

%

31

10/15/2021

ABN AMRO Bank N.V.

322,087

7.1

%

0.11

%

32

10/14/2021

RBC Capital Markets, LLC

312,055

6.8

%

0.11

%

30

10/14/2021

Mitsubishi UFJ Securities (USA), Inc.

293,635

6.4

%

0.23

%

48

10/12/2021

Cantor Fitzgerald & Co.

273,321

6.0

%

0.11

%

29

10/25/2021

ING Financial Markets LLC

203,629

4.5

%

0.11

%

36

9/10/2021

Nomura Securities International, Inc.

198,532

4.4

%

0.12

%

34

10/12/2021

ED&F Man Capital Markets Inc.

198,138

4.3

%

0.14

%

60

10/26/2021

Citigroup Global Markets Inc.

187,545

4.1

%

0.12

%

11

8/11/2021

Santander Bank, N.A.

157,774

3.5

%

0.13

%

61

10/14/2021

Goldman Sachs & Co. LLC

150,079

3.3

%

0.13

%

72

10/29/2021

Barclays Capital Inc.

148,532

3.3

%

0.12

%

12

8/12/2021

BMO Capital Markets Corp.

138,923

3.0

%

0.11

%

59

10/12/2021

Merrill Lynch, Pierce, Fenner & Smith

133,886

2.9

%

0.14

%

73

10/14/2021

Daiwa Capital Markets America, Inc.

121,652

2.7

%

0.12

%

11

8/13/2021

Austin Atlantic Asset Management Co.

101,540

2.2

%

0.14

%

5

8/5/2021

South Street Securities, LLC

98,634

2.2

%

0.14

%

35

10/8/2021

Lucid Cash Fund USG, LLC

51,473

1.1

%

0.12

%

12

8/12/2021

J.V.B. Financial Group, LLC

31,605

0.7

%

0.12

%

84

10/25/2021

Lucid Prime Fund, LLC

12,952

0.3

%

0.23

%

12

8/12/2021

Total Borrowings

$

4,557,838

100.0

%

0.13

%

37

10/29/2021





Borrowings By Counterparty

($ in thousands)

Weighted Weighted

% of Average Average

Total Total Repo Maturity Longest

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

Mirae Asset $ 384,095 8.4 % 0.13 % 38 10/26/Securities (USA) Inc. 2021

Wells Fargo Bank, 358,877 7.9 % 0.11 % 37 10/12/N.A. 2021

J.P. Morgan 342,321 7.5 % 0.17 % 35 9/7/2021Securities LLC

ASL Capital Markets 336,552 7.4 % 0.12 % 31 10/15/Inc. 2021

ABN AMRO Bank N.V. 322,087 7.1 % 0.11 % 32 10/14/ 2021

RBC Capital Markets, 312,055 6.8 % 0.11 % 30 10/14/LLC 2021

Mitsubishi UFJ 10/12/Securities (USA), 293,635 6.4 % 0.23 % 48 2021Inc.

Cantor Fitzgerald & 273,321 6.0 % 0.11 % 29 10/25/Co. 2021

ING Financial Markets 203,629 4.5 % 0.11 % 36 9/10/LLC 2021

Nomura Securities 198,532 4.4 % 0.12 % 34 10/12/International, Inc. 2021

ED&F Man Capital 198,138 4.3 % 0.14 % 60 10/26/Markets Inc. 2021

Citigroup Global 187,545 4.1 % 0.12 % 11 8/11/Markets Inc. 2021

Santander Bank, N.A. 157,774 3.5 % 0.13 % 61 10/14/ 2021

Goldman Sachs & Co. 150,079 3.3 % 0.13 % 72 10/29/LLC 2021

Barclays Capital Inc. 148,532 3.3 % 0.12 % 12 8/12/ 2021

BMO Capital Markets 138,923 3.0 % 0.11 % 59 10/12/Corp. 2021

Merrill Lynch, 10/14/Pierce, Fenner & 133,886 2.9 % 0.14 % 73 2021Smith

Daiwa Capital Markets 121,652 2.7 % 0.12 % 11 8/13/America, Inc. 2021

Austin Atlantic Asset 101,540 2.2 % 0.14 % 5 8/5/2021Management Co.

South Street 98,634 2.2 % 0.14 % 35 10/8/Securities, LLC 2021

Lucid Cash Fund USG, 51,473 1.1 % 0.12 % 12 8/12/LLC 2021

J.V.B. Financial 31,605 0.7 % 0.12 % 84 10/25/Group, LLC 2021

Lucid Prime Fund, LLC 12,952 0.3 % 0.23 % 12 8/12/ 2021

Total Borrowings $ 4,557,838 100.0 % 0.13 % 37 10/29/ 2021

(1)

In July 2021, the Company purchased assets with a fair value of approximately $260.4 million, which settle in August 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/20210818005797/en/

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