Business Wire | Sep 16, 2021 04:01PM EDT

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

Sep. 16, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Sep. 16, 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 September 2021. The dividend of $0.065 per share will be paid October 27, 2021, to holders of record of the Company's common stock on September 30, 2021, with an ex-dividend date of September 29, 2021. The Company plans on announcing its next common stock dividend on October 12, 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 September 16, 2021, the Company had 138,055,140 shares of common stock outstanding. As of August 31, 2021, the Company had 129,280,140 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 August 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

Aug 2021 Jun - Aug 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 Sep) in Sep) (-50 BPS)^ (+50 BPS)^ (2) (2)

PassThrough RMBS

15yr 2.5 $ 225,732 $ 238,943 4.55 % $ 105.85 2.50 % 2.87 % 8 167 5.8 % 7.5 % $ 3,342 $ (4,109 )

15yr 4.0 578 621 0.01 % 107.38 4.00 % 4.51 % 40 117 9.7 % 9.2 % 6 (7 )

15yr Total 226,310 239,564 4.56 % 105.86 2.50 % 2.88 % 9 167 5.8 % 7.5 % 3,348 (4,116 )

20yr 2.0 150,000 154,236 2.94 % 102.82 2.00 % 2.86 % - 239 n/a n/a 2,295 (3,197 )

20yr Total 150,000 154,236 2.94 % 102.82 2.00 % 2.86 % - 239 n/a n/a 2,295 (3,197 )

30yr 2.5 628,233 654,656 12.46 % 104.21 2.50 % 3.40 % 7 350 12.1 % 14.9 % 6,577 (12,877 )

30yr 3.0 3,360,545 3,618,576 68.88 % 107.68 3.00 % 3.48 % 6 352 7.5 % 7.7 % 46,504 (74,854 )

30yr 3.5 326,189 359,127 6.84 % 110.10 3.50 % 4.01 % 19 334 19.8 % 19.6 % 4,351 (6,198 )

30yr 4.0 46,457 51,781 0.99 % 111.46 4.00 % 4.63 % 62 292 23.7 % 24.6 % 841 (938 )

30yr 4.5 49,944 56,292 1.07 % 112.71 4.50 % 4.97 % 26 328 18.3 % 23.7 % 448 (720 )

30yr Total 4,411,368 4,740,432 90.24 % 107.46 2.99 % 3.54 % 8 350 9.4 % 10.2 % 58,721 (95,587 )

Total PassThrough 4,787,678 5,134,232 97.73 % 107.24 2.94 % 3.49 % 8 338 9.2 % 10.0 % 64,364 (102,900 )RMBS

Structured RMBS

IO 20yr 190,169 17,486 0.33 % 9.20 3.00 % 3.68 % 58 177 33.5 % n/a (2,341 ) 1,732 3.0

IO 20yr 15,043 1,881 0.04 % 12.50 4.00 % 4.58 % 116 117 19.7 % 20.4 % (47 ) 31 4.0

IO 30yr 100,294 13,598 0.26 % 13.56 3.00 % 3.66 % 48 304 17.5 % 18.9 % (1,738 ) 1,323 3.0

IO 30yr 342,576 56,272 1.07 % 16.43 3.50 % 4.01 % 46 305 17.6 % 20.5 % (5,907 ) 4,469 3.5

IO 30yr 203,357 25,530 0.49 % 12.55 4.00 % 4.56 % 65 287 31.4 % 34.9 % (2,487 ) 2,547 4.0

IO 30yr 5,313 846 0.02 % 15.92 4.50 % 4.99 % 134 213 27.0 % 26.3 % (92 ) 81 4.5

IO 30yr 3,087 506 0.01 % 16.39 5.00 % 5.37 % 134 214 46.1 % 38.8 % (41 ) 41 5.0

IO Total 859,839 116,119 2.21 % 13.50 3.47 % 4.05 % 55 268 24.6 % 25.4 % (12,653 ) 10,224

IIO 30yr 53,077 3,043 0.06 % 5.73 3.75 % 4.40 % 48 304 41.0 % 25.8 % (459 ) 31 4.0

TotalStructured 912,916 119,162 2.27 % 13.05 3.49 % 4.07 % 55 270 25.6 % 25.5 % (13,112 ) 10,255 RMBS



TotalMortgage $ 5,700,594 $ 5,253,394 100.00 % 3.03 % 3.58 % 15 327 12.0 % 12.4 % $ 51,252 $ (92,645 )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 $ (125 ) $ 125 Futures

Swaps (1,355,000 ) Dec-2026 (37,214 ) 37,214

5-YearTreasury (269,000 ) Dec-2021 (8,500 ) 8,490 Future^(3)

10-YearTreasury (23,500 ) Dec-2021 (2,415 ) 2,136 Ultra^(4)

Swaptions (244,350 ) May-2022 (7,190 ) 9,047

YieldCurve (150,000 ) Feb-2023 n/a n/a SpreadFloor

Hedge $ (2,091,850 ) $ (55,444 ) $ 57,012 Total

Rate ShockGrand $ (4,192 ) $ (35,633 )Total

(1)

Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 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 $123.72 at August 31, 2021. The market value of the short position was $332.8 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $148.02 at August 31, 2021. The market value of the short position was $34.8 million.

Amounts in the tables above include assets with a fair value of(1) approximately $317.3 million purchased in August 2021, which settle in September 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 $123.72 at(3) August 31, 2021. The market value of the short position was $332.8 million.

Ten-year Treasury Ultra futures contracts were valued at prices of $148.02(4) at August 31, 2021. The market value of the short position was $34.8 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 August 31, 2021

As of August 31, 2021

Fannie Mae

$

4,202,486

80.0

%

Non-Whole Pool Assets

$

359,155

6.8

%

Freddie Mac

1,050,908

20.0

%

Whole Pool Assets

4,894,239

93.2

%

Total Mortgage Assets

$

5,253,394

100.0

%

Total Mortgage Assets

$

5,253,394

100.0

%

(1) Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.

RMBS Assets by Investment Company Act of 1940 WholeAgency Pool Test

($ in thousands) ($ in thousands)

Percentage Percentage

Fair of Fair of

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

As of August 31, As of August 31, 2021 2021

Fannie Mae $ 4,202,486 80.0 % Non-Whole Pool $ 359,155 6.8 % Assets

Freddie Mac 1,050,908 20.0 % Whole Pool 4,894,239 93.2 % Assets

Total Mortgage $ 5,253,394 100.0 % Total Mortgage $ 5,253,394 100.0 %Assets Assets

(1) Amounts in the tables above include assets with a fair value ofapproximately $317.3 million purchased in August 2021, which settle inSeptember 2021.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of August 31, 2021

Borrowings(1)

Debt

Rate

in Days

Maturity

ABN AMRO Bank N.V.

$

421,280

9.1

%

0.12

%

60

11/12/2021

Mirae Asset Securities (USA) Inc.

369,891

7.8

%

0.12

%

60

11/15/2021

Wells Fargo Bank, N.A.

356,357

7.6

%

0.12

%

36

10/22/2021

J.P. Morgan Securities LLC

342,010

7.3

%

0.17

%

18

11/22/2021

ASL Capital Markets Inc.

321,928

6.8

%

0.12

%

44

10/19/2021

RBC Capital Markets, LLC

296,331

6.3

%

0.12

%

64

11/10/2021

Cantor Fitzgerald & Co.

271,407

5.8

%

0.12

%

32

10/25/2021

Goldman Sachs & Co.

254,010

5.4

%

0.13

%

59

11/30/2021

Mitsubishi UFJ Securities (USA), Inc.

216,404

4.6

%

0.27

%

36

10/12/2021

ING Financial Markets LLC

203,609

4.3

%

0.12

%

15

10/12/2021

ED&F Man Capital Markets Inc.

199,989

4.2

%

0.12

%

51

11/19/2021

Nomura Securities International, Inc.

199,411

4.2

%

0.11

%

71

11/22/2021

Citigroup Global Markets Inc.

186,516

4.0

%

0.12

%

42

10/12/2021

Santander Bank, N.A.

157,774

3.3

%

0.13

%

30

10/14/2021

Barclays Capital Inc.

146,858

3.1

%

0.12

%

13

9/13/2021

BMO Capital Markets Corp.

138,151

2.9

%

0.11

%

39

10/22/2021

Merrill Lynch, Pierce, Fenner & Smith

133,749

2.8

%

0.14

%

43

10/14/2021

South Street Securities, LLC

124,623

2.6

%

0.14

%

57

11/23/2021

Daiwa Securities America Inc.

118,737

2.5

%

0.11

%

12

9/13/2021

Austin Atlantic Asset Management Co.

100,586

2.1

%

0.14

%

2

9/2/2021

Lucid Prime Fund, LLC

70,247

1.5

%

0.19

%

9

9/9/2021

Lucid Cash Fund USG, LLC

51,238

1.1

%

0.12

%

9

9/9/2021

J.V.B. Financial Group, LLC

32,897

0.7

%

0.12

%

53

10/25/2021

Total Borrowings

$

4,714,003

100.0

%

0.13

%

42

11/30/2021

Borrowings By Counterparty

($ in thousands)

Weighted Weighted

% of Average Average

Total Total Repo Maturity Longest

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

ABN AMRO Bank N.V. $ 421,280 9.1 % 0.12 % 60 11/12/ 2021

Mirae Asset Securities (USA) 369,891 7.8 % 0.12 % 60 11/15/Inc. 2021

Wells Fargo Bank, N.A. 356,357 7.6 % 0.12 % 36 10/22/ 2021

J.P. Morgan Securities LLC 342,010 7.3 % 0.17 % 18 11/22/ 2021

ASL Capital Markets Inc. 321,928 6.8 % 0.12 % 44 10/19/ 2021

RBC Capital Markets, LLC 296,331 6.3 % 0.12 % 64 11/10/ 2021

Cantor Fitzgerald & Co. 271,407 5.8 % 0.12 % 32 10/25/ 2021

Goldman Sachs & Co. 254,010 5.4 % 0.13 % 59 11/30/ 2021

Mitsubishi UFJ Securities 216,404 4.6 % 0.27 % 36 10/12/(USA), Inc. 2021

ING Financial Markets LLC 203,609 4.3 % 0.12 % 15 10/12/ 2021

ED&F Man Capital Markets Inc. 199,989 4.2 % 0.12 % 51 11/19/ 2021

Nomura Securities 199,411 4.2 % 0.11 % 71 11/22/International, Inc. 2021

Citigroup Global Markets Inc. 186,516 4.0 % 0.12 % 42 10/12/ 2021

Santander Bank, N.A. 157,774 3.3 % 0.13 % 30 10/14/ 2021

Barclays Capital Inc. 146,858 3.1 % 0.12 % 13 9/13/ 2021

BMO Capital Markets Corp. 138,151 2.9 % 0.11 % 39 10/22/ 2021

Merrill Lynch, Pierce, Fenner & 133,749 2.8 % 0.14 % 43 10/14/Smith 2021

South Street Securities, LLC 124,623 2.6 % 0.14 % 57 11/23/ 2021

Daiwa Securities America Inc. 118,737 2.5 % 0.11 % 12 9/13/ 2021

Austin Atlantic Asset 100,586 2.1 % 0.14 % 2 9/2/2021Management Co.

Lucid Prime Fund, LLC 70,247 1.5 % 0.19 % 9 9/9/2021

Lucid Cash Fund USG, LLC 51,238 1.1 % 0.12 % 9 9/9/2021

J.V.B. Financial Group, LLC 32,897 0.7 % 0.12 % 53 10/25/ 2021

Total Borrowings $ 4,714,003 100.0 % 0.13 % 42 11/30/ 2021

(1)

In August 2021, the Company purchased assets with a fair value of approximately $317.3 million, which settle in September 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/20210916005792/en/

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