Business Wire | Oct 12, 2021 04:05PM EDT

Orchid Island Capital Announces Estimated Third Quarter 2021 Results, October 2021 Monthly Dividend and September 30, 2021 RMBS Portfolio Characteristics

Oct. 12, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Oct. 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 October 2021. The dividend of $0.065 per share will be paid November 26, 2021 to holders of record of the Company's common stock on October 29, 2021, with an ex-dividend date of October 28, 2021. The Company plans on announcing its next common stock dividend on November 9, 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 October 12, 2021, the Company had 153,831,978 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

Estimated September 30, 2021 Book Value Per Share

The Company's estimated book value per share as of September 30, 2021 was $4.77. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2021, the Company's preliminary estimated total stockholders' equity was approximately $730.6 million with 153,318,351 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated net income per share of $0.20, which includes $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2021. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

Estimated Total Return on Equity

The Company's estimated total return on equity for the quarter ended September 30, 2021 was 5.4%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company's stockholders' equity at the beginning of the quarter. The total return was $0.255 per share, comprised of dividends per share of $0.195 and an increase in book value per share of $0.06 from June 30, 2021.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2021 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter ended September 30, 2021, are subject to review by the Company's independent registered public accounting firm.

* 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

Sep 2021 Jul - Sep 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 Oct) in Oct) (-50 BPS)^ (+50 BPS)^ (2) (2)

PassThrough RMBS

15yr 2.5 $ 223,524 $ 235,988 4.21 % $ 105.58 2.50 % 2.87 % 9 166 10.5 % 8.3 % $ 3,620 $ (4,307 )

15yr 4.0 569 610 0.01 % 107.25 4.00 % 4.51 % 41 117 10.0 % 9.6 % 6 (8 )

15yr Total 224,093 236,598 4.22 % 105.58 2.50 % 2.88 % 10 166 10.5 % 8.3 % 3,626 (4,315 )

30yr 2.5 755,961 782,574 13.97 % 103.52 2.50 % 3.39 % 7 351 9.2 % 15.6 % 10,688 (17,923 )

30yr 3.0 3,685,738 3,955,954 70.63 % 107.33 3.00 % 3.48 % 7 352 6.7 % 7.6 % 62,963 (92,337 )

30yr 3.5 329,487 362,129 6.47 % 109.91 3.50 % 4.02 % 19 334 22.0 % 20.2 % 5,210 (7,144 )

30yr 4.0 81,269 89,089 1.59 % 109.62 4.00 % 4.72 % 36 321 19.0 % 28.5 % 996 (1,220 )

30yr 4.5 28,342 32,218 0.58 % 113.68 4.50 % 4.91 % 23 329 18.4 % 17.6 % 509 (611 )

30yr Total 4,880,797 5,221,964 93.23 % 106.99 2.98 % 3.53 % 8 350 8.3 % 9.9 % 80,366 (119,235 )

Total PassThrough 5,104,890 5,458,562 97.45 % 106.93 2.96 % 3.50 % 8 342 8.4 % 9.8 % 83,992 (123,550 )RMBS

Structured RMBS

IO 20yr 3.0 363,225 37,650 0.67 % 10.37 3.00 % 3.68 % 61 173 31.2 % 33.5 % (4,077 ) 2,526

IO 20yr 4.0 14,677 1,857 0.03 % 12.65 4.00 % 4.58 % 117 116 22.5 % 20.0 % (39 ) 21

IO 30yr 3.0 98,485 13,883 0.25 % 14.10 3.00 % 3.66 % 49 303 24.8 % 20.2 % (1,430 ) 992

IO 30yr 3.5 336,401 57,119 1.02 % 16.98 3.50 % 4.01 % 47 304 20.7 % 19.4 % (4,818 ) 3,301

IO 30yr 4.0 195,862 28,170 0.50 % 14.38 4.00 % 4.56 % 66 286 32.6 % 34.0 % (2,552 ) 2,292

IO 30yr 4.5 5,166 799 0.01 % 15.47 4.50 % 4.99 % 135 212 24.2 % 26.2 % (77 ) 59

IO 30yr 5.0 2,924 465 0.01 % 15.90 5.00 % 5.36 % 135 213 25.7 % 41.9 % (37 ) 32

IO Total 1,016,740 139,943 2.50 % 13.76 3.39 % 3.98 % 58 250 27.2 % 24.9 % (13,031 ) 9,224

IIO 30yr 49,645 2,783 0.05 % 5.61 3.75 % 4.41 % 48 304 27.4 % 28.0 % (285 ) (96 )4.0

TotalStructured 1,066,385 142,726 2.55 % 13.38 3.40 % 4.00 % 57 253 27.2 % 25.1 % (13,316 ) 9,128 RMBS



TotalMortgage $ 6,171,275 $ 5,601,288 100.00 % 3.04 % 3.59 % 17 326 11.8 % 12.4 % $ 70,676 $ (114,422 )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 (35,820 ) 35,820

5-YearTreasury (269,000 ) Dec-2021 (9,532 ) 7,254 Future^(3)

10-YearTreasury (23,500 ) Dec-2021 (2,560 ) 1,837 Ultra^(4)

Swaptions (244,350 ) May-2022 (7,654 ) (7,654 )

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

Hedge Total $ (2,091,850 ) $ (55,691 ) $ 37,382

Rate Shock $ 14,985 $ (77,040 )Grand Total

(1)Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 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 $122.74 at September 30, 2021. The market value of the short position was $330.2 million.

(4)Ten-year Treasury Ultra futures contracts were valued at prices of $145.25 at September 30, 2021. The market value of the short position was $34.1 million.

Amounts in the tables above include assets with a fair value of(1) approximately $180.8 million purchased in September 2021, which settle in October 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 $122.74 at(3) September 30, 2021. The market value of the short position was $330.2 million.

Ten-year Treasury Ultra futures contracts were valued at prices of $145.25(4) at September 30, 2021. The market value of the short position was $34.1 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 September 30, 2021

As of September 30, 2021

Fannie Mae

$

4,314,966

77.0

%

Non-Whole Pool Assets

$

325,421

5.8

%

Freddie Mac

1,286,322

23.0

%

Whole Pool Assets

5,275,867

94.2

%

Total Mortgage Assets

$

5,601,288

100.0

%

Total Mortgage Assets

$

5,601,288

100.0

%

RMBS Assets Investment Company Act of 1940 Wholeby Agency Pool Test

($ in ($ in thousands) thousands)

Percentage Percentage

Fair of Fair of

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

As of As ofSeptember 30, September 30, 2021 2021

Fannie Mae $ 4,314,966 77.0 % Non-Whole $ 325,421 5.8 % Pool Assets

Freddie Mac 1,286,322 23.0 % Whole Pool 5,275,867 94.2 % Assets

Total TotalMortgage $ 5,601,288 100.0 % Mortgage $ 5,601,288 100.0 %Assets Assets

(1)Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 2021.

Amounts in the tables above include assets with a fair value of(1) approximately $180.8 million purchased in September 2021, which settle in October 2021.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of September 30, 2021

Borrowings(1)

Debt

Rate

in Days

Maturity

ABN AMRO Bank N.V.

$

421,280

8.3%

0.12%

30

11/12/2021

Mirae Asset Securities (USA) Inc.

396,039

7.6%

0.12%

74

9/14/2022

Wells Fargo Bank, N.A.

357,656

6.9%

0.11%

14

10/22/2021

RBC Capital Markets, LLC

356,691

6.8%

0.12%

31

11/10/2021

J.P. Morgan Securities LLC

334,245

6.4%

0.12%

41

11/22/2021

Goldman, Sachs & Co.

323,521

6.2%

0.12%

40

12/27/2021

ASL Capital Markets Inc.

321,542

6.2%

0.12%

15

10/19/2021

Cantor Fitzgerald & Co

268,272

5.1%

0.12%

24

11/15/2021

Citigroup Global Markets Inc

263,278

5.0%

0.11%

13

10/14/2021

Mitsubishi UFJ Securities (USA), Inc

259,581

5.0%

0.24%

23

11/29/2021

Santander Bank, N.A.

210,831

4.0%

0.11%

29

11/15/2021

ED&F Man Capital Markets Inc

199,744

3.8%

0.12%

32

12/8/2021

ING Financial Markets LLC

199,544

3.8%

0.12%

37

11/10/2021

Nomura Securities International, Inc.

199,411

3.8%

0.11%

41

11/22/2021

South Street Securities, LLC

173,977

3.3%

0.12%

42

11/23/2021

BMO Capital Markets Corp.

169,909

3.3%

0.13%

14

10/22/2021

Daiwa Securities America Inc.

167,813

3.2%

0.11%

16

11/8/2021

Barclays Capital Inc

145,516

2.8%

0.11%

13

10/13/2021

Merrill Lynch, Pierce, Fenner & Smith

141,192

2.7%

0.17%

15

10/29/2021

Austin Atlantic Asset Management Co.

99,395

1.9%

0.14%

7

10/7/2021

Lucid Price Fund, LLC

85,283

1.6%

0.18%

14

10/14/2021

Lucid Cash Fund USG, LLC

60,503

1.2%

0.12%

14

10/14/2021

J.V.B. Financial Group, LLC

58,647

1.1%

0.12%

22

10/25/2021

Total Borrowings

$

5,213,869

100.0%

0.13%

30

9/14/2022

Borrowings By Counterparty

($ in thousands)

Weighted Weighted

% of Average Average

Total Total Repo Maturity Longest

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

ABN AMRO Bank N.V. $ 421,280 8.3% 0.12% 30 11/12/ 2021

Mirae Asset Securities 396,039 7.6% 0.12% 74 9/14/(USA) Inc. 2022

Wells Fargo Bank, N.A. 357,656 6.9% 0.11% 14 10/22/ 2021

RBC Capital Markets, LLC 356,691 6.8% 0.12% 31 11/10/ 2021

J.P. Morgan Securities 334,245 6.4% 0.12% 41 11/22/LLC 2021

Goldman, Sachs & Co. 323,521 6.2% 0.12% 40 12/27/ 2021

ASL Capital Markets Inc. 321,542 6.2% 0.12% 15 10/19/ 2021

Cantor Fitzgerald & Co 268,272 5.1% 0.12% 24 11/15/ 2021

Citigroup Global Markets 263,278 5.0% 0.11% 13 10/14/Inc 2021

Mitsubishi UFJ 259,581 5.0% 0.24% 23 11/29/Securities (USA), Inc 2021

Santander Bank, N.A. 210,831 4.0% 0.11% 29 11/15/ 2021

ED&F Man Capital Markets 199,744 3.8% 0.12% 32 12/8/Inc 2021

ING Financial Markets 199,544 3.8% 0.12% 37 11/10/LLC 2021

Nomura Securities 199,411 3.8% 0.11% 41 11/22/International, Inc. 2021

South Street Securities, 173,977 3.3% 0.12% 42 11/23/LLC 2021

BMO Capital Markets 169,909 3.3% 0.13% 14 10/22/Corp. 2021

Daiwa Securities America 167,813 3.2% 0.11% 16 11/8/Inc. 2021

Barclays Capital Inc 145,516 2.8% 0.11% 13 10/13/ 2021

Merrill Lynch, Pierce, 141,192 2.7% 0.17% 15 10/29/Fenner & Smith 2021

Austin Atlantic Asset 99,395 1.9% 0.14% 7 10/7/Management Co. 2021

Lucid Price Fund, LLC 85,283 1.6% 0.18% 14 10/14/ 2021

Lucid Cash Fund USG, LLC 60,503 1.2% 0.12% 14 10/14/ 2021

J.V.B. Financial Group, 58,647 1.1% 0.12% 22 10/25/LLC 2021

Total Borrowings $ 5,213,869 100.0% 0.13% 30 9/14/ 2022

(1)In September 2021, the Company purchased assets with a fair value of approximately $180.8 million, which settle in October 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/20211012006127/en/

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