Business Wire | Nov 9, 2021 04:54PM EST

Orchid Island Capital Announces November 2021 Monthly Dividend and October 31, 2021 RMBS Portfolio Characteristics

Nov. 09, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Nov. 09, 2021--Orchid Island Capital, Inc. (the "Company") (NYSE: ORC) announced today that the Board of Directors of the Company (the "Board") declared a monthly cash dividend for the month of November 2021. The dividend of $0.065 per share will be paid December 29, 2021, to holders of record of the Company's common stock on November 30, 2021, with an ex-dividend date of November 29, 2021. The Company plans on announcing its next common stock dividend on December 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 November 9, 2021, the Company had 169,162,849 shares of common stock outstanding. As of October 31, 2021, the Company had 161,157,349 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 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

Oct 2021 Aug - Oct 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 Nov) in Nov) (-50 BPS)^ (+50 BPS)^ (1) (1)

Pass Through RMBS

15yr 2.5 $ 220,381 $ 231,511 3.70 % $ 105.05 2.50 % 2.87 % 10 165 8.4 % 8.2 % $ 3,638 $ (4,204 )

15yr 4.0 560 601 0.01 % 107.22 4.00 % 4.51 % 42 116 94.7 % 65.1 % 7 (9 )

15yr Total 220,941 232,112 3.71 % 105.06 2.50 % 2.88 % 11 165 8.6 % 8.4 % 3,645 (4,213 )

30yr 2.5 1,099,648 1,131,713 18.07 % 102.92 2.50 % 3.32 % 6 353 6.3 % 10.0 % 17,903 (26,303 )

30yr 3.0 4,058,659 4,317,668 68.94 % 106.38 3.00 % 3.47 % 7 351 8.5 % 8.3 % 74,245 (100,993 )

30yr 3.5 322,110 350,689 5.60 % 108.87 3.50 % 4.01 % 20 333 22.5 % 21.5 % 5,248 (6,833 )

30yr 4.0 79,496 87,231 1.39 % 109.73 4.00 % 4.72 % 36 321 8.8 % 25.2 % 969 (1,155 )

30yr Total 5,559,913 5,887,301 94.00 % 105.89 2.94 % 3.49 % 8 350 8.9 % 9.8 % 98,365 (135,284 )

Total Pass 5,780,854 6,119,413 97.71 % 105.86 2.93 % 3.47 % 8 343 8.9 % 9.7 % 102,010 (139,497 )Through RMBS

Structured RMBS

IO 20yr 3.0 403,730 42,491 0.68 % 10.52 3.00 % 3.69 % 64 170 31.5 % 32.2 % (4,150 ) 2,829

IO 20yr 4.0 14,297 1,789 0.03 % 12.51 4.00 % 4.58 % 118 114 16.1 % 19.5 % (34 ) 20

IO 30yr 3.0 95,960 13,536 0.22 % 14.11 3.00 % 3.65 % 50 302 22.4 % 21.9 % (1,347 ) 1,002

IO 30yr 3.5 329,337 56,290 0.90 % 17.09 3.50 % 4.01 % 48 303 21.6 % 20.1 % (4,670 ) 3,477

IO 30yr 4.0 188,371 25,426 0.41 % 13.50 4.00 % 4.56 % 67 286 31.7 % 32.1 % (2,221 ) 2,113

IO 30yr 4.5 5,040 846 0.01 % 16.79 4.50 % 4.99 % 136 211 22.3 % 24.5 % (79 ) 65

IO 30yr 5.0 2,844 495 0.01 % 17.39 5.00 % 5.36 % 136 212 25.7 % 33.2 % (38 ) 35

IO Total 1,039,579 140,873 2.25 % 13.55 3.37 % 3.97 % 59 245 27.3 % 25.8 % (12,539 ) 9,541

IIO 30yr 4.0 47,560 2,577 0.04 % 5.42 3.75 % 4.41 % 49 303 20.9 % 30.3 % (169 ) (80 )

Total Structured 1,087,139 143,450 2.29 % 13.20 3.38 % 3.99 % 59 247 27.0 % 26.0 % (12,708 ) 9,461 RMBS



Total Mortgage $ 6,867,993 $ 6,262,863 100.00 % 3.00 % 3.55 % 16 328 11.8 % 12.4 % $ 89,302 $ (130,036 )Assets



Interest

Interest

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 BPS)(1)

(+50 BPS)(1)

Eurodollar Futures

$

(50,000

)

Dec-2021

$

(63

)

$

63

Swaps

(1,355,000

)

Dec-2026

(35,623

)

35,623

5-Year Treasury Future(2)

(269,000

)

Dec-2021

(10,605

)

5,954

10-Year Treasury Ultra(3)

(175,000

)

Dec-2021

(20,512

)

12,119

TBA

(400,000

)

Nov-2021

(4,933

)

7,517

Swaptions

(327,000

)

Oct-2022

(8,155

)

10,081

Yield Curve Spread Floor

(150,000

)

Feb-2023

n/a

n/a

Hedge Total

$

(2,726,000

)

$

(79,891

)

$

71,357

Rate Shock Grand Total

$

9,411

$

(58,679

)

Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

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

Eurodollar $ (50,000 ) Dec-2021 $ (63 ) $ 63 Futures

Swaps (1,355,000 ) Dec-2026 (35,623 ) 35,623

5-YearTreasury (269,000 ) Dec-2021 (10,605 ) 5,954 Future^(2)

10-YearTreasury (175,000 ) Dec-2021 (20,512 ) 12,119 Ultra^(3)

TBA (400,000 ) Nov-2021 (4,933 ) 7,517

Swaptions (327,000 ) Oct-2022 (8,155 ) 10,081

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

Hedge $ (2,726,000 ) $ (79,891 ) $ 71,357 Total

Rate ShockGrand $ 9,411 $ (58,679 )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 $121.75 at October 31, 2021. The market value of the short position was $327.5 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $145.03 at October 31, 2021. The market value of the short position was $253.8 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.

Five-year Treasury futures contracts were valued at prices of $121.75 at(2) October 31, 2021. The market value of the short position was $327.5 million.

Ten-year Treasury Ultra futures contracts were valued at prices of $145.03(3) at October 31, 2021. The market value of the short position was $253.8 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

Portfolio

Asset Category

Value

Portfolio

As of October 31, 2021

As of October 31, 2021

Fannie Mae

$

4,775,588

76.3

%

Non-Whole Pool Assets

$

317,823

5.1

%

Freddie Mac

1,487,275

23.7

%

Whole Pool Assets

5,945,040

94.9

%

Total Mortgage Assets

$

6,262,863

100.0

%

Total Mortgage Assets

$

6,262,863

100.0

%

RMBS Assets by Investment Company Act of 1940Agency Whole Pool Test

($ in thousands) ($ in thousands)

Percentage Percentage

Fair of Fair of

Asset Category Value Portfolio Asset Value Portfolio Category

As of October As of31, 2021 October 31, 2021

Non-WholeFannie Mae $ 4,775,588 76.3 % Pool $ 317,823 5.1 % Assets

Freddie Mac 1,487,275 23.7 % Whole Pool 5,945,040 94.9 % Assets

Total Mortgage TotalAssets $ 6,262,863 100.0 % Mortgage $ 6,262,863 100.0 % Assets

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of October 31, 2021

Borrowings

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

449,068

7.5

%

0.11

%

29

12/21/2021

Mirae Asset Securities (USA) Inc.

440,198

7.3

%

0.12

%

49

9/14/2022

RBC Capital Markets, LLC

426,995

7.1

%

0.11

%

25

1/20/2022

ABN AMRO Bank N.V.

417,607

6.9

%

0.12

%

32

1/12/2022

Mitsubishi UFJ Securities (USA), Inc

384,618

6.4

%

0.20

%

75

3/31/2022

J.P. Morgan Securities LLC

358,401

5.9

%

0.12

%

11

11/24/2021

Citigroup Global Markets Inc

330,172

5.5

%

0.11

%

14

11/18/2021

Goldman, Sachs & Co.

321,805

5.3

%

0.13

%

25

12/27/2021

Cantor Fitzgerald & Co

314,581

5.2

%

0.12

%

48

1/24/2022

Santander Bank, N.A.

310,800

5.1

%

0.11

%

43

12/28/2021

ASL Capital Markets Inc.

309,300

5.1

%

0.11

%

15

11/19/2021

ED&F Man Capital Markets Inc

305,705

5.1

%

0.11

%

66

1/24/2022

Nomura Securities International, Inc.

298,406

4.9

%

0.11

%

22

12/13/2021

ING Financial Markets LLC

280,692

4.7

%

0.12

%

11

11/12/2021

Daiwa Capital Markets America Inc.

216,544

3.6

%

0.11

%

42

12/14/2021

Bank of Montreal

216,309

3.6

%

0.12

%

28

12/14/2021

South Street Securities, LLC

172,739

2.9

%

0.12

%

15

11/23/2021

Barclays Capital Inc

145,391

2.4

%

0.11

%

15

11/15/2021

Merrill Lynch, Pierce, Fenner & Smith

134,945

2.2

%

0.15

%

42

12/13/2021

Austin Atlantic Asset Management Co.

98,059

1.6

%

0.14

%

4

11/4/2021

Lucid Cash Fund USG, LLC

73,170

1.2

%

0.11

%

10

11/10/2021

Lucid Price Fund, LLC

19,101

0.3

%

0.38

%

10

11/10/2021

J.V.B. Financial Group, LLC

10,383

0.2

%

0.12

%

38

12/8/2021

Total Borrowings

$

6,034,989

100.0

%

0.12

%

32

9/14/2022

View source version on businesswire.com: https://www.businesswire.com/news/home/20211109006587/en/

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