Business Wire | Dec 9, 2021 04:05PM EST

Orchid Island Capital Announces December 2021 Monthly Dividend, November 30, 2021 RMBS Portfolio Characteristics and Increase in Stock Repurchase Program

Dec. 09, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)--Dec. 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 December 2021. The dividend of $0.065 per share will be paid January 27, 2022, to holders of record of the Company's common stock on December 31, 2021, with an ex-dividend date of December 30, 2021. The Company plans on announcing its next common stock dividend on January 13, 2022.

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 December 9, 2021 and November 30, 2021, the Company had 176,993,049 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding.

Stock Repurchase Program

On July 29, 2015, the Board authorized the repurchase of up to 2,000,000 shares of the Company's common stock. On February 8, 2018, the Board approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company's common stock. Coupled with the 783,757 shares remaining from the original 2,000,000 share authorization, the increased authorization brought the total authorization to 5,306,579 shares, representing 10% of the Company's then outstanding share count. From the inception of the stock repurchase program through September 30, 2021, the Company repurchased a total of 5,685,511 shares at an aggregate cost of approximately $40.4 million, including commissions and fees, for a weighted average price of $7.10 per share. The remaining authorization under the repurchase program as of September 30, 2021, was 837,311 shares. Today, the Board approved an increase in the number of shares of the Company's common stock available in the stock repurchase program for up to an additional 16,861,994 shares, bringing the remaining authorization under the stock repurchase program to 17,699,305 shares, representing approximately 10% of the Company's currently outstanding shares of common stock.

As part of the stock repurchase program, shares may be purchased in open market transactions, block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at the Company's discretion without prior notice.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 30, 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 stock repurchase program. 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

Nov 2021 Sep - Nov 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 Dec) in Dec) (-50 BPS)^ (+50 BPS)^ (1) (1)

PassThrough RMBS

15yr 2.5 $ 217,687 $ 227,829 3.41% $ 104.66 2.50% 2.87% 11 164 13.3% 10.8% $ 3,545 $ (4,072)

15yr 4.0 435 465 0.01% 106.92 4.00% 4.54% 43 137 0.7% 63.9% 6 (7)

15yr Total 218,122 228,294 3.42% 104.66 2.50% 2.88% 12 164 13.3% 10.9% 3,551 (4,079)

30yr 2.5 1,091,766 1,123,047 16.81% 102.87 2.50% 3.32% 7 352 8.8% 10.7% 16,546 (24,654)

30yr 3.0 4,390,215 4,652,413 69.64% 105.97 3.00% 3.48% 8 351 9.1% 8.9% 78,699 (106,098)

30yr 3.5 336,241 364,865 5.46% 108.51 3.50% 4.01% 20 334 17.8% 21.7% 5,738 (7,236)

30yr 4.0 111,923 121,590 1.82% 108.64 4.00% 4.75% 27 331 16.3% 16.1% 1,209 (1,482)

30yr Total 5,930,145 6,261,915 93.73% 105.59 2.96% 3.50% 9 350 9.7% 10.1% 102,192 (139,470)

Total PassThrough 6,148,267 6,490,209 97.14% 105.56 2.94% 3.48% 9 343 9.8% 10.1% 105,743 (143,549)RMBS

Structured RMBS

IO 20yr 389,429 38,582 0.58% 9.91 3.00% 3.69% 65 169 27.9% 30.3% (3,613) 2,5913.0

IO 20yr 13,985 1,734 0.03% 12.40 4.00% 4.58% 119 114 20.1% 19.6% (32) 204.0

IO 30yr 93,686 12,860 0.19% 13.73 3.00% 3.65% 51 300 14.2% 20.8% (1,263) 9633.0

IO 30yr 692,600 109,594 1.64% 15.82 3.47% 4.02% 49 302 22.8% 21.2% (11,540) 9,0073.5

IO 30yr 181,472 24,354 0.36% 13.42 4.00% 4.56% 68 284 27.6% 30.8% (2,062) 1,9954.0

IO 30yr 4,918 817 0.01% 16.62 4.50% 4.99% 137 210 21.0% 22.5% (75) 634.5

IO 30yr 2,767 476 0.01% 17.20 5.00% 5.36% 137 210 40.2% 30.9% (36) 345.0

IO Total 1,378,857 188,417 2.82% 13.66 3.39% 3.99% 57 260 24.3% 26.2% (18,621) 14,673

IIO 30yr 46,019 2,414 0.04% 5.25 3.75% 4.41% 50 301 20.9% 23.1% (141) (75)4.0

TotalStructured 1,424,876 190,831 2.86% 13.39 3.40% 4.00% 57 261 24.2% 26.0% (18,762) 14,598RMBS



TotalMortgage $ 7,573,143 $ 6,681,040 100.00% 3.03% 3.58% 18 328 12.5% 12.9% $ 86,981 $ (128,951)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

(369,000)

Mar-2022

(9,551)

12,646

5-Year Treasury Future(2)

(220,000)

Mar-2022

(22,411)

19,813

10-Year Treasury Ultra(3)

(1,355,000)

Dec-2026

(35,363)

35,363

TBA

(575,000)

Dec-2020

(7,555)

11,005

Swaptions

(327,000)

Oct-2022

(6,298)

8,371

Hedge Total

$

(2,896,000)

$

(81,241)

$

87,261

Rate Shock Grand Total

$

5,740

$

(41,690)

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) $ 63Futures

Swaps (369,000) Mar-2022 (9,551) 12,646

5-YearTreasury (220,000) Mar-2022 (22,411) 19,813Future^(2)

10-YearTreasury (1,355,000) Dec-2026 (35,363) 35,363Ultra^(3)

TBA (575,000) Dec-2020 (7,555) 11,005

Swaptions (327,000) Oct-2022 (6,298) 8,371

Hedge $ (2,896,000) $ (81,241) $ 87,261Total

Rate ShockGrand $ 5,740 $ (41,690)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 $121.40 at November 30, 2021. The market value of the short position was $448.0 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $146.89 at November 30, 2021. The market value of the short position was $323.2 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.

Five-year Treasury futures contracts were valued at prices of $121.40 at(2) November 30, 2021. The market value of the short position was $448.0 million.

Ten-year Treasury Ultra futures contracts were valued at prices of $146.89(3) at November 30, 2021. The market value of the short position was $323.2 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 November 30, 2021

As of November 30, 2021

Fannie Mae

$

5,168,848

77.4%

Non-Whole Pool Assets

$

369,047

5.5%

Freddie Mac

1,512,192

22.6%

Whole Pool Assets

6,311,993

94.5%

Total Mortgage Assets

$

6,681,040

100.0%

Total Mortgage Assets

$

6,681,040

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 Portfolio Asset Value PortfolioCategory Category

As of As ofNovember 30, November 30, 2021 2021

Fannie Mae $ 5,168,848 77.4% Non-Whole $ 369,047 5.5% Pool Assets

Freddie Mac 1,512,192 22.6% Whole Pool 6,311,993 94.5% Assets

Total TotalMortgage $ 6,681,040 100.0% Mortgage $ 6,681,040 100.0%Assets Assets

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of November 30, 2021

Borrowings

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

446,278

6.9%

0.12%

74

2/11/2022

J.P. Morgan Securities LLC

432,913

6.7%

0.13%

47

1/10/2022

Mirae Asset Securities (USA) Inc.

427,550

6.7%

0.13%

114

9/14/2022

RBC Capital Markets, LLC

422,476

6.6%

0.12%

53

1/28/2022

ABN AMRO Bank N.V.

409,797

6.4%

0.12%

82

2/11/2022

Merrill Lynch, Pierce, Fenner & Smith

393,468

6.1%

0.15%

57

1/13/2022

Mitsubishi UFJ Securities (USA), Inc

389,774

6.1%

0.21%

94

12/13/2022

Cantor Fitzgerald & Co

371,321

5.8%

0.12%

71

2/14/2022

Citigroup Global Markets Inc

325,333

5.1%

0.12%

45

12/20/2021

Goldman, Sachs & Co.

323,728

5.0%

0.15%

65

1/19/2022

Santander Bank, N.A.

309,466

4.8%

0.11%

48

12/28/2021

ASL Capital Markets Inc.

307,006

4.8%

0.13%

58

1/18/2022

ED&F Man Capital Markets Inc

303,423

4.7%

0.11%

79

2/17/2022

Nomura Securities International, Inc.

291,136

4.5%

0.13%

99

2/22/2022

ING Financial Markets LLC

274,333

4.3%

0.13%

71

1/10/2022

Bank of Montreal

248,051

3.9%

0.15%

60

1/18/2022

Daiwa Capital Markets America Inc.

215,210

3.4%

0.11%

44

12/14/2021

South Street Securities, LLC

169,182

2.6%

0.12%

45

12/23/2021

Barclays Capital Inc

140,008

2.2%

0.11%

45

12/15/2021

Austin Atlantic Asset Management Co.

96,552

1.5%

0.14%

31

12/1/2021

Lucid Cash Fund USG, LLC

90,388

1.4%

0.17%

39

12/9/2021

StoneX Financial Inc.

27,869

0.4%

0.13%

79

1/18/2022

Mizuho Securities USA, Inc

3,589

0.1%

0.56%

73

1/12/2022

Total Borrowings

$

6,418,851

100.0%

0.13%

67

12/13/2022

View source version on businesswire.com: https://www.businesswire.com/news/home/20211209006027/en/

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