Business Wire | Jan 13, 2022 04:15PM EST

Orchid Island Capital Announces Estimated Fourth Quarter 2021 Results, January 2022 Monthly Dividend and December 31, 2021 RMBS Portfolio Characteristics

Jan. 13, 2022

VERO BEACH, Fla.--(BUSINESS WIRE)--Jan. 13, 2022--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 January 2022. The dividend of $0.055 per share will be paid February 24, 2022 to holders of record of the Company's common stock on January 31, 2022, with an ex-dividend date of January 28, 2022. The Company plans on announcing its next common stock dividend on February 16, 2022.

The Company has elected to reduce the monthly cash dividend in light of the rapid compression of the Company's net interest margin that has occurred over the course of the fourth quarter. Additionally, recent comments from members of the Federal Open Market Committee indicate that the Federal Reserve may take actions to remove the substantial monetary policy accommodation that has been in place since the onset of the COVID-19 pandemic over the very near term. The Company's net interest margin has also been impacted by the persistence of longer-term rates remaining at or below levels observed earlier in 2021. As a result, prepayment rates on the Company's pass-through and interest-only securities remain elevated.

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 January 13, 2022 and December 31, 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.

Estimated December 31, 2021 Book Value Per Share

The Company's estimated book value per share as of December 31, 2021 was $4.34. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2021, the Company's preliminary estimated total stockholders' equity was approximately $768.1 million with 176,993,049 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 Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.27, which includes $0.49 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended December 31, 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 December 31, 2021 was (4.9)%. 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 $(0.235) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.43 from September 30, 2021.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 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 December 31, 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 the effect of actual or proposed actions of the Federal Reserve and the Federal Open Market Committee with respect to monetary policy or interest rates, timing with respect thereto, and the related impact of those actual or proposed actions on the Company. 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

Dec 2021 Oct - Dec 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 Jan) in Jan) (-50 BPS)^ (+50 BPS)^ (1) (1)

PassThrough RMBS

15yr 2.5 $ 214,031 $ 223,724 3.44 % $ 104.53 2.50 % 2.87 % 12 163 7.9 % 9.9 % $ 3,536 $ (4,053 )

15yr 4.0 433 461 0.01 % 106.67 4.00 % 4.54 % 44 136 0.7 % 62.7 % 6 (7 )

15yr Total 214,464 224,185 3.44 % 104.53 2.50 % 2.88 % 13 163 7.8 % 10.0 % 3,542 (4,060 )

30yr 2.5 1,055,207 1,079,884 16.59 % 102.34 2.50 % 3.30 % 6 353 2.8 % 5.7 % 17,623 (25,647 )

30yr 3.0 4,347,161 4,600,632 70.66 % 105.83 3.00 % 3.48 % 9 350 7.8 % 8.8 % 81,570 (108,919 )

30yr 3.5 251,296 274,480 4.22 % 109.23 3.50 % 4.04 % 22 331 20.2 % 21.4 % 4,704 (5,769 )

30yr 4.0 110,070 119,006 1.83 % 108.12 4.00 % 4.75 % 27 331 19.1 % 17.6 % 1,162 (1,474 )

30yr Total 5,763,734 6,074,002 93.29 % 105.38 2.95 % 3.50 % 9 349 7.7 % 8.9 % 105,059 (141,809 )

Total PassThrough 5,978,198 6,298,187 96.73 % 105.35 2.93 % 3.47 % 9 342 7.7 % 9.0 % 108,601 (145,869 )RMBS

Structured RMBS

IO 20yr 377,211 39,506 0.61 % 10.47 3.00 % 3.69 % 66 168 24.4 % 28.0 % (3,555 ) 2,517 3.0

IO 20yr 13,647 1,663 0.03 % 12.18 4.00 % 4.57 % 120 113 19.1 % 18.5 % (29 ) 18 4.0

IO 30yr 92,301 12,971 0.20 % 14.05 3.00 % 3.65 % 52 299 14.8 % 17.5 % (1,241 ) 915 3.0

IO 30yr 801,314 130,095 2.00 % 16.24 3.48 % 4.00 % 50 301 20.3 % 20.2 % (13,333 ) 10,094 3.5

IO 30yr 175,555 24,971 0.38 % 14.22 4.00 % 4.56 % 69 284 27.9 % 29.2 % (2,227 ) 2,226 4.0

IO 30yr 4,811 768 0.01 % 15.97 4.50 % 4.99 % 138 209 28.7 % 24.1 % (68 ) 58 4.5

IO 30yr 2,643 410 0.01 % 15.51 5.00 % 5.36 % 138 209 22.0 % 29.7 % (29 ) 27 5.0

IO Total 1,467,482 210,384 3.23 % 14.34 3.40 % 3.98 % 57 263 21.9 % 24.6 % (20,482 ) 15,855

IIO 30yr 44,505 2,524 0.04 % 5.67 3.75 % 4.41 % 51 300 32.3 % 24.9 % (142 ) (97 )4.0

TotalStructured 1,511,987 212,908 3.27 % 14.08 3.41 % 3.99 % 57 264 22.3 % 24.6 % (20,624 ) 15,758 RMBS



TotalMortgage $ 7,490,185 $ 6,511,095 100.00 % 3.03 % 3.58 % 19 326 10.6 % 11.4 % $ 87,977 $ (130,111 )Assets



Interest Interest

Average Hedge Rate Rate

Notional Period Sensitivity Sensitivity

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

5-YearTreasury $ (369,000 ) Mar-2022 $ (8,602 ) $ 13,379 Future^(2)

10-YearTreasury (220,000 ) Mar-2022 (15,908 ) 25,428 Ultra^(3)

Swaps (1,355,000 ) Dec-2026 (34,700 ) 34,700

TBA (575,000 ) Jan-2022 (7,842 ) 11,454

Swaptions (327,000 ) Oct-2022 (8,686 ) 14,124

Hedge $ (2,846,000 ) $ (75,738 ) $ 99,085 Total

Rate ShockGrand $ 12,239 $ (31,026 )Total

(1) Modeled results from Citigroup Global Markets Inc. Yield Book. Interestrate shocks assume instantaneous parallel shifts and horizon prices arecalculated assuming constant LIBOR option-adjusted spreads. These results arefor illustrative purposes only and actual results may differ materially.(2) Five-year Treasury futures contracts were valued at prices of $120.98 atDecember 31, 2021. The market value of the short position was $446.4 million.

(3) Ten-year Treasury Ultra futures contracts were valued at prices of $146.44at December 31, 2021. The market value of the short position was $322.2million.

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

Portfolio

Asset Category

Value

Portfolio

As of December 31, 2021

As of December 31, 2021

Fannie Mae

$

4,719,349

72.5

%

Non-Whole Pool Assets

$

290,344

4.5

%

Freddie Mac

1,791,746

27.5

%

Whole Pool Assets

6,220,751

95.5

%

Total Mortgage Assets

$

6,511,095

100.0

%

Total Mortgage Assets

$

6,511,095

100.0

%

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 Portfolio Asset Value Portfolio Category

As of December As of31, 2021 December 31, 2021

Fannie Mae $ 4,719,349 72.5 % Non-Whole $ 290,344 4.5 % Pool Assets

Freddie Mac 1,791,746 27.5 % Whole Pool 6,220,751 95.5 % Assets

Total Mortgage TotalAssets $ 6,511,095 100.0 % Mortgage $ 6,511,095 100.0 % Assets

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of December 31, 2021

Borrowings

Debt

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

436,954

7.2

%

0.13

%

29

2/11/2022

Mirae Asset Securities (USA) Inc.

425,890

6.8

%

0.13

%

62

9/14/2022

J.P. Morgan Securities LLC

424,776

6.8

%

0.14

%

31

2/8/2022

RBC Capital Markets, LLC

416,185

6.7

%

0.14

%

15

1/28/2022

ABN AMRO Bank N.V.

407,945

6.5

%

0.13

%

44

3/14/2022

Merrill Lynch, Pierce, Fenner & Smith

388,303

6.2

%

0.16

%

15

1/28/2022

Cantor Fitzgerald & Co

348,968

5.6

%

0.12

%

29

3/21/2022

Mitsubishi UFJ Securities (USA), Inc

345,853

5.5

%

0.22

%

48

3/31/2022

Goldman, Sachs & Co.

339,026

5.4

%

0.18

%

21

1/28/2022

Citigroup Global Markets Inc

318,709

5.1

%

0.14

%

15

1/21/2022

ED&F Man Capital Markets Inc

301,941

4.8

%

0.11

%

22

2/17/2022

Santander Bank

299,670

4.8

%

0.14

%

17

1/25/2022

Nomura Securities International, Inc.

284,851

4.6

%

0.13

%

47

2/22/2022

ASL Capital Markets Inc.

281,879

4.5

%

0.14

%

17

1/20/2022

ING Financial Markets LLC

274,333

4.4

%

0.13

%

10

1/10/2022

Bank of Montreal

245,932

3.9

%

0.17

%

25

2/14/2022

Daiwa Capital Markets America Inc.

207,575

3.3

%

0.15

%

15

2/8/2022

South Street Securities, LLC

141,548

2.3

%

0.15

%

17

1/18/2022

Barclays Capital Inc

137,691

2.2

%

0.14

%

14

1/14/2022

Austin Atlantic Asset Management Co.

95,754

1.5

%

0.14

%

5

1/5/2022

Lucid Cash Fund USG, LLC

88,865

1.4

%

0.18

%

13

1/13/2022

StoneX Financial Inc.

27,869

0.4

%

0.13

%

18

1/18/2022

Mizuho Securities USA, Inc

3,589

0.1

%

0.56

%

12

1/12/2022

Total Borrowings

$

6,244,106

100.0

%

0.15

%

27

9/14/2022

View source version on businesswire.com: https://www.businesswire.com/news/home/20220113005853/en/

CONTACT: Orchid Island Capital, Inc. Robert E. Cauley 3305 Flamingo Drive, Vero Beach, Florida 32963 Telephone: (772) 231-1400