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

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 August 2021. The dividend of $0.065 per share will be paid September 28, 2021, to holders of record of the Company’s common stock on August 31, 2021, with an ex-dividend date of August 30, 2021. The Company plans on announcing its next common stock dividend on September 16, 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 August 18, 2021, the Company had 123,860,013 shares of common stock outstanding. As of July 31, 2021, the Company had 123,060,013 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 July 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
																											Jul 2021			May - Jul			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 Aug)			in Aug)			(-50 BPS)(2)				(+50 BPS)(2)
Pass Through RMBS
15yr 2.5		$	228,551			$	242,466			4.82	%		$	106.09			2.50	%		2.87	%		7		168		8.7	%		6.6	%		$	3,281			$	(4,050	)
15yr 4.0			587				630			0.01	%			107.42			4.00	%		4.50	%		39		118		9.1	%		8.7	%			6				(7	)
15yr Total			229,138				243,096			4.83	%			106.09			2.50	%		2.88	%		8		168		8.7	%		6.6	%			3,287				(4,057	)
20yr 2.0			144,854				149,148			2.96	%			102.96			2.00	%		2.87	%		7		233		8.4	%		6.5	%			1,134				(2,235	)
20yr Total			144,854				149,148			2.96	%			102.96			2.00	%		2.87	%		7		233		8.4	%		6.5	%			1,134				(2,235	)
30yr 2.5			909,495				950,505			18.88	%			104.51			2.50	%		3.41	%		6		351		19.3	%		14.7	%			6,906				(14,996	)
30yr 3.0			2,882,330				3,108,869			61.76	%			107.86			3.00	%		3.50	%		6		352		6.9	%		8.0	%			32,847				(56,164	)
30yr 3.5			332,791				366,663			7.28	%			110.18			3.50	%		4.02	%		18		336		17.7	%		18.6	%			4,198				(5,820	)
30yr 4.0			47,827				53,202			1.06	%			111.24			4.00	%		4.63	%		62		293		27.3	%		23.2	%			843				(938	)
30yr 4.5			51,122				57,500			1.14	%			112.48			4.50	%		4.97	%		25		329		23.1	%		26.6	%			460				(660	)
30yr Total			4,223,565				4,536,739			90.12	%			107.41			2.96	%		3.55	%		8		350		10.3	%		11.0	%			45,254				(78,578	)
Total Pass Through RMBS			4,597,557				4,928,983			97.91	%			107.21			2.91	%		3.50	%		8		337		10.2	%		10.5	%			49,675				(84,870	)
Structured RMBS
IO 20yr 3.0			65,486				5,658			0.11	%			8.64			3.00	%		3.64	%		55		180		33.1	%		n/a				(785	)			717
IO 20yr 4.0			15,393				1,947			0.04	%			12.65			4.00	%		4.58	%		115		117		17.6	%		19.1	%			(48	)			37
IO 30yr 3.0			102,171				13,595			0.27	%			13.31			3.00	%		3.66	%		47		305		17.8	%		18.9	%			(1,813	)			1,483
IO 30yr 3.5			349,645				54,187			1.08	%			15.50			3.50	%		4.01	%		45		306		19.9	%		20.4	%			(5,841	)			4,773
IO 30yr 4.0			212,841				25,004			0.50	%			11.75			4.00	%		4.57	%		65		288		36.9	%		35.3	%			(2,325	)			2,688
IO 30yr 4.5			5,481				839			0.02	%			15.31			4.50	%		4.99	%		133		214		27.4	%		27.9	%			(87	)			87
IO 30yr 5.0			3,285				522			0.01	%			15.90			5.00	%		5.37	%		133		214		50.9	%		37.4	%			(40	)			45
IO Total			754,302				101,752			2.02	%			13.49			3.55	%		4.11	%		54		285		25.7	%		22.7	%			(10,939	)			9,830
IIO 30yr 4.0			54,145				3,240			0.06	%			5.98			3.76	%		4.40	%		47		306		12.8	%		16.3	%			(529	)			140
Total Structured RMBS			808,447				104,992			2.09	%			12.99			3.57	%		4.13	%		53		286		24.8	%		22.3	%			(11,468	)			9,970
Total Mortgage Assets		$	5,406,004			$	5,033,975			100.00	%						3.01	%		3.59	%		15		330		12.4	%		12.3	%		$	38,207			$	(74,900	)
																																	Interest				Interest
		Average				Hedge																											Rate				Rate
		Notional				Period																											Sensitivity				Sensitivity
Hedge		Balance				End																											(-50 BPS)(2)				(+50 BPS)(2)
Eurodollar Futures		$	(50,000	)		Dec-2021																											$	(125	)		$	125
Swaps			(1,355,000	)		Dec-2026																												(37,260	)			37,260
5-Year Treasury Future(3)			(269,000	)		Sep-2021																												(7,458	)			9,778
10-Year Treasury Ultra(4)			(23,500	)		Sep-2021																												(2,257	)			2,513
TBA			(400,000	)		Aug-2021																												(7,602	)			12,413
Swaptions			(244,350	)		May-2022																												(6,190	)			7,573
Yield Curve Spread Floor			(150,000	)		Feb-2023																												n/a				n/a
Hedge Total		$	(2,491,850	)																													$	(60,892	)		$	69,662
Rate Shock Grand Total																																	$	(22,685	)		$	(5,238	)

(1)	Amounts in the tables above include assets with a fair value of approximately $260.4 million purchased in July 2021, which settle in August 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 $124.45 at July 31, 2021. The market value of the short position was $334.8 million.
(4)	Ten-year Treasury Ultra futures contracts were valued at prices of $150.25 at July 31, 2021. The market value of the short position was $35.3 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 July 31, 2021											As of July 31, 2021
Fannie Mae		$	4,175,983			83.0	%				Non-Whole Pool Assets		$	335,968			6.7	%
Freddie Mac			857,992			17.0	%				Whole Pool Assets			4,698,007			93.3	%
Total Mortgage Assets		$	5,033,975			100.0	%				Total Mortgage Assets		$	5,033,975			100.0	%

(1)	Amounts in the tables above include assets with a fair value of approximately $260.4 million purchased in July 2021, which settle in August 2021.

Borrowings By Counterparty
($ in thousands)
									Weighted			Weighted
						% of			Average			Average
		Total				Total			Repo			Maturity		Longest
As of July 31, 2021		Borrowings(1)				Debt			Rate			in Days		Maturity
Mirae Asset Securities (USA) Inc.		$	384,095			8.4	%		0.13	%		38		10/26/2021
Wells Fargo Bank, N.A.			358,877			7.9	%		0.11	%		37		10/12/2021
J.P. Morgan Securities LLC			342,321			7.5	%		0.17	%		35		9/7/2021
ASL Capital Markets Inc.			336,552			7.4	%		0.12	%		31		10/15/2021
ABN AMRO Bank N.V.			322,087			7.1	%		0.11	%		32		10/14/2021
RBC Capital Markets, LLC			312,055			6.8	%		0.11	%		30		10/14/2021
Mitsubishi UFJ Securities (USA), Inc.			293,635			6.4	%		0.23	%		48		10/12/2021
Cantor Fitzgerald & Co.			273,321			6.0	%		0.11	%		29		10/25/2021
ING Financial Markets LLC			203,629			4.5	%		0.11	%		36		9/10/2021
Nomura Securities International, Inc.			198,532			4.4	%		0.12	%		34		10/12/2021
ED&F Man Capital Markets Inc.			198,138			4.3	%		0.14	%		60		10/26/2021
Citigroup Global Markets Inc.			187,545			4.1	%		0.12	%		11		8/11/2021
Santander Bank, N.A.			157,774			3.5	%		0.13	%		61		10/14/2021
Goldman Sachs & Co. LLC			150,079			3.3	%		0.13	%		72		10/29/2021
Barclays Capital Inc.			148,532			3.3	%		0.12	%		12		8/12/2021
BMO Capital Markets Corp.			138,923			3.0	%		0.11	%		59		10/12/2021
Merrill Lynch, Pierce, Fenner & Smith			133,886			2.9	%		0.14	%		73		10/14/2021
Daiwa Capital Markets America, Inc.			121,652			2.7	%		0.12	%		11		8/13/2021
Austin Atlantic Asset Management Co.			101,540			2.2	%		0.14	%		5		8/5/2021
South Street Securities, LLC			98,634			2.2	%		0.14	%		35		10/8/2021
Lucid Cash Fund USG, LLC			51,473			1.1	%		0.12	%		12		8/12/2021
J.V.B. Financial Group, LLC			31,605			0.7	%		0.12	%		84		10/25/2021
Lucid Prime Fund, LLC			12,952			0.3	%		0.23	%		12		8/12/2021
Total Borrowings		$	4,557,838			100.0	%		0.13	%		37		10/29/2021

(1)	In July 2021, the Company purchased assets with a fair value of approximately $260.4 million, which settle in August 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

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