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

VERO BEACH, FL - Nov. 9, 2021

VERO BEACH, Fla.--(BUSINESS WIRE)-- 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)⁽¹⁾			(+50 BPS)⁽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 Through RMBS		5,780,854		6,119,413	97.71	%		105.86	2.93	%	3.47	%	8	343	8.9	%	9.7	%		102,010			(139,497	)
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 RMBS		1,087,139		143,450	2.29	%		13.20	3.38	%	3.99	%	59	247	27.0	%	26.0	%		(12,708	)		9,461

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

					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	)

(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.

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 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	%

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

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

Source: Orchid Island Capital, Inc.

View original content: Businesswire

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REIT Profile

Orchid Island Capital, Inc.
Symbol: ORC
CIK: 1518621
Exchange: NYSE
Founded: 2010 (14 years)
Type of REIT: Mortgage REIT
Listing Status: Public
Market Capitalization: Small-Cap
REIT Sector: Mortgage
Externally Managed REIT

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Last updated: 2024-07-05 12:57:01 PST