AP NEWS
Press release content from Globe Newswire. The AP news staff was not involved in its creation.
PRESS RELEASE: Paid content from Globe Newswire
Press release content from Globe Newswire. The AP news staff was not involved in its creation.

Orchid Island Capital Announces February 2020 Monthly Dividend and January 31, 2020 RMBS Portfolio Characteristics

February 12, 2020 GMT

-- February 2020 Monthly Dividend of $0.08 Per Share -- RMBS Portfolio Characteristics as of January 31, 2020 -- Next Dividend Announcement Expected March 18, 2020

VERO BEACH, Fla., Feb. 12, 2020 (GLOBE NEWSWIRE) -- 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 February 2020. The dividend of $0.08 per share will be paid March 27, 2020, to holders of record on February 28, 2020, with an ex-dividend date of February 27, 2020. The Company plans on announcing its next dividend after the Board’s meeting on March 18, 2020.

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 February 11, 2020, the Company had 64,524,495 shares outstanding. As of January 31, 2020, the Company had 63,633,908 shares outstanding. As of December 31, 2020, the Company had 63,061,781 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 31, 2020 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 issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, 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 Form 10-K for the year ended December 31, 2018.

RMBS Valuation Characteristics ($ in thousands) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- RealizedRealized Jan Nov - Modeled Modeled 2020 Jan Net Weighted CPR 2020 Interest Interest CPR % Weighte Average (1-Month(3-Month Rate Rate d ) ) Current Fair of Current Average Maturity (Reporte(Reporte Sensitivit Sensitivit d d y y Type Face Value Portfolio Price Coupon GWAC Age (Months) in Feb) in Feb) (-50 BPS) (+50 BPS) (1) (1) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Pass Through RMBS Post Reset $ 959 $ 986 0.03 % $ 102.78 4.51 % 4.96 % 186 175 0.00 % 0.00 % $ 3 $ (2 ) ARM Fixed Rate 276,925 289,275 7.60 % 104.46 4.20 % 4.56 % 27 330 14.50 % 18.29 % 882 (1,568 ) CMO 15yr 4.0 18,407 19,492 0.51 % 105.89 4.00 % 4.45 % 20 153 11.36 % 14.17 % 216 (252 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 15yr Total 18,407 19,492 0.51 % 105.89 4.00 % 4.45 % 20 153 11.36 % 14.17 % 216 (252 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr 4.0 78,993 85,991 2.26 % 108.86 4.00 % 4.48 % 30 205 10.30 % 9.69 % 1,587 (1,696 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr Total 78,993 85,991 2.26 % 108.86 4.00 % 4.48 % 30 205 10.30 % 9.69 % 1,587 (1,696 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr 3.0 199,413 205,676 5.40 % 103.14 3.00 % 3.91 % 7 352 2.27 % 3.16 % 3,066 (4,300 ) 30yr 3.5 1,175,801 1,242,718 32.63 % 105.69 3.50 % 4.16 % 6 352 4.16 % 4.73 % 17,305 (23,630 ) 30yr 4.0 1,004,994 1,082,331 28.42 % 107.70 4.00 % 4.59 % 17 340 12.75 % 16.25 % 13,327 (17,504 ) 30yr 4.5 476,410 523,045 13.73 % 109.79 4.50 % 5.01 % 11 347 13.03 % 13.54 % 4,957 (6,810 ) 30yr 5.0 252,508 281,926 7.40 % 111.65 5.00 % 5.51 % 20 337 15.91 % 15.92 % 3,046 (3,731 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr Total 3,109,126 3,335,696 87.59 % 107.29 3.90 % 4.52 % 11 346 9.13 % 11.54 % 41,701 (55,975 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Pass 3,484,410 3,731,440 97.98 % 107.09 3.93 % 4.53 % 13 340 9.59 % 12.16 % 44,389 (59,493 ) Through RMBS ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Structured RMBS Interest-Only 405,173 52,955 1.39 % 13.07 4.00 % 4.59 % 67 281 21.28 % 23.55 % (5,946 ) 7,375 Securities Inverse Interest-Only 183,284 23,924 0.63 % 13.05 3.42 % 4.86 % 67 284 11.22 % 13.83 % 868 (1,586 ) Securities ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Structured 588,457 76,879 2.02 % 13.06 3.82 % 4.68 % 67 282 18.15 % 20.52 % (5,078 ) 5,789 RMBS ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Mortgage $ 4,072,867 $ 3,808,319 100.00 % 3.91 % 4.55 % 21 332 10.83 % 13.58 % $ 39,311 $ (53,704 ) Assets ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Interest Interest Average Hedge Rate Rate Notional Period Sensitivit Sensitivit y y Hedge Balance End (-50 BPS) (+50 BPS) (1) (1) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Eurodollar $ (500,000 ) Dec-2020 (2,500 ) 2,500 Futures Swaps (1,270,000 ) Oct-2023 (25,275 ) 25,275 5-Year Mar-2020 Treasury (69,000 ) (2) (2,149 ) 1,965 Futures TBA Short (300,000 ) Jan-2020 (1,254 ) 1,876 Swaptions (250,000 ) Apr-2020 (173 ) 1,754 ------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Hedge Total $ (2,389,000 ) $ (31,351 ) $ 33,370 ------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Rate Shock $ 7,960 $ (20,334 ) Grand 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 $120.32 at January 31, 2020. The market value of the short position was $83.0 million.

RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test ($ in thousands) ($ in thousands) ---------------------- - --------- ------- ---------------------- - --------- ------- Percenta Percenta ge ge Fair of Fair of Asset Category Value Portfoli Asset Category Value Portfoli o o ---------------------- - --------- ------- ---------------------- - --------- ------- As of January 31, 2020 As of January 31, 2020 Fannie Mae $ 2,349,892 61.7 % Non-Whole Pool Assets $ 555,512 14.6 % Freddie Mac 1,458,427 38.3 % Whole Pool Assets 3,252,807 85.4 % ---------------------- - --------- ----- - ---------------------- - --------- ----- - Total Mortgage Assets $ 3,808,319 100.0 % Total Mortgage Assets $ 3,808,319 100.0 % ---------------------- - --------- ----- - ---------------------- - --------- ----- -

Borrowings By Counterparty ($ in thousands) ------------------------------------- - ---------- ------- ------ -------- --------- WeighteWeighted d % of AverageAverage Total Total Repo Maturity Longest As of January 31, 2020 Borrowings Debt Rate in Days Maturity ------------------------------------- - ---------- ------- ------ -------- --------- Wells Fargo Bank, N.A. $ 420,185 11.3 % 1.84 % 11 2/20/2020 J.P. Morgan Securities LLC 380,046 10.5 % 1.75 % 12 2/28/2020 Mirae Asset Securities (USA) Inc. 337,302 9.3 % 1.96 % 11 2/13/2020 Cantor Fitzgerald & Co 298,553 8.2 % 1.74 % 12 2/12/2020 Mitsubishi UFJ Securities (USA), Inc 280,152 7.7 % 1.75 % 65 4/13/2020 Citigroup Global Markets Inc 213,190 5.9 % 1.76 % 12 2/14/2020 ASL Capital Markets Inc. 206,626 5.7 % 1.78 % 15 2/28/2020 ABN AMRO Bank N.V. 206,319 5.7 % 1.72 % 11 2/14/2020 ED&F Man Capital Markets Inc 201,385 5.6 % 1.97 % 9 2/13/2020 RBC Capital Markets, LLC 168,764 4.7 % 1.78 % 14 2/28/2020 ING Financial Markets LLC 165,457 4.6 % 1.75 % 17 2/26/2020 South Street Securities, LLC 149,064 4.1 % 2.49 % 58 4/9/2020 Daiwa Securities America Inc. 112,436 3.1 % 1.94 % 7 2/10/2020 ICBC Financial Services LLC 96,319 2.7 % 1.75 % 28 2/28/2020 Guggenheim Securities, LLC 90,875 2.5 % 1.75 % 22 2/28/2020 FHLB-Cincinnati 88,885 2.5 % 1.67 % 3 2/3/2020 Lucid Cash Fund USG LLC 65,922 1.8 % 1.79 % 13 2/13/2020 Bank of Montreal 58,418 1.6 % 1.78 % 13 2/13/2020 Nomura Securities International, Inc. 46,775 1.3 % 1.74 % 12 2/12/2020 J.V.B. Financial Group, LLC 28,979 0.8 % 1.75 % 18 2/18/2020 Merrill Lynch, Pierce, Fenner & Smith 9,116 0.3 % 2.31 % 3 2/3/2020 Mizuho Securities USA, Inc 1,911 0.1 % 2.20 % 19 2/19/2020 ------------------------------------- - ---------- ----- - ---- - -------- --------- Total Borrowings $ 3,626,679 100.0 % 1.83 % 18 4/13/2020 ------------------------------------- - ---------- ----- - ---- - -------- ---------

Contact:

Orchid Island Capital, Inc.Robert E. Cauley3305 Flamingo Drive, Vero Beach, Florida 32963Telephone: (772) 231-1400