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Orchid Island Capital Announces February 2021 Monthly Dividend and January 31, 2021 RMBS Portfolio Characteristics
Thursday February 11, 2021. 12:01 AM , from Digital Pro Sound
February 2021 Monthly Dividend of $0.065 Per Share of Common Stock
RMBS Portfolio Characteristics as of January 31, 2021 Next Dividend Announcement Expected March 17, 2021 VERO BEACH, Fla.–(BUSINESS WIRE)–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 2021. The dividend of $0.065 per share will be paid March 29, 2021, to holders of record of the Company’s common stock on February 26, 2021, with an ex-dividend date of February 25, 2021. The Company plans on announcing its next common stock dividend on March 17, 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 February 10, 2021 and January 31, 2021, the Company had 85,121,365 shares of common stock outstanding. As of December 31, 2020, the Company had 76,073,317 shares of common stock outstanding. RMBS Portfolio Characteristics Details of the RMBS portfolio as of January 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 the expected funding of purchased assets and anticipated borrowings. 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, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020. RMBS Valuation Characteristics ($ in thousands) Realized Realized Jan 2021 Nov – Jan 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 Feb) in Feb) (-50 BPS)(2) (+50 BPS)(2) Pass Through RMBS Fixed Rate CMO $ 72,203 $ 76,982 1.73% $ 106.62 4.00% 4.40% 41 313 28.80% 32.06% $ (201) $ (346) 15yr 2.5 239,845 257,515 5.78% 107.37 2.50% 2.87% 1 176 2.83% n/a 3,026 (4,597) 15yr 4.0 647 697 0.02% 107.67 4.00% 4.50% 33 122 23.80% 22.91% 5 (9) 15yr Total 240,492 258,212 5.79% 107.37 2.50% 2.88% 2 176 2.88% 22.91% 3,031 (4,606) 20yr 2.0 397,839 413,008 9.26% 103.81 2.00% 2.86% 2 238 2.63% 2.73% 3,109 (6,803) 20yr Total 397,839 413,008 9.26% 103.81 2.00% 2.86% 2 238 2.63% 2.73% 3,109 (6,803) 30yr 2.5 1,236,221 1,315,433 29.50% 106.41 2.50% 3.31% 3 355 2.58% 4.36% 13,390 (26,285) 30yr 3.0 809,658 891,249 19.99% 110.08 3.00% 3.48% 5 354 6.41% 6.90% 14,818 (21,213) 30yr 3.5 617,482 683,643 15.33% 110.71 3.50% 4.00% 14 340 16.22% 18.60% 5,280 (11,056) 30yr 4.0 180,120 203,249 4.56% 112.84 4.00% 4.51% 29 324 21.94% 19.18% 2,929 (4,179) 30yr 4.5 93,291 105,442 2.37% 113.02 4.50% 5.00% 20 336 26.50% 25.98% 588 (1,301) 30yr Total 2,936,772 3,199,016 71.75% 108.93 3.00% 3.63% 8 349 8.45% 11.64% 37,005 (64,034) Total Pass Through RMBS 3,647,306 3,947,218 88.53% 108.22 2.88% 3.51% 8 325 7.92% 11.91% 42,944 (75,789) Structured RMBS Interest-Only Securities 249,787 29,573 0.66% 11.84 3.98% 4.57% 79 267 38.55% 42.56% (3,926) 3,629 Total Structured RMBS 249,787 29,573 0.66% 11.84 3.98% 4.57% 79 267 38.55% 42.56% (3,926) 3,629 Long TBA Positions FNCL 2.0 TBA 365,000 376,349 8.44% 103.11 2.00% 4,983 (8,295) FNCL 2.5 TBA 100,000 105,234 2.36% 105.23 2.50% 636 (1,700) Total Long TBA 465,000 481,583 10.80% 103.57 2.11% 5,619 (9,995) Total Mortgage Assets $ 4,362,093 $ 4,458,374 100.00% 2.86% 3.58% 12 321 9.90% 14.87% $ 44,637 $ (82,155) 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 $ (250) $ 250 Swaps (855,000) Apr-2026 (10,103) 22,356 5-Year Treasury Futures (69,000) Mar-2021(3) (2,217) 2,340 TBA (528,000) Feb-2021 (2,478) 6,912 Swaptions (733,450) Feb-2022 (5,848) 6,329 Hedge Total $ (2,235,450) $ (20,896) $ 38,187 Rate Shock Grand Total $ 23,741 $ (43,968) (1) Amounts in the tables above include assets with a fair value of approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 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 $125.88 at January 31, 2021. The market value of the short position was $86.9 million. RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test ($ in thousands) ($ in thousands) Percentage Percentage Fair of Fair of Asset Category Value(1)(2) Portfolio Asset Category Value(1)(2) Portfolio As of January 31, 2021 As of January 31, 2021 Fannie Mae $ 3,087,564 77.6% Non-Whole Pool Assets $ 569,507 14.3% Freddie Mac 889,228 22.4% Whole Pool Assets 3,407,285 85.7% Total Mortgage Assets $ 3,976,792 100.0% Total Mortgage Assets $ 3,976,792 100.0% (1) Amounts in the tables above include assets with a fair value of approximately $46.7 million purchased in January 2021, which settle in February 2021, and exclude assets with a fair value of approximately $80.5 million sold in January 2021, which settle in February 2021. (2) Amounts in the tables above exclude long TBA positions with a market value of approximately $481.6 million. Borrowings By Counterparty ($ in thousands) Weighted Weighted % of Average Average Total Total Repo Maturity Longest As of January 31, 2021 Borrowings(1) Debt Rate in Days Maturity Wells Fargo Bank, N.A. $ 411,276 10.8% 0.21% 44 4/19/2021 Mirae Asset Securities (USA) Inc. 395,393 10.3% 0.23% 49 7/26/2021 J.P. Morgan Securities LLC 382,267 10.0% 0.24% 56 7/21/2021 Mitsubishi UFJ Securities (USA), Inc 334,442 8.7% 0.21% 76 4/26/2021 ASL Capital Markets Inc. 269,629 7.0% 0.20% 21 4/26/2021 Cantor Fitzgerald & Co. 236,033 6.1% 0.21% 18 4/22/2021 RBC Capital Markets, LLC 230,058 6.0% 0.20% 22 4/19/2021 Citigroup Global Markets Inc 213,413 5.6% 0.20% 11 2/11/2021 Nomura Securities International, Inc. 211,464 5.5% 0.20% 35 4/19/2021 ED&F Man Capital Markets Inc 162,935 4.2% 0.20% 94 7/26/2021 Barclays Capital Inc. 156,684 4.1% 0.21% 12 2/12/2021 Merrill Lynch, Pierce, Fenner & Smith 149,500 3.9% 0.21% 11 3/2/2021 ING Financial Markets LLC 123,519 3.2% 0.21% 73 4/14/2021 ABN AMRO Bank N.V.
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