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Orchid Island Capital Announces March 2021 Monthly Dividend and February 28, 2021 RMBS Portfolio Characteristics
Wednesday March 17, 2021. 11:01 PM , from Digital Pro Sound
March 2021 Monthly Dividend of $0.065 Per Share of Common Stock
RMBS Portfolio Characteristics as of February 28, 2021 Next Dividend Announcement Expected April 14, 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 March 2021. The dividend of $0.065 per share will be paid April 28, 2021, to holders of record of the Company’s common stock on March 31, 2021, with an ex-dividend date of March 30, 2021. The Company plans on announcing its next common stock dividend on April 14, 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 March 17, 2021, the Company had 94,321,365 shares of common stock outstanding. As of February 28, 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 February 28, 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 Feb 2021 Dec – Feb 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 Mar) in Mar) (-50 BPS)(1) (+50 BPS)(1) Pass Through RMBS 15yr 2.5 $ 238,175 $ 253,790 6.55 % $ 106.56 2.50 % 2.87 % 2 174 2.41 % n/a $ 4,295 $ (4,998 ) 15yr 4.0 629 676 0.02 % 107.58 4.00 % 4.50 % 34 122 8.05 % 18.57 % 8 (9 ) 15yr Total 238,804 254,466 6.56 % 106.56 2.50 % 2.88 % 3 174 2.43 % 18.57 % 4,303 (5,007 ) 20yr 2.0 395,950 407,705 10.52 % 102.97 2.00 % 2.86 % 3 237 3.26 % 3.22 % 6,322 (8,905 ) 20yr Total 395,950 407,705 10.52 % 102.97 2.00 % 2.86 % 3 237 3.26 % 3.22 % 6,322 (8,905 ) 30yr 2.5 1,231,466 1,287,446 33.21 % 104.55 2.50 % 3.31 % 4 354 4.52 % 4.19 % 25,433 (34,380 ) 30yr 3.0 846,209 919,714 23.72 % 108.69 3.00 % 3.48 % 6 353 6.67 % 7.14 % 21,029 (24,742 ) 30yr 3.5 607,218 668,872 17.25 % 110.15 3.50 % 4.00 % 15 339 19.91 % 19.18 % 10,390 (14,645 ) 30yr 4.0 176,155 198,298 5.11 % 112.57 4.00 % 4.51 % 30 322 15.26 % 19.26 % 3,839 (4,375 ) 30yr 4.5 90,796 102,649 2.65 % 113.05 4.50 % 5.00 % 21 335 30.97 % 29.10 % 1,142 (1,622 ) 30yr Total 2,951,844 3,176,979 81.94 % 107.63 3.00 % 3.62 % 9 348 9.76 % 10.92 % 61,833 (79,764 ) Total Pass Through RMBS 3,586,598 3,839,150 99.02 % 107.04 2.86 % 3.49 % 8 324 8.55 % 10.20 % 72,458 (93,676 ) Structured RMBS Interest-Only Securities 238,355 33,354 0.86 % 13.99 3.98 % 4.57 % 80 265 35.64 % 40.44 % (3,881 ) 3,642 Inverse Interest-Only Securities 69,363 4,644 0.12 % 6.69 3.74 % 4.40 % 42 312 27.54 % n/a (214 ) (264 ) Total Structured RMBS 307,718 37,998 0.98 % 12.35 3.93 % 4.53 % 71 276 33.81 % 40.44 % (4,095 ) 3,378 Total Mortgage Assets $ 3,894,316 $ 3,877,148 100.00 % 2.94 % 3.57 % 13 320 10.55 % 12.71 % $ 68,363 $ (90,298 ) 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 $ (250 ) $ 250 Swaps (855,000 ) Apr-2026 (22,245 ) 22,245 5-Year Treasury Future (69,000 ) Mar-2021(2) (2,200 ) 2,226 TBA (828,000 ) Feb-2021 (11,826 ) 17,986 Swaptions (725,350 ) Feb-2022 (5,564 ) 8,405 Yield Curve Spread Floor (150,000 ) Feb-2023 n/a n/a Hedge Total $ (1,226,650 )
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