Orchid Island Capital Announces December 2019 Monthly Dividend and November 30, 2019 RMBS Portfolio Characteristics

• December 2019 Monthly Dividend of $0.08 Per Share
• RMBS Portfolio Characteristics as of November 30, 2019
• Next Dividend Announcement Expected January 16, 2020

VERO BEACH, Fla., Dec. 12, 2019 (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 December 2019. The dividend of $0.08 per share will be paid January 31, 2020, to holders of record on December 31, 2019, with an ex-dividend date of December 30, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on January 16, 2020.

The Company intends to make regular monthly cash distributions to its stockholders. 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 December 12, 2019, the Company had 63,058,209 shares outstanding. At September 30, 2019, the Company also had 63,058,209 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 30, 2019 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. Orchid 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 Form 10-K for the year ended December 31, 2018.

RMBS Valuation Characteristics
($ in thousands)
																Realized		Realized
																Nov 2019		Sep - Nov			Modeled			Modeled
										Net					Weighted	CPR		2019 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 Dec)		in Dec)			(-50 BPS)(2)			(+50 BPS)(2)
Pass Through RMBS
Post Reset ARM	$	967		$	993	0.03	%	$	102.75	4.51	%	4.96	%	184	177	0.00	%	36.17	%	$	3		$	(3	)
Fixed Rate CMO		298,581			310,839	8.21	%		104.11	4.21	%	4.57	%	25	332	20.99	%	23.81	%		1,264			(2,140	)
15yr 4.0		19,118			20,054	0.53	%		104.89	4.00	%	4.45	%	18	154	12.34	%	19.48	%		247			(289	)
15yr Total		19,118			20,054	0.53	%		104.89	4.00	%	4.45	%	18	154	12.34	%	19.48	%		247			(289	)
20yr 4.0		80,829			86,878	2.29	%		107.48	4.00	%	4.48	%	28	207	7.50	%	10.14	%		1,703			(1,802	)
20yr Total		80,829			86,878	2.29	%		107.48	4.00	%	4.48	%	28	207	7.50	%	10.14	%		1,703			(1,802	)
30yr 3.0		201,243			205,458	5.43	%		102.09	3.00	%	3.91	%	5	355	4.83	%	5.21	%		3,812			(5,083	)
30yr 3.5		705,146			737,739	19.48	%		104.62	3.50	%	4.15	%	5	352	5.73	%	7.20	%		12,976			(16,990	)
30yr 4.0		1,036,094			1,103,147	29.14	%		106.47	4.00	%	4.59	%	15	342	13.77	%	21.13	%		16,012			(21,005	)
30yr 4.5		406,236			438,637	11.58	%		107.98	4.50	%	5.04	%	12	347	11.28	%	12.48	%		4,620			(6,456	)
30yr 5.0		707,846			778,729	20.57	%		110.01	5.00	%	5.52	%	18	339	19.25	%	18.81	%		7,719			(10,067	)
30yr Total		3,056,565			3,263,710	86.20	%		106.78	4.12	%	4.72	%	12	345	12.27	%	15.92	%		45,139			(59,601	)
Total Pass Through RMBS		3,456,060			3,682,474	97.26	%		106.55	4.12	%	4.70	%	14	340	12.91	%	16.64	%		48,356			(63,835	)
Structured RMBS
Interest-Only Securities		674,829			79,266	2.09	%		11.75	3.76	%	4.34	%	71	245	20.84	%	22.58	%		(9,207	)		10,131
Inverse Interest-Only Securities		190,769			24,528	0.65	%		12.86	3.36	%	4.86	%	65	285	13.01	%	14.12	%		1,267			(1,997	)
Total Structured RMBS		865,598			103,794	2.74	%		11.99	3.67	%	4.46	%	70	254	19.12	%	20.72	%		(7,940	)		8,134
Total Mortgage Assets	$	4,321,658		$	3,786,268	100.00	%			4.03	%	4.65	%	25	323	14.15	%	17.61	%	$	40,416		$	(55,701	)
																					Interest			Interest
		Average			Hedge																Rate			Rate
		Notional			Period																Sensitivity			Sensitivity
Hedge		Balance			End																(-50 BPS)(2)			(+50 BPS)(2)
Eurodollar Futures	$	(500,000	)		Dec-2020																(2,500	)		2,500
Swaps		(1,270,000	)		Oct-2023																(25,373	)		25,373
5-Year Treasury Futures		(140,000	)		Mar-2020(3)																(4,165	)		4,039
5-Year Treasury Futures
Hedge Total	$	(1,910,000	)																	$	(32,038	)	$	31,912
Rate Shock Grand Total																				$	8,378		$	(23,789	)

1. Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December 2019, and exclude assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 2019.
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 $118.97 at November 30, 2019.  The notional contract value of the short position was $166.6 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 November 30, 2019						As of November 30, 2019
Fannie Mae	$	3,032,350	80.1	%		Non-Whole Pool Assets	$	608,884	16.1	%
Freddie Mac		751,672	19.8	%		Whole Pool Assets		3,177,384	83.9	%
Ginnie Mae		2,246	0.1	%		Total Mortgage Assets	$	3,786,268	100.0	%
Total Mortgage Assets	$	3,786,268	100.0	%

1. Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December 2019, and exclude assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 2019.

Borrowings By Counterparty
($ in thousands)
							Weighted		Weighted
				% of			Average		Average
		Total		Total			Repo		Maturity	Longest
As of November 30, 2019		Borrowings		Debt			Rate		in Days	Maturity
Wells Fargo Bank, N.A.	$	391,976		11.0	%		1.92	%	65	2/11/2020
RBC Capital Markets, LLC		336,010		9.4	%		2.14	%	32	1/29/2020
J.P. Morgan Securities LLC		332,677		9.3	%		2.05	%	12	12/30/2019
Mirae Asset Securities (USA) Inc.		332,079		9.2	%		1.98	%	70	2/13/2020
Cantor Fitzgerald & Co		290,932		8.1	%		1.97	%	44	1/13/2020
Citigroup Global Markets Inc		224,938		6.2	%		2.11	%	42	1/14/2020
ASL Capital Markets Inc.		216,883		6.0	%		1.98	%	39	1/29/2020
ED&F Man Capital Markets Inc		201,828		5.6	%		1.99	%	56	2/10/2020
Mitsubishi UFJ Securities (USA), Inc		181,032		5.0	%		1.92	%	25	1/28/2020
ING Financial Markets LLC		170,823		4.7	%		2.04	%	48	1/27/2020
ABN AMRO Bank N.V.		151,531		4.2	%		1.89	%	9	12/9/2019
South Street Securities, LLC		149,391		4.1	%		2.47	%	108	4/9/2020
Daiwa Securities America Inc.		109,289		3.0	%		1.90	%	33	2/10/2020
ICBC Financial Services LLC		98,363		2.7	%		1.88	%	16	12/16/2019
Guggenheim Securities, LLC		89,143		2.5	%		1.99	%	52	1/30/2020
FHLB-Cincinnati		82,778		2.3	%		1.73	%	2	12/2/2019
Lucid Cash Fund USG LLC		65,647		1.8	%		1.91	%	12	12/12/2019
Bank of Montreal		61,149		1.7	%		1.97	%	41	1/13/2020
Nomura Securities International, Inc.		47,372		1.3	%		1.97	%	44	1/13/2020
Bank of America		37,064		1.0	%		2.00	%	10	12/12/2019
J.V.B. Financial Group, LLC		28,245		0.8	%		2.19	%	27	1/6/2020
Mizuho Securities USA, Inc		3,745		0.1	%		2.31	%	17	12/17/2019
Total Borrowings	$	3,602,894		100.0	%		2.01	%	42	4/9/2020

1. In November 2019, the Company purchased assets with a fair value of approximately $4.2 million, which settle in December 2019 that are expected to be funded by repurchase agreements. The anticipated borrowings are not included in the table above. Also, in November 2019, the Company sold assets with a fair value of approximately $13.9 million, which settle in December 2019 that collateralize approximately $4.6 million of repurchase agreements included in the table above.

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: [phone]