Orchid Island Capital Announces November 2022 Monthly Dividend and October 31, 2022 Rmbs Portfolio Characteristics

Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of November 2022. The dividend of $0.16 per share will be paid December 28, 2022 to holders of record of the Company’s common stock on November 30, 2022, with an ex-dividend date of November 29, 2022. The Company plans on announcing its next common stock dividend on December 13, 2022.

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, 2022 and October 31, 2022, the Company had 33,422,207 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 2022 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, 2021.

RMBS Valuation Characteristics
($ in thousands)
												Realized	Realized
												Oct 2022	Aug - Oct		Modeled		Modeled
								Net			Weighted	CPR	2022 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 4.0	$	405	$	390	0.01%	$	96.25	4.00%	4.54%	54	125	0.8%	0.7%	$	7	$	(7)
15yr Total		405		390	0.01%		96.25	4.00%	4.54%	54	125	0.8%	0.7%		7		(7)
30yr 3.0		2,584,539		2,213,102	71.79%		85.63	3.00%	3.44%	18	338	4.9%	5.4%		70,275		(72,234)
30yr 3.5		217,939		194,697	6.32%		89.34	3.50%	4.03%	32	319	5.4%	7.4%		5,347		(5,469)
30yr 4.0		275,109		251,726	8.17%		91.50	4.00%	4.72%	16	342	7.1%	7.4%		6,265		(6,710)
30yr 4.5		370,457		348,462	11.30%		94.06	4.50%	5.45%	4	356	1.2%	n/a		7,203		(7,963)
30yr 5.0		54,638		52,785	1.71%		96.61	5.00%	5.92%	4	356	0.1%	4.9%		934		(1,065)
30yr Total		3,502,682		3,060,772	99.29%		87.38	3.30%	3.83%	17	340	4.7%	5.7%		90,024		(93,441)
Total Pass Through RMBS		3,503,087		3,061,162	99.30%		87.38	3.30%	3.83%	17	340	4.7%	5.7%		90,031		(93,448)
Structured RMBS
IO 20yr 4.0		11,124		1,293	0.04%		11.62	4.00%	4.57%	130	103	7.9%	10.9%		6		(7)
IO 30yr 3.0		3,242		403	0.01%		12.42	3.00%	3.64%	93	257	0.8%	17.3%		(1)		-
IO 30yr 4.0		93,045		18,112	0.59%		19.47	4.00%	4.60%	98	253	5.8%	8.7%		(422)		307
IO 30yr 4.5		4,004		767	0.02%		19.15	4.50%	4.99%	148	199	6.6%	9.7%		(8)		4
IO 30yr 5.0		2,232		461	0.01%		20.64	5.00%	5.36%	148	200	4.8%	2.9%		(8)		6
IO Total		113,647		21,036	0.68%		18.51	4.01%	4.60%	104	235	5.9%	9.1%		(433)		310
IIO 30yr 4.0		32,399		454	0.01%		1.40	1.01%	4.40%	61	288	1.9%	9.2%		118		(99)
Total Structured RMBS		146,046		21,490	0.70%		14.71	3.34%	4.55%	95	247	5.0%	9.1%		(315)		211

Total Mortgage Assets	$	3,649,133	$	3,082,652	100.00%			0.00%	0.00%	-	-	0.0%	0.0%	$	89,716	$	(93,237)

					Interest		Interest
		Average	Hedge		Rate		Rate
		Notional	Period		Sensitivity		Sensitivity
Hedge		Balance	End		(-50 BPS)⁽¹⁾		(+50 BPS)⁽¹⁾
5-Year Treasury Future⁽²⁾	$	(750,500)	Dec-2022	$	(17,228)	$	16,777
10-Year Treasury Ultra⁽³⁾		(174,500)	Dec-2022		(10,037)		8,880
Swaps		(1,400,000)	Jul-2028		(32,381)		31,321
TBA		(675,000)	Nov-2022		(18,570)		19,335
Swaptions		(613,000)	Jan-2024		(10,424)		10,520
Hedge Total	$	(3,613,000)		$	(88,640)	$	86,833
Rate Shock Grand Total				$	1,076	$	(6,404)

(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 $106.59 at October 31, 2022. The market value of the short position was $800.0 million.
(3)		Ten-year Treasury Ultra futures contracts were valued at prices of $115.98 at October 31, 2022. The market value of the short position was $202.4 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, 2022				As of October 31, 2022
Fannie Mae	$	2,168,149	70.3%	Non-Whole Pool Assets	$	108,419	3.5%
Freddie Mac		914,502	29.7%	Whole Pool Assets		2,974,232	96.5%
Total Mortgage Assets	$	3,082,651	100.0%	Total Mortgage Assets	$	3,082,651	100.0%

Borrowings By Counterparty
($ in thousands)
				Weighted	Weighted
			% of	Average	Average
		Total	Total	Repo	Maturity	Longest
As of October 31, 2022		Borrowings	Debt	Rate	in Days	Maturity
Daiwa Capital Markets America Inc.	$	299,275	10.1%	3.28%	8	11/14/2022
Mirae Asset Securities (USA) Inc.		282,056	9.5%	3.26%	31	1/30/2023
Merrill Lynch, Pierce, Fenner & Smith		276,667	9.3%	3.33%	8	11/28/2022
Cantor Fitzgerald & Co		234,245	7.9%	3.04%	5	11/16/2022
J.P. Morgan Securities LLC		211,828	7.1%	3.45%	11	11/23/2022
ABN AMRO Bank N.V.		194,818	6.5%	2.89%	13	11/15/2022
ED&F Man Capital Markets Inc		190,418	6.4%	3.33%	20	12/19/2022
Mitsubishi UFJ Securities (USA), Inc		179,723	6.0%	3.39%	19	11/30/2022
RBC Capital Markets, LLC		163,728	5.5%	3.27%	7	11/14/2022
ING Financial Markets LLC		149,958	5.0%	3.14%	3	11/3/2022
Goldman, Sachs & Co.		126,280	4.2%	3.33%	17	11/23/2022
Santander Bank, N.A.		113,142	3.8%	3.69%	24	11/28/2022
Citigroup Global Markets Inc		102,839	3.4%	3.43%	14	11/23/2022
Wells Fargo Bank, N.A.		100,591	3.4%	2.96%	11	11/14/2022
Nomura Securities International, Inc.		90,100	3.0%	3.14%	14	11/14/2022
BMO Capital Markets Corp.		74,900	2.5%	3.71%	23	11/23/2022
StoneX Financial Inc.		72,310	2.4%	3.14%	4	11/4/2022
ASL Capital Markets Inc.		62,041	2.1%	3.55%	21	11/21/2022
South Street Securities, LLC		35,829	1.2%	3.56%	18	11/18/2022
Lucid Cash Fund USG, LLC		21,069	0.7%	3.34%	10	11/10/2022
Total Borrowings	$	2,981,817	100.0%	3.28%	14	1/30/2023