Orchid Island Capital (ORC) 8-K Orchid Island Capital Announces June 2021 Monthly Dividend and RMBS Portfolio Characteristics

ORCHID ISLAND CAPITAL ANNOUNCES

JUNE 2021 MONTHLY DIVIDEND AND

MAY 31, 2021 RMBS PORTFOLIO CHARACTERISTICS

·June 2021 Monthly Dividend of $0.065 Per Share of Common Stock

·RMBS Portfolio Characteristics as of May 31, 2021

·Next Dividend Announcement Expected July 14, 2021

Vero Beach, Fla., June 15, 2021 - 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 June 2021. The dividend of $0.065 per share will be paid July 28, 2021, to holders of record of the Company’s common stock on June 30, 2021, with an ex-dividend date of June 29, 2021.  The Company plans on announcing its next common stock dividend on July 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 June 15, 2021, the Company had 107,413,793 shares of common stock outstanding. As of May 31, 2021,the Company had 101,340,113 shares of common stock outstanding. As of March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 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. 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
												May 2021	Mar - May		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 Jun)	in Jun)		(-50 BPS)(1)		(+50 BPS)(1)
Pass Through RMBS
15yr 2.5	$	232,960	$	246,395	5.72%	$	105.77	2.50%	2.87%	5	171	2.97%	3.37%	$	4,019	$	(4,735)
15yr 4.0		603		655	0.02%		108.59	4.00%	4.50%	37	119	8.06%	8.17%		7		(8)
15yr Total		233,563		247,050	5.73%		105.77	2.50%	2.88%	6	171	2.98%	3.39%		4,026		(4,743)
20yr 2.0		147,148		150,167	3.48%		102.05	2.00%	2.87%	5	235	3.55%	3.15%		2,439		(3,396)
20yr Total		147,148		150,167	3.48%		102.05	2.00%	2.87%	5	235	3.55%	3.15%		2,439		(3,396)
30yr 2.5		677,061		703,866	16.33%		103.96	2.50%	3.46%	7	350	10.58%	8.89%		12,401		(18,114)
30yr 3.0		2,182,017		2,332,316	54.12%		106.89	3.00%	3.50%	5	353	6.30%	6.75%		46,400		(60,708)
30yr 3.5		577,397		628,169	14.57%		108.79	3.50%	4.00%	18	336	16.89%	21.74%		10,550		(14,259)
30yr 4.0		50,022		55,108	1.28%		110.17	4.00%	4.63%	60	294	18.78%	27.75%		1,098		(1,201)
30yr 4.5		81,625		90,816	2.11%		111.26	4.50%	5.00%	24	332	26.63%	31.17%		1,181		(1,551)
30yr Total		3,568,122		3,810,275	88.41%		106.79	3.03%	3.63%	9	348	9.47%	11.19%		71,630		(95,833)
Total Pass Through RMBS		3,948,833		4,207,492	97.62%		106.55	2.96%	3.55%	9	334	8.86%	10.27%		78,095		(103,972)
Structured RMBS
Interest-Only Securities		628,945		98,447	2.28%		15.65	3.63%	4.19%	57	291	24.24%	40.44%		(6,964)		5,768
Inverse Interest-Only Securities		57,112		3,975	0.09%		6.96	3.79%	4.40%	45	308	15.28%	39.07%		(221)		(187)
Total Structured RMBS		686,057		102,422	2.38%		14.93	3.64%	4.21%	56	292	23.49%	40.14%		(7,185)		5,581
Total Mortgage Assets	$	4,634,890	$	4,309,914	100.00%			3.06%	3.65%	16	328	11.03%	12.50%	$	70,910	$	(98,391)
															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										$	(125)	$	125
Swaps		(1,355,000)		Dec-2026											(38,961)		38,961
5-Year Treasury Future		(269,000)		Sep-2021(2)											(8,599)		8,532
10-Year Treasury Ultra		(23,500)		Sep-2021(3)											(2,509)		1,987
TBA		(400,000)		Jun-2021											(5,619)		8,688
Swaptions		(244,350)		May-2022											(7,188)		6,301
Yield Curve Spread Floor		(150,000)		Feb-2023											n/a		n/a
Hedge Total	$	(2,491,850)												$	(63,001)	$	64,594
Rate Shock Grand Total														$	7,909	$	(33,797)

(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 $123.94 at May 31, 2021.  The market value of the short position was $333.4 million.

(3)Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at May 31, 2021.  The market value of the short position was $34.2 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 May 31, 2021				As of May 31, 2021
Fannie Mae	$	3,396,877	78.8%	Non-Whole Pool Assets	$	342,197	7.9%
Freddie Mac		913,037	21.2%	Whole Pool Assets		3,967,717	92.1%
Total Mortgage Assets	$	4,309,914	100.0%	Total Mortgage Assets	$	4,309,914	100.0%

Borrowings By Counterparty
($ in thousands)
				Weighted	Weighted
			% of	Average	Average
		Total	Total	Repo	Maturity	Longest
As of May 31, 2021		Borrowings	Debt	Rate	in Days	Maturity
Wells Fargo Bank, N.A.	$	379,933	9.2%	0.11%	34	7/12/2021
Mirae Asset Securities (USA) Inc.		368,505	8.9%	0.14%	61	8/13/2021
Mitsubishi UFJ Securities (USA), Inc.		353,215	8.5%	0.18%	44	7/26/2021
J.P. Morgan Securities LLC		345,507	8.4%	0.18%	91	9/7/2021
ASL Capital Markets Inc.		342,467	8.3%	0.11%	49	8/26/2021
RBC Capital Markets, LLC		295,929	7.2%	0.11%	63	8/12/2021
Cantor Fitzgerald & Co.		225,653	5.5%	0.12%	62	8/19/2021
ABN AMRO Bank N.V.		224,818	5.4%	0.15%	30	7/12/2021
ED&F Man Capital Markets Inc.		204,081	4.9%	0.15%	54	8/19/2021
Nomura Securities International, Inc.		201,930	4.9%	0.11%	41	7/23/2021
Citigroup Global Markets Inc.		197,170	4.8%	0.12%	42	7/12/2021
ING Financial Markets LLC		175,835	4.3%	0.12%	44	8/11/2021
Barclays Capital Inc.		150,511	3.6%	0.12%	42	7/12/2021
Merrill Lynch, Pierce, Fenner & Smith		141,669	3.4%	0.15%	43	7/14/2021
South Street Securities, LLC		98,634	2.4%	0.14%	96	10/8/2021
Goldman, Sachs & Co. LLC		96,703	2.3%	0.10%	47	7/19/2021
Daiwa Capital Markets America Inc.		96,139	2.3%	0.12%	68	8/12/2021
BMO Capital Markets Corp.		89,396	2.2%	0.13%	44	7/14/2021
Lucid Cash Fund USG LLC		62,469	1.5%	0.14%	10	6/10/2021
Austin Atlantic Asset Management Co.		48,931	1.2%	0.16%	3	6/3/2021
J.V.B. Financial Group, LLC		32,945	0.8%	0.11%	54	7/26/2021
Total Borrowings	$	4,132,440	100.0%	0.13%	52	10/8/2021

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400