Orchid Island Capital Announces July 2019 Monthly Dividend and June 30, 2019 RMBS Portfolio Characteristics


July 2019 Monthly Dividend of $0.08 Per ShareEstimated Book Value Per Share as of June 30, 2019 of $6.63Estimated GAAP net income of $0.07 per share for the quarter ended June 30, 2019, including an estimated $0.15 per share of net realized and unrealized losses on RMBS and derivative instrumentsEstimated 0.7% total return on equity for the quarter, or 2.9% annualizedEstimated 3.9% total return for the six months ended June 30, 2019, or 7.9% annualizedEstimated book value, net loss and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firmRMBS Portfolio Characteristics as of June 30, 2019Next Dividend Announcement Expected August 14, 2019 VERO BEACH, Fla., July 17, 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 July 2019. The dividend of $0.08 per share will be paid August 30, 2019 to holders of record on July 31, 2019, with an ex-dividend date of July 30, 2019. The Company plans on announcing its next dividend after the Board’s meeting on August 14, 2019. 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 July 17, 2019, the Company had 56,054,298 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding. Estimated June 30, 2019 Book Value Per Share The Company’s estimated book value per share as of June 30, 2019 was $6.63.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2019, the Company's preliminary estimated total stockholders' equity was approximately $359.7 million with 54,282,997 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.  Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments The Company estimates it generated net income per share of $0.07, which includes $0.15 per share of net realized  and unrealized losses on RMBS and derivative instruments for the quarter ended June 30, 2019.  These amounts compare to total dividends declared during the quarter of $0.24 per share.  Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income.  The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.  Estimated Total Return on Equity The Company’s estimated total return on equity for the quarter ended June 30, 2019 was 0.7%, or 2.9% on an annualized basis. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter.  The total return was $0.05 per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $0.19 from March 31, 2019. RMBS Portfolio Characteristics Details of the RMBS portfolio as of June 30, 2019 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended June 30, 2019, are subject to review by the Company’s independent registered public accounting firm. RMBS Valuation CharacteristicsRMBS Assets by AgencyInvestment Company Act of 1940 Whole Pool Test ResultsRepurchase Agreement Exposure by CounterpartyRMBS Risk Measures About Orchid Island Capital, Inc. Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes. Forward-Looking Statements This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2018. RMBS Valuation Characteristics($ in thousands)                             RealizedRealized                Jun 2019Apr - Jun Modeled Modeled        Net  WeightedCPR2019 CPR Interest Interest     %  Weighted  Average(1-Month)(3-Month) Rate Rate  Current Fairof CurrentAverage  Maturity(Reported(Reported Sensitivity SensitivityType Face ValuePortfolio PriceCouponGWACAge(Months)in Jul)in Jul) (-50 BPS)(1) (+50 BPS)(1)Pass Through RMBS                 Post Reset ARM$1,127$1,1940.03%$105.894.78%5.22% 178 1830.01%- $8 $(7)Fixed Rate CMO 648,388 674,57819.12% 104.044.26%4.60% 17 34016.82%16.26% (1,472) 231 15yr 4.0 393,098 417,11411.83% 106.114.00%4.53% 13 16310.81%9.87% 6,431  (6,949)15yr Total 393,098 417,11411.83% 106.114.00%4.53% 13 16310.81%9.87% 6,431  (6,949)20yr 4.0 85,617 91,5792.60% 106.964.00%4.48% 23 2135.70%9.06% 1,764  (1,904)20yr Total 85,617 91,5792.60% 106.964.00%4.48% 23 2135.70%9.06% 1,764  (1,904)30yr 3.0 259,108 259,2067.35% 100.043.00%4.29% 2 3571.77%3.93% 2,688  (5,110)30yr 3.5 190,984 197,2745.59% 103.293.50%4.34% 7 35210.51%9.20% 2,736  (4,093)30yr 4.0 737,254 777,92922.05% 105.524.00%4.67% 14 3456.78%7.37% 8,160  (12,751)30yr 4.5 133,549 142,0204.03% 106.344.50%5.07% 15 3433.37%10.50% 1,354  (1,843)30yr 5.0 768,489 838,56623.77% 109.125.00%5.52% 13 34512.08%13.92% 7,110  (9,421)30yr Total 2,089,384 2,214,99562.80% 106.014.23%4.93% 12 3478.23%8.59% 22,048  (33,218)Total Pass Through RMBS 3,217,614 3,399,46096.38% 105.654.20%4.80% 13 32010.21%10.86% 28,779  (41,847)Structured RMBS                 Interest-Only Securities 771,931 101,6782.88% 13.173.76%4.35% 64 25213.94%13.10% (17,614) 18,763 Inverse Interest-Only Securities 209,304 26,1180.74% 12.482.71%4.86% 59 29112.06%11.15% 1,024  (1,834)Total Structured RMBS 981,235 127,7963.62% 13.023.54%4.46% 63 26013.54%12.68% (16,590) 16,929 Total Mortgage Assets$4,198,849$3,527,256100.00%  4.05%4.72% 25 30610.99%11.38%$12,189 $(24,918)                                  Interest Interest  Average Hedge          Rate Rate  Notional Period          Sensitivity SensitivityHedge Balance End          (-50 BPS)(1) (+50 BPS)(1)Eurodollar Futures$(457,143) Dec-2020         $(3,750)$3,750Swaps (1,710,000) Nov-2021          (22,019) 22,0195-Year Treasury Future (165,000) Sep-2019(2)          (3,803) 3,728TBA (125,000) Jun-2019          (1,162) 2,069Swaptions (350,000) Sep-2024          (305) 2,529Hedge Total$(2,807,143)           $(31,039)$34,095Rate Shock Grand Total             $(18,850)$9,177 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.Five year treasury futures contracts were valued at prices of $118.16 at June 30, 2019.  The notional contract value of the short position was $195.0 million. RMBS Assets by Agency    Investment Company Act of 1940 Whole Pool Test($ in thousands)    ($ in thousands)      Percentage    Percentage  Fairof   FairofAsset Category ValuePortfolio Asset Category ValuePortfolioAs of June 30, 2019    As of June 30, 2019   Fannie Mae$2,369,63267.2% Non-Whole Pool Assets$1,086,87830.8%Freddie Mac 1,154,69332.7% Whole Pool Assets 2,440,37869.2%Ginnie Mae 2,9310.1% Total Mortgage Assets$3,527,256100.0%Total Mortgage Assets$3,527,256100.0%      Borrowings By Counterparty        ($ in thousands)              WeightedWeighted     % of AverageAverage   Total Total RepoMaturityLongestAs of June 30, 2019 Borrowings Debt Ratein DaysMaturityRBC Capital Markets, LLC$446,100 13.3% 2.66%137/29/2019Wells Fargo Bank, N.A. 364,358 10.9% 2.61%208/9/2019Mirae Asset Securities (USA) Inc. 299,148 9.0% 2.63%9612/9/2019J.P. Morgan Securities LLC 248,438 7.5% 2.61%13011/12/2019ING Financial Markets LLC 231,851 7.0% 2.64%207/31/2019ABN AMRO Bank N.V. 215,550 6.5% 2.63%398/13/2019Mitsubishi UFJ Securities (USA), Inc 212,928 6.4% 2.60%9011/12/2019South Street Securities, LLC 176,794 5.3% 2.61%2184/9/2020ASL Capital Markets Inc. 175,577 5.3% 2.61%6010/7/2019Citigroup Global Markets Inc 174,334 5.2% 2.65%489/9/2019Cantor Fitzgerald & Co 165,541 5.0% 2.62%448/19/2019ICBC Financial Services LLC 105,687 3.2% 2.62%438/12/2019ED&F Man Capital Markets Inc 96,365 2.9% 2.62%6310/7/2019Guggenheim Securities, LLC 94,331 2.8% 2.61%629/30/2019FHLB-Cincinnati 82,294 2.5% 2.69%17/1/2019Daiwa Securities America Inc. 49,594 1.5% 2.60%438/12/2019Lucid Cash Fund USG LLC 46,576 1.4% 2.67%187/18/2019Bank of Montreal 43,030 1.3% 2.67%418/13/2019Merrill Lynch, Pierce, Fenner & Smith 31,461 0.9% 2.80%77/12/2019Natixis, New York Branch 28,368 0.9% 2.81%157/15/2019J.V.B. Financial Group, LLC 24,554 0.7% 2.60%208/15/2019Lucid Prime Fund, LLC 16,648 0.5% 2.72%67/18/2019Total Borrowings$3,329,527 100.0% 2.63%584/9/2020 Contact: Orchid Island Capital, Inc.Robert E. Cauley3305 Flamingo Drive, Vero Beach, Florida 32963Telephone: (772) 231-1400 Source: Orchid Island Capital, Inc.

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