ORC Orchid Island Capital Inc

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 December 2024. The dividend of $0.12 per share will be paid January 30, 2025 to holders of record of the Company’s common stock on December 31, 2024, with an ex-dividend date of December 31, 2024. The Company plans on announcing its next common stock dividend on January 8, 2025.

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 December 10, 2024 and November 30, 2024, the Company had 79,849,645 shares of common stock outstanding. As of September 30, 2024, the Company had 78,082,645 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of November 30, 2024 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, 2023.

RMBS Valuation Characteristics
($ in thousands)
																																						Realized
																																		Realized				Sep-24 -
																																		Nov-24				Nov-24
																		Net												Weighted				CPR				CPR
																		Weighted												Average				(1-Month)				(3-Month)				Modeled Interest
		Current				Fair				% of				Current				Average												Maturity				(Reported				(Reported				Rate Sensitivity (1)
Type		Face				Value				Portfolio				Price				Coupon				GWAC				Age				(Months)				in Dec)				in Dec)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
15yr 5.0 TBA		$	50,000			$	50,113				0.94	%			100.23				5.00	%			5.87	%			6				170				n/a				n/a			$	651			$	(746	)
15yr Total			50,000				50,113				0.94	%			100.23				5.00	%			5.87	%			6				170				n/a				n/a				651				(746	)
30yr 3.0			1,104,053				976,396				18.40	%			88.44				3.00	%			3.47	%			44				309				6.2	%			6.3	%			29,637				(29,960	)
30yr 3.5			177,113				163,207				3.08	%			92.15				3.50	%			4.04	%			57				290				6.2	%			7.1	%			4,518				(4,564	)
30yr 4.0			528,702				496,826				9.36	%			93.97				4.00	%			4.64	%			70				283				3.9	%			5.4	%			12,085				(12,898	)
30yr 4.5			307,807				296,925				5.59	%			96.46				4.50	%			5.44	%			29				327				5.6	%			6.3	%			5,932				(6,512	)
30yr 5.0			578,068				569,631				10.73	%			98.54				5.00	%			5.94	%			24				331				5.6	%			6.7	%			10,533				(11,985	)
30yr 5.5			281,760				284,083				5.35	%			100.82				5.50	%			6.40	%			18				338				1.8	%			3.2	%			4,683				(5,579	)
30yr 6.0			1,211,604				1,236,362				23.30	%			102.04				6.00	%			6.98	%			11				344				8.1	%			12.4	%			15,602				(19,624	)
30yr 6.5			854,817				881,122				16.60	%			103.08				6.50	%			7.43	%			10				347				15.3	%			19.1	%			8,028				(10,523	)
30yr 7.0			323,885				336,969				6.35	%			104.04				7.00	%			7.94	%			13				340				33.7	%			32.6	%			2,656				(3,356	)
30yr Total			5,367,809				5,241,521				98.76	%			97.65				5.02	%			5.83	%			28				327				9.2	%			11.1	%			93,674				(105,001	)
Total Pass-Through MBS			5,417,809				5,291,634				99.71	%			97.67				5.02	%			5.83	%			28				325				9.2	%			11.1	%			94,325				(105,747	)
Structured MBS
IO 20yr 4.0			7,135				680				0.01	%			9.53				4.00	%			4.57	%			155				79				9.6	%			10.0	%			4				(4	)
IO 30yr 3.0			2,608				311				0.01	%			11.94				3.00	%			3.64	%			118				231				0.7	%			9.7	%			-				(1	)
IO 30yr 4.0			72,153				13,445				0.25	%			18.63				4.00	%			4.60	%			123				228				5.1	%			6.2	%			(131	)			194
IO 30yr 4.5			3,155				583				0.01	%			18.49				4.50	%			4.99	%			173				174				6.7	%			7.3	%			(4	)			1
IO 30yr 5.0			1,703				346				0.01	%			20.33				5.00	%			5.37	%			173				174				14.2	%			8.8	%			(6	)			3
IO Total			86,754				15,365				0.29	%			17.71				4.01	%			4.60	%			128				213				5.6	%			6.7	%			(137	)			193
IIO 30yr 4.0			22,184				225				0.00	%			1.01				0.00	%			4.40	%			86				262				0.6	%			7.3	%			(70	)			(122	)
Total Structured RMBS			108,938				15,590				0.29	%			14.31				3.19	%			4.56	%			120				223				4.6	%			6.8	%			(207	)			71
Total Mortgage Assets		$	5,526,747			$	5,307,224				100.00	%							4.99	%			5.80	%			29				323				9.1	%			11.0	%		$	94,118			$	(105,676	)

					Hedge		Modeled Interest
		Notional			Period		Rate Sensitivity (1)
Hedge		Balance			End		(-50 BPS)				(+50 BPS)
3-Month SOFR Futures(2)		$	(455,900	)	Oct-25		$	(5,699	)		$	5,699
5-Year Treasury Future(3)		$	(62,500	)	Mar-25		$	(1,281	)		$	1,252
10-Year Treasury Future(4)		$	(22,500	)	Mar-25		$	(725	)		$	711
10-Year Ultra Treasury Future(5)		$	(32,500	)	Mar-25		$	(1,484	)		$	1,413
Swaps			(3,516,800	)	Jun-30			(86,811	)			83,823
TBA			(200,000	)	Dec-24			(5,687	)			5,862
Hedge Total		$	(4,290,200	)			$	(101,687	)		$	98,760
Rate Shock Grand Total							$	(7,569	)		$	(6,916	)

(1	)	Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.
(2	)	Amounts for SOFR futures contracts represents the average quarterly notional amount.
(3	)	Five-year Treasury futures contracts were valued at prices of $107.60 at November 30, 2024. The market value of the short position was $67.3 million.
(4	)	Ten-year Treasury futures contracts were valued at prices of $111.19 at November 30, 2024. The market value of the short position was $25.0 million.
(5	)	Ten-year Ultra Treasury futures contracts were valued at prices of $114.80 at November 30, 2024. The market value of the short position was $37.3 million.

RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of November 30, 2024
Fannie Mae		$	3,709,848				69.9	%
Freddie Mac			1,597,376				30.1	%
Total Mortgage Assets		$	5,307,224				100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of November 30, 2024
Non-Whole Pool Assets		$	207,178				3.9	%
Whole Pool Assets			5,100,046				96.1	%
Total Mortgage Assets		$	5,307,224				100.0	%

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of November 30, 2024		Borrowings				Debt				Rate				in Days			Maturity
Merrill Lynch, Pierce, Fenner & Smith		$	363,741				7.3	%			4.79	%			18		12/23/2024
ABN AMRO Bank N.V.			339,329				6.8	%			4.75	%			16		12/16/2024
ASL Capital Markets Inc.			303,988				6.1	%			4.77	%			14		12/16/2024
Cantor Fitzgerald & Co			257,867				5.2	%			4.80	%			9		12/9/2024
DV Securities, LLC Repo			254,866				5.1	%			4.77	%			19		12/26/2024
Mitsubishi UFJ Securities (USA), Inc			251,062				5.0	%			4.79	%			20		12/23/2024
J.P. Morgan Securities LLC			241,736				4.8	%			4.82	%			9		12/26/2024
Daiwa Securities America Inc.			237,672				4.8	%			4.77	%			23		12/23/2024
Goldman, Sachs & Co			235,394				4.7	%			4.79	%			19		12/23/2024
Citigroup Global Markets Inc			232,657				4.7	%			4.77	%			26		12/26/2024
Wells Fargo Bank, N.A.			228,473				4.6	%			4.76	%			48		1/17/2025
Banco Santander SA			219,810				4.4	%			4.78	%			18		12/18/2024
ING Financial Markets LLC			217,067				4.4	%			4.82	%			19		12/19/2024
Marex Capital Markets Inc.			215,013				4.3	%			4.75	%			19		12/19/2024
RBC Capital Markets, LLC			206,603				4.1	%			4.81	%			26		1/21/2025
Bank of Montreal			195,180				3.9	%			4.81	%			12		12/12/2024
South Street Securities, LLC			186,535				3.7	%			4.85	%			29		1/24/2025
Mirae Asset Securities (USA) Inc.			177,867				3.6	%			4.76	%			170		5/19/2025
Clear Street LLC			166,849				3.3	%			4.78	%			12		12/12/2024
StoneX Financial Inc.			153,466				3.1	%			4.75	%			19		12/19/2024
The Bank of Nova Scotia			145,151				2.9	%			4.80	%			16		12/16/2024
Nomura Securities International, Inc.			73,140				1.5	%			4.90	%			16		12/16/2024
Lucid Prime Fund, LLC			61,924				1.2	%			4.79	%			12		12/12/2024
Wells Fargo Securities, LLC			22,686				0.5	%			4.88	%			54		1/23/2025
Total Borrowings		$	4,988,076				100.0	%			4.79	%			25		5/19/2025

Contact:

Orchid Island Capital, Inc.Robert E. Cauley3305 Flamingo Drive, Vero Beach, Florida 32963Telephone: (772) 231-1400