Orchid Island Capital Announces May 2025 Monthly Dividend and April 30, 2025 RMBS Portfolio Characteristics

(the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of May 2025. The dividend of $0.12per share will be paid June 27, 2025to holders of record of the Company’s common stock on May 30, 2025, with an ex-dividend date ofMay 30, 2025. The Company plans on announcing its next common stock dividend on June 10, 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 May 7, 2025, the Company had109,219,994shares of common stock outstanding. As of April 30, 2025, the Company had108,823,792shares of common stock outstanding.As of March 31, 2025, the Company had107,786,614 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as ofApril 30, 2025are 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, 2024.

RMBS Valuation Characteristics
($ in thousands)
Realized
RealizedFeb 25 –
Apr-25Apr-25
NetWeightedCPRCPR
WeightedAverage(1-Month)(3-Month)Modeled Interest
CurrentFair% ofCurrentAverageMaturity(Reported(ReportedRate Sensitivity (1)
TypeFaceValuePortfolioPriceCouponGWACAge(Months)in May)in May)(-50 BPS)(+50 BPS)
Fixed Rate RMBS
15yr 5.0 TBA$100,000$100,2381.62%100.245.00%5.85%9166n/an/a$1,220$(1,435)
15yr Total100,000100,2381.62%100.245.00%5.85%9166n/an/a1,220(1,435)
30yr 3.0868,857766,16912.38%88.183.00%3.48%503026.0%6.0%22,624(23,153)
30yr 3.5170,830156,4402.53%91.583.50%4.04%622857.6%5.7%4,264(4,360)
30yr 4.0162,336152,3892.46%93.874.00%4.70%483077.0%4.3%3,833(4,046)
30yr 4.5293,146281,1684.54%95.914.50%5.44%3432215.9%9.8%5,889(6,476)
30yr 5.0430,517423,7056.85%98.425.00%5.92%293254.2%6.0%8,345(9,398)
30yr 5.5575,097578,9019.35%100.665.50%6.45%143417.6%5.8%9,891(11,763)
30yr 6.02,063,3622,110,88734.11%102.306.00%6.96%103458.0%8.0%24,905(32,234)
30yr 6.51,256,1191,304,02321.07%103.816.50%7.44%1334312.9%9.1%10,175(14,243)
30yr 7.0284,983299,1394.83%104.977.00%7.95%1833428.1%22.4%2,170(2,783)
30yr Total6,105,2476,072,82198.13%99.475.41%6.27%223339.7%8.2%92,096(108,456)
Total Pass-Through MBS6,205,2476,173,05999.75%99.485.40%6.27%223309.7%8.2%93,316(109,891)
Structured MBS
IO 20yr 4.06,4605840.01%9.044.00%4.57%1597411.6%9.8%3(3)
IO 30yr 3.02,5073070.00%12.233.00%3.64%12322722.7%8.8%(1)
IO 30yr 4.069,14213,1540.21%19.034.00%4.60%1282232.7%3.8%(271)195
IO 30yr 4.53,0005560.01%18.534.50%4.99%1781697.8%7.6%(6)3
IO 30yr 5.01,5713330.01%21.195.00%5.37%1781691.4%16.8%(5)3
IO Total82,68014,9340.24%18.064.01%4.59%1332084.2%4.8%(280)198
IIO 30yr 4.020,8373220.01%1.540.00%4.40%912577.8%3.0%114(91)
Total Structured RMBS103,51715,2560.25%14.743.20%4.56%1252184.9%4.5%(166)107
Total Mortgage Assets$6,308,764$6,188,315100.00%5.37%6.24%243289.6%8.2%$93,150$(109,784)

HedgeModeled Interest
NotionalPeriodRate Sensitivity (1)
HedgeBalanceEnd(-50 BPS)(+50 BPS)
3-Month SOFR Futures$(115,000)Aug-26$(1,150)$1,150
5-Year Treasury Future(2)(377,500)Jun-25(7,967)7,789
10-Year Treasury Future(3)(193,500)Jun-25(6,199)6,138
10-Year Ultra Treasury Future(4)(137,500)Jun-25(6,170)5,909
Swaps(3,435,300)Jan-31(88,630)85,559
TBA(200,000)May-25(4,884)5,297
Hedge Total$(4,458,800)$(115,000)$111,842
Rate Shock Grand Total$(21,850)$2,058

(1)Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFRoption-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$109.20atApril 30, 2025. The market value of the short position was$412.2 million.
(3)Ten-year Treasury futures contracts were valued at prices of$112.22 atApril 30, 2025. The market value of the short position was$217.2 million.
(4)Ten-year Ultra Treasury futures contracts were valued at prices of$114.73atApril 30, 2025. The market value of the short position was$157.8 million.
RMBS Assets by Agency
($ in thousands)
Percentage
Fairof
Asset CategoryValuePortfolio
As of April 30, 2025
Fannie Mae$3,783,47761.1%
Freddie Mac2,404,83838.9%
Total Mortgage Assets$6,188,315100.0%
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
Percentage
Fairof
Asset CategoryValuePortfolio
As of April 30, 2025
Non-Whole Pool Assets$299,9504.8%
Whole Pool Assets5,888,36595.2%
Total Mortgage Assets$6,188,315100.0%
Borrowings By Counterparty
($ in thousands)
WeightedWeighted
% ofAverageAverage
TotalTotalRepoMaturityLongest
As of April 30, 2025BorrowingsDebtRatein DaysMaturity
J.P. Morgan Securities LLC$358,6036.2%4.46%155/21/2025
Merrill Lynch, Pierce, Fenner & Smith332,7205.7%4.50%256/13/2025
Wells Fargo Bank, N.A.313,7085.4%4.46%597/16/2025
Citigroup Global Markets Inc313,4835.4%4.50%275/28/2025
ABN AMRO Bank N.V.291,9375.0%4.48%486/23/2025
StoneX Financial Inc.290,2025.0%4.45%215/28/2025
Clear Street LLC287,1024.9%4.47%195/28/2025
Daiwa Securities America Inc.276,1834.7%4.49%225/23/2025
South Street Securities, LLC267,9234.6%4.46%587/29/2025
Goldman, Sachs & Co265,9354.6%4.50%285/28/2025
MUFG Securities Canada, Ltd.260,4664.5%4.47%145/22/2025
ING Financial Markets LLC257,3554.4%4.48%95/13/2025
DV Securities, LLC Repo253,9374.4%4.45%255/28/2025
RBC Capital Markets, LLC251,9484.3%4.46%526/23/2025
ASL Capital Markets Inc.249,3164.3%4.45%216/13/2025
Marex Capital Markets Inc.242,0914.2%4.45%275/29/2025
Mirae Asset Securities (USA) Inc.241,4844.2%4.52%749/15/2025
Cantor Fitzgerald & Co224,8313.9%4.46%125/22/2025
Bank of Montreal200,5513.4%4.50%225/23/2025
Mitsubishi UFJ Securities (USA), Inc.200,5033.4%4.46%426/12/2025
The Bank of Nova Scotia140,9342.4%4.50%215/21/2025
Banco Santander SA139,6592.4%4.50%165/16/2025
Nomura Securities International, Inc.120,4322.1%4.48%346/20/2025
Lucid Prime Fund, LLC35,2960.6%4.50%155/15/2025
Total Borrowings$5,816,599100.0%4.47%309/15/2025



Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400

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