• February 2016 Monthly Dividend of $0.14 Per Share
  
• RMBS Portfolio Characteristics as of January 29, 2016
• 1,216,243 cumulative shares repurchased through stock repurchase program
• Tax Characterization of 2015 Distributions 100% Ordinary Taxable Income

VERO BEACH, Fla., Feb. 10, 2016 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of February 2016. The dividend of $0.14 per share will be paid February 29, 2016, to holders of record on February 24, 2016, with an ex-dividend date of February 22, 2016. 

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 certain percentages 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 February 10, 2016, the Company had 21,752,510 shares outstanding. At December 31, 2015, the Company had 21,745,490 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 29, 2016 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

2015 Dividend Tax Characteristics

The Company anticipates that its 2015 distributions of $1.92 per share consisted entirely of ordinary dividends and will be characterized as ordinary income. Stockholders will be notified of the proper tax characterization of the Company's dividends by way of IRS Form 1099-DIV. Due to the complex nature of the applicable tax rules, it is recommended that stockholders consult their tax advisors to ensure proper tax treatment of dividends received.

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, 2014.

RMBS Valuation Characteristics
($ in thousands)
						Percentage			Weighted			Realized
		Current		Fair	Current	of			Average			Jan 2016 CPR
Asset Category		Face		Value	Price	Portfolio			Coupon			(Reported in Feb)
As of January 29, 2016
Adjustable Rate RMBS	$	2,781	$	2,948	105.99		0.13	%		3.62	%		0.46	%
10-1 Hybrid Rate RMBS		51,157		52,670	102.96		2.30	%		2.55	%		4.41	%
Hybrid Adjustable Rate RMBS		51,157		52,670	102.96		2.30	%		2.55	%		4.41	%
15 Year Fixed Rate RMBS		98,039		103,627	105.70		4.53	%		3.28	%		5.16	%
20 Year Fixed Rate RMBS		425,252		458,200	107.75		20.02	%		4.00	%		4.57	%
30 Year Fixed Rate RMBS		1,438,041		1,571,409	109.27		68.67	%		4.37	%		5.83	%
Total Fixed Rate RMBS		1,961,332		2,133,236	108.76		93.22	%		4.24	%		5.52	%
Total Pass-through RMBS		2,015,270		2,188,854	108.61		95.65	%		4.20	%		5.49	%
Interest-Only Securities		522,485		58,675	11.23		2.56	%		3.62	%		10.44	%
Inverse Interest-Only Securities		212,212		40,812	19.23		1.79	%		5.93	%		12.55	%
Structured RMBS		734,697		99,487	13.54		4.35	%		4.57	%		11.05	%
Total Mortgage Assets	$	2,749,967	$	2,288,341			100.00	%		4.21	%		6.98	%

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(1)	Portfolio				Asset Category		Value(1)	Portfolio
As of January 29, 2016							As of January 29, 2016
Fannie Mae	$	1,883,385		82.3	%		Whole Pool Assets	$	1,809,333		79.1	%
Freddie Mac		391,695		17.1	%		Non Whole Pool Assets		479,008		20.9	%
Ginnie Mae		13,261		0.6	%		Total Mortgage Assets	$	2,288,341		100.0	%
Total Mortgage Assets	$	2,288,341		100.0	%

(1) Amounts in the tables above include assets with a fair value of approximately $3.1 million purchased in January 2016 which settle in February 2016.

Borrowings By Counterparty
($ in thousands)
								Weighted
				% of				Average
		Total		Total				Maturity	Longest
As of January 29, 2016		Borrowings(1)		Debt				in Days	Maturity
Citigroup Global Markets Inc	$	276,726			13.1	%		18	3/28/2016
South Street Securities, LLC		179,274			8.5	%		29	2/29/2016
ED&F Man Capital Markets Inc		149,338			7.1	%		41	3/24/2016
Wells Fargo Bank, N.A.		130,165			6.1	%		12	2/12/2016
ICBC Financial Services LLC		124,175			5.9	%		12	2/10/2016
Cantor Fitzgerald & Co		119,217			5.6	%		22	2/26/2016
Goldman, Sachs & Co		118,855			5.6	%		29	3/15/2016
Guggenheim Securities, LLC		118,027			5.6	%		15	2/29/2016
Mizuho Securities USA, Inc		117,454			5.5	%		21	4/25/2016
Mitsubishi UFJ Securities (USA), Inc		112,029			5.3	%		19	2/29/2016
Daiwa Securities America Inc.		107,033			5.1	%		10	2/11/2016
J.P. Morgan Securities LLC		106,840			5.0	%		20	3/14/2016
Natixis, New York Branch		103,904			4.9	%		14	2/22/2016
RBC Capital Markets, LLC		92,410			4.4	%		13	2/22/2016
Nomura Securities International, Inc.		86,831			4.1	%		15	2/25/2016
Merrill Lynch, Pierce, Fenner & Smith Inc		85,260			4.0	%		18	2/16/2016
KGS-Alpha Capital Markets, L.P		85,034			4.0	%		20	2/22/2016
Suntrust Robinson Humphrey, Inc		4,222			0.2	%		14	2/12/2016
Total Borrowings	$	2,116,794			100.0	%		20	4/25/2016

(1) In January 2016, the Company purchased assets with a fair value of approximately $3.1 million which settle in February 2016 that are expected to be funded by repurchase agreements.  These anticipated borrowings are not included in the table above.

RMBS Risk Measures
($ in thousands)
Mortgage Assets
			Weighted
			Average		Weighted				Weighted				Modeled				Modeled
			Months		Average				Average				Interest				Interest
			To Next		Lifetime				Periodic				Rate				Rate
		Fair	Coupon Reset		Cap				Cap Per Year				Sensitivity				Sensitivity
Asset Category		Value	(if applicable)		(if applicable)				(if applicable)				(-50 BPS)(1)				(+50 BPS)(1)
As of January 29, 2016
Adjustable Rate RMBS	$	2,948	3			10.04	%			2.00	%	$		18		$		(17	)
Hybrid Adjustable Rate RMBS		52,670	84			7.55	%			2.00	%			722				(914	)
Total Fixed Rate RMBS		2,133,236	n/a			n/a			n/a					30,124				(39,373	)
Total Pass-through RMBS		2,188,854	n/a			n/a			n/a					30,864				(40,304	)
Interest-Only Securities		58,675	n/a			n/a			n/a					(11,374	)			10,509
Inverse Interest-Only Securities		40,812	1			6.35	%		n/a					286				(1,143	)
Structured RMBS		99,487	n/a			n/a			n/a					(11,088	)			9,366
Total Mortgage Assets	$	2,288,341	n/a			n/a			n/a			$		19,776		$		(30,938	)
Funding Hedges
													Modeled				Modeled
													Interest				Interest
					Average				Hedge				Rate				Rate
					Notional				Period				Sensitivity				Sensitivity
					Balance(2)				End Date				(-50 BPS)(1)				(+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions				$		780,000			Mar-2019			$		(10,219	)	$		14,625
Treasury Futures Contracts - Short Positions						185,000			Mar-2026					(6,589	)			8,447
Short TBA						125,000			Feb-2016					(1,404	)			1,900
Grand Total												$		1,564		$		(5,966	)

(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) Treasury futures contracts were valued at 129.58 at January 31, 2016. The nominal value of the short position was $232.9 million.

Contact:

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