• March 2017 Monthly Dividend of $0.14 Per Share
  
• RMBS Portfolio Characteristics as of February 28, 2017

VERO BEACH, Fla., March 08, 2017 (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 March 2017. The dividend of $0.14 per share will be paid April 10, 2017, to holders of record on March 31, 2017, with an ex-dividend date of March 29, 2017. 

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 March 8, 2017, the Company had 32,964,547 shares outstanding, the same number of shares outstanding as of January 31, 2016. At December 31, 2016, the Company had 32,962,919 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 2017 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 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 and the expected funding of purchased assets and anticipated borrowings. 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, 2016.

RMBS Valuation Characteristics
($ in thousands)
									Percentage			Weighted			Realized
			Current			Fair		Current	of			Average			Feb 2017 CPR
Asset Category			Face			Value(1)		Price	Portfolio			Coupon			(Reported in Mar)
As of February 28, 2017
Adjustable Rate RMBS		$	1,919		$	2,038		106.23		0.06	%		3.50	%	38.32	%
10-1 Hybrid Rate RMBS			42,872			43,961		102.54		1.35	%		2.55	%	3.88	%
Hybrid Adjustable Rate RMBS			42,872			43,961		102.54		1.35	%		2.55	%	3.88	%
15 Year Fixed Rate RMBS			82,190			85,642		104.20		2.62	%		3.28	%	11.02	%
20 Year Fixed Rate RMBS			239,367			255,317		106.66		7.81	%		4.00	%	6.56	%
30 Year Fixed Rate RMBS			2,546,113			2,735,250		107.43		83.72	%		4.34	%	4.67	%
Total Fixed Rate RMBS			2,867,670			3,076,209		107.27		94.15	%		4.28	%	5.01	%
Total Pass-through RMBS			2,912,461			3,122,208		107.20		95.56	%		4.26	%	5.01	%
Interest-Only Securities			760,594			96,829		12.73		2.96	%		3.71	%	10.72	%
Inverse Interest-Only Securities			246,589			48,328		19.60		1.48	%		5.45	%	10.52	%
Structured RMBS			1,007,183			145,157		14.41		4.44	%		4.29	%	10.67	%
Total Mortgage Assets		$	3,919,644		$	3,267,365				100.00	%		4.26	%	6.42	%

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 February 28, 2017							As of February 28, 2017
Fannie Mae		$	2,342,633	71.7	%		Whole Pool Assets	$	2,837,920	86.9	%
Freddie Mac			915,919	28.0	%		Non Whole Pool Assets		429,445	13.1	%
Ginnie Mae			8,813	0.3	%		Total Mortgage Assets	$	3,267,365	100.0	%
Total Mortgage Assets		$	3,267,365	100.0	%

(1) Amounts in the tables above include assets with a fair value of approximately $7.8 million purchased in February 2017 which settle in March 2017.

Borrowings By Counterparty
($ in thousands)
								Weighted
					% of			Average
			Total		Total			Maturity	Longest
As of February 28, 2017			Borrowings(1)		Debt			in Days	Maturity
Citigroup Global Markets Inc		$	292,372		9.6	%		18	5/30/2017
J.P. Morgan Securities LLC			280,492		9.2	%		13	3/17/2017
Wells Fargo Bank, N.A.			248,598		8.2	%		11	3/13/2017
ICBC Financial Services LLC			244,580		8.0	%		12	3/15/2017
RBC Capital Markets, LLC			233,901		7.7	%		13	3/13/2017
Cantor Fitzgerald & Co			228,962		7.5	%		46	4/21/2017
Mitsubishi UFJ Securities (USA), Inc			207,296		6.8	%		46	4/17/2017
South Street Securities, LLC			174,672		5.7	%		7	3/21/2017
ED&F Man Capital Markets Inc			154,916		5.1	%		36	5/24/2017
Goldman, Sachs & Co			150,764		5.0	%		13	3/23/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated			150,682		5.0	%		25	5/1/2017
KGS-Alpha Capital Markets, L.P			146,357		4.8	%		23	5/25/2017
Guggenheim Securities, LLC			145,913		4.8	%		10	3/14/2017
Daiwa Securities America Inc.			124,801		4.1	%		13	3/20/2017
Natixis, New York Branch			87,219		2.9	%		8	3/17/2017
Nomura Securities International, Inc.			69,891		2.3	%		22	3/29/2017
FHLB-Cincinnati			54,245		1.8	%		1	3/1/2017
Mizuho Securities USA, Inc			45,645		1.5	%		12	3/14/2017
Total Borrowings		$	3,041,306		100.0	%		20	5/30/2017

(1) In February 2017, the Company purchased assets with a fair value of approximately $7.8 million which settle in March 2017 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 February 28, 2017
Adjustable Rate RMBS		$	2,038	4		10.05	%	2.00	%	$	10		$	(9	)
Hybrid Adjustable Rate RMBS			43,961	71		7.55	%	2.00	%		679			(765	)
Total Fixed Rate RMBS			3,076,209	n/a		n/a		n/a			61,976			(76,006	)
Total Pass-through RMBS			3,122,208	n/a		n/a		n/a			62,665			(76,780	)
Interest-Only Securities			96,829	n/a		n/a		n/a			(11,954	)		9,238
Inverse Interest-Only Securities			48,328	1		6.22	%	n/a			1,921			(3,160	)
Structured RMBS			145,157	n/a		n/a		n/a			(10,033	)		6,078
Total Mortgage Assets		$	3,267,365	n/a		n/a		n/a		$	52,632		$	(70,702	)
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					$	643,750		Dec-2020		$	(11,554	)	$	12,875
Treasury Futures Contracts - Short Positions						465,000		Jun-2027			(17,939	)		17,508
Payer Swaps						700,000		Dec-2021			(9,933	)		9,933
TBA Short Positions						447,000		Mar-2017			(9,772	)		11,755
Total Hedges											(49,198	)		52,071
Grand Total										$	3,434		$	(18,631	)

(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 a price of $124.58 at February 28, 2017.  The nominal value of the short position was $579.3 million.

Contact:

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