• September 2018 Monthly Dividend of $0.08 Per Share
  
• RMBS Portfolio Characteristics as of August 31, 2018
• Next Dividend Announcement Expected October 17, 2018

VERO BEACH, Fla., Sept. 17, 2018 (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 September 2018. The dividend of $0.08 per share will be paid October 10, 2018, to holders of record on September 28, 2018, with an ex-dividend date of September 27, 2018. The Company plans on announcing its next dividend after the Board’s meeting on October 17, 2018.

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 September 17, 2018, the Company had 52,034,596 shares outstanding. At June 30, 2018, the Company had 52,034,596 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 2018 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. 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, 2017.

RMBS Valuation Characteristics
($ in thousands)
																	Realized		Realized
																	Aug 2018		Jun - Aug
											Net					Weighted	CPR		2018 CPR			Modeled			Modeled
						%					Weighted					Average	(1-Month)		(3-Month)			Rate			Rate
		Current			Fair	of				Current	Average					Maturity	(Reported		(Reported			Sensitivity			Sensitivity
Type		Face			Value(1)	Portfolio				Price	Coupon		GWAC		Age	(Months)	in Sep)		in Sep)			(-50 BPS)(2)			(+50 BPS)(2)
Hybrid/ARM
<3y reset	$	1,367		$	1,450	0.04	%		$	106.07	4.07	%	5.08	%	166	195	1.61	%	43.59	%	$	9		$	(7	)
3y-5y reset		24,793			24,567	0.70	%			99.09	2.57	%	3.24	%	68	293	0.72	%	1.21	%		330			(345	)
Total Hybrid/ARM		26,160			26,017	0.74	%			99.45	2.65	%	3.33	%	73	288	0.77	%	3.43	%		339			(352	)
Fixed Rate RMBS
Fixed Rate CMO		749,438			772,972	21.98	%			103.14	4.27	%	4.62	%	6	352	7.59	%	6.14	%		4,581			(9,519	)
Fixed Rate CMO Total		749,438			772,972	21.98	%			103.14	4.27	%	4.62	%	6	352	7.59	%	6.14	%		4,581			(9,519	)
15yr 3.5		2,885			2,925	0.08	%			101.38	3.50	%	3.83	%	59	120	2.19	%	22.81	%		55			(55	)
15yr 4.0		774,794			799,106	22.72	%			103.14	4.00	%	4.52	%	4	175	5.18	%	4.65	%		14,720			(15,847	)
15yr Total		777,679			802,031	22.80	%			103.13	4.00	%	4.51	%	4	175	5.17	%	4.76	%		14,775			(15,902	)
20yr 4.0		207,557			214,266	6.09	%			103.23	4.00	%	4.47	%	16	221	9.97	%	10.58	%		5,003			(5,180	)
20yr 4.5		19,506			20,354	0.58	%			104.35	4.50	%	5.15	%	4	235	23.71	%	13.37	%		289			(374	)
20yr Total		227,063			234,620	6.67	%			102.26	4.04	%	4.52	%	15	222	11.15	%	12.47	%		5,292			(5,554	)
30yr 4.0		326,975			334,376	9.51	%			102.26	4.00	%	4.48	%	18	339	4.19	%	6.17	%		7,874			(9,394	)
30yr 4.5		981,023			1,028,271	29.23	%			104.82	4.50	%	4.92	%	12	346	8.63	%	9.87	%		17,475			(22,984	)
30yr 5.0		170,988			183,190	5.21	%			107.14	5.00	%	5.50	%	6	353	5.19	%	5.30	%		2,622			(3,510	)
30yr Total		1,478,986			1,545,837	43.95	%			104.52	4.45	%	4.89	%	13	345	7.25	%	8.38	%		27,971			(35,888	)
Total Fixed Rate RMBS		3,233,166			3,355,460	95.40	%			103.78	4.27	%	4.71	%	9	297	7.10	%	7.19	%		52,619			(66,863	)
Total Pass Through RMBS		3,259,326			3,381,477	96.14	%			103.75	4.26	%	4.70	%	10	297	7.05	%	7.14	%		52,958			(67,215	)
Structured RMBS
Interest-Only Securities		727,477			111,328	3.17	%			15.30	3.70	%	4.28	%	60	246	11.44	%	12.13	%		(14,291	)		9,821
Inverse Interest-Only Securities		238,330			24,499	0.70	%			10.28	3.07	%	4.86	%	50	301	13.42	%	12.73	%		2,415			(3,047	)
Total Structured RMBS		965,807			135,827	3.86	%			14.06	3.54	%	4.42	%	57	260	11.92	%	12.27	%		(11,876	)		6,774
Total Mortgage Assets	$	4,225,133		$	3,517,304	100.00	%				4.09	%	4.64	%	21	289	8.17	%	8.62	%	$	41,082		$	(60,441	)
																						Int			Int
		Average			Hedge																	Rate			Rate
		Notional			Period																	Sensitivity			Sensitivity
Hedge		Balance			End																	(-50 BPS)(2)			(+50 BPS)(2)
Eurodollar Futures		1,475,000			Dec-2020																$	(18,438	)	$	18,438
Swaps		1,260,000			Aug-2022																	(13,706	)		13,706
5-Year Treasury Future		165,000			Dec-2018																	(4,058	)		4,245
TBA		400,000			Oct-2018																	(10,686	)		12,405
Swaptions		950,000			Oct-2028																	(3,737	)		20,540
Hedge Total		4,250,000																			$	(50,625	)	$	69,334
Rate Shock Grand Total																					$	(9,543	)	$	8,893

(1) Amounts in the tables above exclude assets with a fair value of approximately $223.1 million sold in August 2018, which settle in September 2018.
(2) 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.
(3) Five year treasury futures contracts were valued at prices of $113.40 at August 31, 2018. The notional contract value of the short position was $187.1 million.

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 August 31, 2018						As of August 31, 2018
Fannie Mae	$	2,251,996	64.0	%		Non-Whole Pool Assets	$	1,140,897	32.4	%
Freddie Mac		1,260,539	35.9	%		Whole Pool Assets		2,376,407	67.6	%
Ginnie Mae		4,769	0.1	%		Total Mortgage Assets	$	3,517,304	100.0	%
Total Mortgage Assets	$	3,517,304	100.0	%

(1) Amounts in the tables above exclude assets with a fair value of approximately $223.1 million sold in August 2018, which settle in September 2018.

Borrowings By Counterparty
($ in thousands)
							Weighted	Weighted
				% of			Average	Average
		Total		Total			Maturity	Repo		Longest
As of August 31, 2018		Borrowings(1)		Debt			in Days	Rate		Maturity
RBC Bank	$	459,372		13.1	%		35	2.20	%	10/30/2018
Mirae		369,038		10.5	%		29	2.18	%	11/8/2018
JPMorgan		326,369		9.2	%		8	2.15	%	9/28/2018
Wells Fargo Securities		273,071		7.7	%		28	2.14	%	10/1/2018
Citigroup		249,947		7.1	%		20	2.19	%	9/28/2018
Mitsubishi		226,646		6.4	%		29	2.17	%	10/19/2018
ICBC		181,259		5.1	%		46	2.22	%	11/20/2018
Cantor		178,467		5.1	%		74	2.24	%	11/13/2018
ING		160,387		4.5	%		20	2.18	%	11/29/2018
Natixis		130,745		3.7	%		17	2.26	%	9/25/2018
ABN AMRO		129,650		3.7	%		4	2.10	%	9/4/2018
Guggenheim		113,750		3.2	%		26	2.17	%	11/13/2018
FHLB-Cincinnati		97,718		2.8	%		4	2.05	%	9/4/2018
KGS		96,186		2.7	%		15	2.15	%	9/17/2018
South Street Securities Llc		91,620		2.6	%		30	2.16	%	11/13/2018
ASL CAP		87,449		2.5	%		40	2.18	%	11/13/2018
ED&F Man		75,287		2.1	%		25	2.16	%	11/7/2018
GS		73,234		2.1	%		10	2.14	%	9/10/2018
Daiwa		56,940		1.6	%		6	2.13	%	9/7/2018
Lucid Management		54,611		1.5	%		13	2.18	%	9/13/2018
Nomura		43,944		1.2	%		22	2.15	%	10/22/2018
JVB Financial		26,511		0.8	%		39	2.18	%	10/16/2018
Mizuho Capital Markets		13,656		0.4	%		22	2.17	%	9/27/2018
BOA		8,815		0.2	%		7	2.58	%	9/10/2018
Lucid		5,512		0.2	%		20	2.62	%	9/20/2018
Total Borrowings	$	3,530,184		100.0	%		26	2.18	%	11/29/2018

(1) In August 2018, the Company sold assets with a fair value of approximately $223.1 million, which settle in September 2018 that collateralize approximately $210.1 million of repurchase agreements included in the table above. 

Contact:

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