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Press release content from Globe Newswire. The AP news staff was not involved in its creation.
PRESS RELEASE: Paid content from Globe Newswire
Press release content from Globe Newswire. The AP news staff was not involved in its creation.

Orchid Island Capital Announces May 2019 Monthly Dividend and April 30, 2019 RMBS Portfolio Characteristics

May 15, 2019

-- May 2019 Monthly Dividend of $0.08 Per Share -- RMBS Portfolio Characteristics as of April 30, 2019 -- Next Dividend Announcement Expected June 11, 2019

VERO BEACH, Fla., May 15, 2019 (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 May 2019. The dividend of $0.08 per share will be paid June 28, 2019, to holders of record on May 31, 2019, with an ex-dividend date of May 30, 2019. The Company plans on announcing its next dividend after the Board’s meeting on June 11, 2019.

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 May 15, 2019, the Company had 53,392,967 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 2019 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 anticipating 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, 2018.

RMBS Valuation Characteristics ($ in thousands) --------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- RealizedRealized Apr Feb - Modeled Modeled 2019 Apr Net Weighted CPR 2019 Interest Interest CPR % Weighte Average (1-Month(3-Month Rate Rate d ) ) Current Fair of Current Average Maturity (Reporte(Reporte Sensitivit Sensitivit d d y y Type Face Value(1) Portfolio Price Coupon GWAC Age (Months) in May) in May) (-50 BPS) (+50 BPS) (2) (2) --------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Pass Through RMBS Post Reset ARM $ 1,136 $ 1,202 0.04 % $ 105.81 4.78 % 5.22 % 176 185 0.00 % 40.67 % $ 7 $ (7 ) Fixed Rate CMO 681,367 706,390 20.81 % 103.67 4.26 % 4.61 % 14 343 15.35 % 11.55 % 56 (3,508 ) 15yr 4.0 474,789 495,341 14.59 % 104.33 4.00 % 4.54 % 11 166 9.57 % 8.60 % 8,558 (9,097 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 15yr Total 474,789 495,341 14.59 % 104.33 4.00 % 4.54 % 11 166 9.57 % 8.60 % 8,558 (9,097 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr 4.0 87,786 91,837 2.70 % 104.61 4.00 % 4.48 % 21 215 10.37 % 9.53 % 1,962 (2,049 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr Total 87,786 91,837 2.70 % 104.61 4.00 % 4.48 % 21 215 10.37 % 9.53 % 1,962 (2,049 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr 3.0 224,240 219,286 6.46 % 97.79 3.00 % 4.34 % 1 359 3.23 % - 4,839 (6,924 ) 30yr 3.5 54,896 55,507 1.63 % 101.11 3.50 % 4.22 % 13 344 6.13 % - 1,044 (1,414 ) 30yr 4.0 749,380 778,905 22.94 % 103.94 4.00 % 4.67 % 12 347 7.68 % 8.20 % 12,821 (18,291 ) 30yr 4.5 468,037 490,963 14.46 % 104.90 4.50 % 5.11 % 8 352 12.65 % 12.48 % 4,205 (6,591 ) 30yr 5.0 385,844 418,287 12.32 % 108.41 5.00 % 5.59 % 10 348 9.70 % 14.12 % 6,017 (7,482 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr Total 1,882,397 1,962,948 57.82 % 104.28 4.20 % 4.91 % 9 350 8.72 % 11.21 % 28,926 (40,702 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Pass 3,127,475 3,257,718 95.95 % 104.16 4.18 % 4.78 % 11 316 10.44 % 10.66 % 39,509 (55,363 ) Through RMBS --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Structured RMBS Interest-Only 788,857 113,137 3.33 % 14.34 3.76 % 4.34 % 62 253 11.22 % 9.67 % (17,821 ) 14,663 Securities Inverse Interest-Only 215,119 24,236 0.71 % 11.27 2.64 % 4.86 % 58 293 9.69 % 9.02 % 1,853 (2,699 ) Securities --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total 1,003,976 137,373 4.05 % 13.68 3.52 % 4.45 % 61 262 10.89 % 9.53 % (15,968 ) 11,964 Structured RMBS --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Mortgage $ 4,131,451 $ 3,395,091 100.00 % 4.02 % 4.70 % 23 303 10.56 % 10.30 % $ 23,541 $ (43,399 ) Assets --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Interest Interest Average Hedge Rate Rate Notional Period Sensitivit Sensitivit y y Hedge Balance End (-50 BPS) (+50 BPS) (2) (2) --------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Eurodollar $ (457,143 ) Dec-2020 $ (4,000 ) $ 4,000 Futures Swaps (1,760,000 ) Sep-2020 (22,359 ) 22,359 5-Year Treasury (165,000 ) Jun-2019 (4,095 ) 4,534 Future (3) TBA (250,000 ) May-2019 (4,349 ) 6,289 Swaptions (100,000 ) Jun-2026 (87 ) 1,304 --------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Hedge Total $ (2,732,143 ) $ (34,890 ) $ 38,486 --------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Rate Shock $ (11,349 ) $ (4,913 ) Grand Total --------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- -

Amounts in the tables above include assets with a fair value of approximately $202.2 million purchased in (1) April 2019, which settle in May 2019, and exclude assets with a fair value of approximately $248.2 million sold in April 2019, which settle in May 2019. Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous (2) 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 $115.64 at April 30, 2019. The notional contract value of the short position was $190.8 million.

RMBS Assets by Agency Investment Company Act of 1940 Whole Pool Test ($ in thousands) ($ in thousands) --------------------- - --------- ------- --------------------- - --------- ------- Percenta Percenta ge ge Fair of Fair of Asset Category Value(1) Portfoli Asset Category Value(1) Portfoli o o --------------------- - --------- ------- --------------------- - --------- ------- As of April 30, 2019 As of April 30, 2019 Fannie Mae $ 1,967,242 57.9 % Non-Whole Pool Assets $ 1,243,228 36.6 % Freddie Mac 1,424,448 42.0 % Whole Pool Assets 2,151,863 63.4 % --------------------- - --------- ----- - Ginnie Mae 3,401 0.1 % Total Mortgage Assets $ 3,395,091 100.0 % --------------------- - --------- ----- - --------------------- - --------- ----- - Total Mortgage Assets $ 3,395,091 100.0 % --------------------- - --------- ----- -

Amounts in the tables above include assets with a fair value of approximately $202.2 million purchased in (1) April 2019, which settle in May 2019 and exclude assets with a fair value of approximately $248.2 million sold in April 2019, which settle in May 2019.

Borrowings By Counterparty ($ in thousands) ------------------------------------- - ------------- ------- ------ -------- --------- WeighteWeighted d % of AverageAverage Total Total Repo Maturity Longest As of April 30, 2019 Borrowings(1) Debt Rate in Days Maturity ------------------------------------- - ------------- ------- ------ -------- --------- RBC Capital Markets, LLC $ 469,669 14.5 % 2.69 % 36 7/15/2019 Mirae Asset Securities (USA) Inc. 369,666 11.4 % 2.65 % 106 10/9/2019 Wells Fargo Bank, N.A. 368,141 11.3 % 2.67 % 21 6/10/2019 J.P. Morgan Securities LLC 252,512 7.8 % 2.70 % 15 5/15/2019 ING Financial Markets LLC 225,957 6.9 % 2.65 % 61 7/24/2019 Cantor Fitzgerald & Co 204,110 6.3 % 2.68 % 17 6/5/2019 Mitsubishi UFJ Securities (USA), Inc 198,607 6.1 % 2.66 % 41 7/22/2019 South Street Securities, LLC 196,440 6.0 % 2.63 % 226 4/9/2020 ABN AMRO Bank N.V. 153,738 4.7 % 2.62 % 6 5/6/2019 ASL Capital Markets Inc. 136,771 4.2 % 2.65 % 64 10/7/2019 Citigroup Global Markets Inc 130,772 4.0 % 2.70 % 28 7/16/2019 ICBC Financial Services LLC 112,926 3.5 % 2.64 % 24 6/11/2019 ED&F Man Capital Markets Inc 97,735 3.0 % 2.63 % 116 10/7/2019 FHLB-Cincinnati 81,499 2.5 % 2.88 % 1 5/1/2019 Natixis, New York Branch 54,845 1.7 % 2.76 % 15 5/15/2019 Lucid Cash Fund USG LLC 48,678 1.5 % 2.65 % 16 5/16/2019 Bank of Montreal 42,816 1.3 % 2.70 % 42 6/14/2019 Guggenheim Securities, LLC 33,015 1.0 % 2.62 % 28 5/28/2019 Merrill Lynch, Pierce, Fenner & Smith 32,413 1.0 % 2.81 % 21 5/30/2019 J.V.B. Financial Group, LLC 24,447 0.8 % 2.64 % 44 7/3/2019 Lucid Prime Fund, LLC 17,802 0.5 % 2.72 % 16 5/16/2019 ------------------------------------- - ------------- ----- - ---- - -------- --------- Total Borrowings $ 3,252,559 100.0 % 2.67 % 53 4/9/2020 ------------------------------------- - ------------- ----- - ---- - -------- ---------

In April 2019, the Company purchased assets with a fair value of approximately $202.2 million, which settle in May 2019 that are expected to be funded by repurchase agreements. The anticipated borrowings (1) are not included in the table above. In addition, the Company sold assets with a fair value of approximately $248.2 million, which settle in May 2019 that collateralize approximately $241.2 million of repurchase agreements included in the table above.

Contact:

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