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Orchid Island Capital Announces September 2018 Monthly Dividend and August 31, 2018 RMBS Portfolio Characteristics

September 17, 2018

-- 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) --------------- - --------- - --------- --------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- RealizedRealized Aug Jun - 2018 Aug Net Weighted CPR 2018 Modeled Modeled 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 Sep) in Sep) (-50 BPS) (+50 BPS) (2) (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 26,160 26,017 0.74 % 99.45 2.65 % 3.33 % 73 288 0.77 % 3.43 % 339 (352 ) Hybrid/ARM --------------- - --------- - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 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 749,438 772,972 21.98 % 103.14 4.27 % 4.62 % 6 352 7.59 % 6.14 % 4,581 (9,519 ) Total --------------- - --------- - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 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 3,233,166 3,355,460 95.40 % 103.78 4.27 % 4.71 % 9 297 7.10 % 7.19 % 52,619 (66,863 ) Rate RMBS --------------- - --------- - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Pass 3,259,326 3,381,477 96.14 % 103.75 4.26 % 4.70 % 10 297 7.05 % 7.14 % 52,958 (67,215 ) Through RMBS --------------- - --------- - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Structured RMBS Interest-Only 727,477 111,328 3.17 % 15.30 3.70 % 4.28 % 60 246 11.44 % 12.13 % (14,291 ) 9,821 Securities Inverse Interest-Only 238,330 24,499 0.70 % 10.28 3.07 % 4.86 % 50 301 13.42 % 12.73 % 2,415 (3,047 ) Securities --------------- - --------- - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total 965,807 135,827 3.86 % 14.06 3.54 % 4.42 % 57 260 11.92 % 12.27 % (11,876 ) 6,774 Structured RMBS --------------- - --------- - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Mortgage $ 4,225,133 $ 3,517,304 100.00 % 4.09 % 4.64 % 21 289 8.17 % 8.62 % $ 41,082 $ (60,441 ) Assets --------------- - --------- - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Int Int Average Hedge Rate Rate Notional Period Sensitivit Sensitivit y y Hedge Balance End (-50 BPS) (+50 BPS) (2) (2) --------------- - --------- - --------- --------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Eurodollar 1,475,000 Dec-2020 $ (18,438 ) $ 18,438 Futures Swaps 1,260,000 Aug-2022 (13,706 ) 13,706 5-Year Treasury 165,000 Dec-2018 (4,058 ) 4,245 Future 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 $ (9,543 ) $ 8,893 Grand Total --------------- - --------- - --------- --------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- -

(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) --------------------- - --------- ------- --------------------- - --------- ------- Percenta Percenta ge ge Fair of Fair of Asset Category Value(1) Portfoli Asset Category Value(1) Portfoli o o --------------------- - --------- ------- --------------------- - --------- ------- 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 Weighte d % 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. Cauley3305 Flamingo Drive, Vero Beach, Florida 32963Telephone: (772) 231-1400

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