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PRESS RELEASE from provider: Globe Newswire
This content is a press release from our partner Globe Newswire. The AP newsroom and editorial departments were not involved in its creation.

Orchid Island Capital Announces March 2019 Monthly Dividend and February 28, 2019 RMBS Portfolio Characteristics

March 13, 2019

-- March 2019 Monthly Dividend of $0.08 Per Share -- RMBS Portfolio Characteristics as of February 28, 2019 -- Next Dividend Announcement Expected April 17, 2019

VERO BEACH, Fla., March 13, 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 March 2019. The dividend of $0.08 per share will be paid April 30, 2019, to holders of record on March 29, 2019, with an ex-dividend date of March 28, 2019. The Company plans on announcing its next dividend after the Board’s meeting on April 17, 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 March 13, 2019, the Company had 49,018,779 shares outstanding. At December 31, 2018, the Company had 49,132,423 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of February 28, 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. 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 Feb Dec - Modeled Modeled 2019 Feb 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 Portfolio Price Coupon GWAC Age (Months) in Mar) in Mar) (-50 BPS) (+50 BPS) (1) (1) --------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- ARM RMBS Post Rest ARM $ 1,337 $ 1,413 0.05 % $ 105.66 4.75 % 5.19 % 172 189 69.02 % 43.14 % $ 9 $ (7 ) Fixed Rate CMO 701,767 722,819 24.30 % 103.00 4.26 % 4.61 % 12 345 8.90 % 7.59 % 2,997 (6,809 ) 15yr 4.0 519,826 538,634 18.11 % 103.62 4.00 % 4.53 % 9 168 7.54 % 6.37 % 9,621 (10,136 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 15yr Total 519,826 538,634 18.11 % 103.62 4.00 % 4.53 % 9 168 7.54 % 6.37 % 9,621 (10,136 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr 4.0 89,738 92,767 3.12 % 103.38 4.00 % 4.48 % 19 217 9.52 % 7.53 % 2,041 (2,103 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr Total 89,738 92,767 3.12 % 103.38 4.00 % 4.48 % 19 217 9.52 % 7.53 % 2,041 (2,103 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr 4.0 303,061 311,695 10.48 % 102.85 4.00 % 4.55 % 22 336 5.39 % 5.48 % 6,606 (8,107 ) 30yr 4.5 955,242 998,006 33.55 % 104.48 4.50 % 4.96 % 12 347 9.90 % 10.09 % 13,612 (18,663 ) 30yr 5.0 162,596 173,802 5.84 % 106.89 5.00 % 5.50 % 12 346 13.45 % 10.88 % 2,362 (3,056 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr Total 1,420,899 1,483,503 49.87 % 104.41 4.45 % 4.94 % 14 345 9.35 % 9.20 % 22,580 (29,826 ) --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Pass 2,733,567 2,839,136 95.44 % 103.86 4.30 % 4.76 % 13 307 8.92 % 8.11 % 37,248 (48,881 ) Through RMBS --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Structured RMBS Interest-Only 753,908 112,560 3.78 % 14.93 3.74 % 4.33 % 60 253 7.11 % 7.35 % (14,885 ) 11,399 Securities Inverse Interest-Only 219,974 23,229 0.78 % 10.56 2.63 % 4.86 % 56 295 8.76 % 9.65 % 2,338 (3,035 ) Securities --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total 973,882 135,789 4.56 % 13.94 3.49 % 4.45 % 59 262 7.48 % 7.87 % (12,547 ) 8,364 Structured RMBS --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Mortgage $ 3,707,449 $ 2,974,925 100.00 % 4.09 % 4.68 % 25 295 8.54 % 8.04 % $ 24,701 $ (40,517 ) Assets --------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Interest Interest Average Hedge Rate Rate Notional Period Sensitivit Sensitivit y y Hedge Balance End (-50 BPS) (+50 BPS) (1) (1) --------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Eurodollar $ (1,725,000 ) Dec-2020 $ (17,250 ) $ 17,250 Futures Swaps (1,260,000 ) Oct-2020 (10,725 ) 10,725 5-Year Treasury (165,000 ) Jun-2019 (4,019 ) 4,500 Future (2) TBA (250,000 ) Mar-2018 (5,208 ) 6,086 Hedge Total $ (3,400,000 ) $ (37,202 ) $ 38,561 --------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Rate Shock $ (12,501 ) $ (1,956 ) Grand Total --------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - (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) Five year treasury futures contracts were valued at prices of $114.56 at February 28, 2019. The notional contract value of the short position was $189.0 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 Portfoli Asset Category Value Portfoli o o ----------------------- - --------- ------- ----------------------- - --------- ------- As of February 28, 2019 As of February 28, 2019 Fannie Mae $ 1,461,823 49.1 % Non-Whole Pool Assets $ 928,095 31.2 % Freddie Mac 1,509,304 50.8 % Whole Pool Assets 2,046,830 68.8 % ----------------------- - --------- ----- - Ginnie Mae 3,798 0.1 % Total Mortgage Assets $ 2,974,925 100.0 % ----------------------- - --------- ----- - ----------------------- - --------- ----- - Total Mortgage Assets $ 2,974,925 100.0 % ----------------------- - --------- ----- -

Borrowings By Counterparty ($ in thousands) ------------------------------------- - ---------- ------- ------ -------- --------- WeighteWeighted d % of AverageAverage Total Total Repo Maturity Longest As of February 28, 2019 Borrowings Debt Rate in Days Maturity ------------------------------------- - ---------- ------- ------ -------- --------- Mirae Asset Securities (USA) Inc. $ 371,010 13.3 % 2.66 % 49 5/13/2019 RBC Capital Markets, LLC 317,254 11.3 % 2.67 % 16 3/28/2019 Wells Fargo Bank, N.A. 306,180 10.9 % 2.64 % 17 3/26/2019 J.P. Morgan Securities LLC 257,599 9.2 % 2.65 % 15 3/15/2019 Cantor Fitzgerald & Co 249,621 8.9 % 2.63 % 12 3/15/2019 ING Financial Markets LLC 224,760 8.0 % 2.63 % 15 3/25/2019 Mitsubishi UFJ Securities (USA), Inc 203,012 7.2 % 2.67 % 67 5/15/2019 ABN AMRO Bank N.V. 148,320 5.3 % 2.65 % 35 4/4/2019 ICBC Financial Services LLC 124,773 4.4 % 2.66 % 14 3/15/2019 Citigroup Global Markets Inc 112,169 4.0 % 2.67 % 25 3/29/2019 ASL Capital Markets Inc. 90,729 3.2 % 2.67 % 75 5/14/2019 FHLB-Cincinnati 82,688 2.9 % 2.67 % 1 3/1/2019 South Street Securities, LLC 74,905 2.7 % 2.63 % 29 3/29/2019 Natixis, New York Branch 56,589 2.0 % 2.77 % 15 3/15/2019 Lucid Cash Fund USG LLC 48,776 1.7 % 2.68 % 14 3/14/2019 Bank of Montreal 35,447 1.3 % 2.66 % 15 3/15/2019 Guggenheim Securities, LLC 26,762 1.0 % 2.66 % 1 3/1/2019 J.V.B. Financial Group, LLC 24,546 0.9 % 2.63 % 21 3/25/2019 Lucid Prime Fund, LLC 20,153 0.7 % 2.73 % 14 3/14/2019 Merrill Lynch, Pierce, Fenner & Smith 15,807 0.6 % 3.04 % 28 3/28/2019 ED&F Man Capital Markets Inc 13,469 0.5 % 2.63 % 7 3/7/2019 ------------------------------------- - ---------- ----- - ---- - -------- --------- Total Borrowings $ 2,804,569 100.0 % 2.66 % 27 5/15/2019 ------------------------------------- - ---------- ----- - ---- - -------- ---------

Contact:

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