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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 November 2019 Monthly Dividend and October 31, 2019 RMBS Portfolio Characteristics

November 13, 2019 GMT

-- November 2019 Monthly Dividend of $0.08 Per Share -- RMBS Portfolio Characteristics as of October 31, 2019 -- Next Dividend Announcement Expected December 12, 2019

VERO BEACH, Fla., Nov. 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 November 2019. The dividend of $0.08 per share will be paid December 31, 2019, to holders of record on November 29, 2019, with an ex-dividend date of November 27, 2019. The Company plans on announcing its next dividend after the Board’s meeting on December 12, 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 November 13, 2019, the Company had 63,058,209 shares outstanding. At September 30, 2019, the Company also had 63,058,209 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of October 31, 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 on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, and (ii) structured Agency RMBS. Orchid is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

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 Oct Aug - Modeled Modeled 2019 Oct 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 Nov) in Nov) (-50 BPS) (+50 BPS) (2) (2) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Pass Through RMBS Post Reset $ 1,111 $ 1,179 0.03 % $ 106.11 4.46 % 4.91 % 182 179 63.90 % 38.50 % $ 7 $ (7 ) ARM Fixed Rate 312,979 325,822 8.88 % 104.10 4.22 % 4.58 % 24 333 25.32 % 23.05 % 1,070 (1,841 ) CMO 15yr 4.0 19,710 20,797 0.57 % 105.51 4.00 % 4.45 % 17 156 24.05 % 16.25 % 240 (284 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 15yr Total 19,710 20,797 0.57 % 105.51 4.00 % 4.45 % 17 156 24.05 % 16.25 % 240 (284 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr 4.0 81,774 87,997 2.40 % 107.61 4.00 % 4.48 % 27 208 9.58 % 12.00 % 1,697 (1,805 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 20yr Total 81,774 87,997 2.40 % 107.61 4.00 % 4.48 % 27 208 9.58 % 12.00 % 1,697 (1,805 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr 3.0 160,678 164,229 4.47 % 102.21 3.00 % 3.95 % 4 355 5.95 % 3.83 % 2,803 (3,875 ) 30yr 3.5 641,434 671,902 18.30 % 104.75 3.50 % 4.16 % 5 353 5.28 % 6.47 % 10,813 (14,480 ) 30yr 4.0 979,684 1,043,826 28.44 % 106.55 4.00 % 4.60 % 15 342 20.35 % 18.60 % 13,132 (17,943 ) 30yr 4.5 419,876 454,970 12.39 % 108.36 4.50 % 5.05 % 10 349 14.42 % 12.44 % 4,082 (5,920 ) 30yr 5.0 722,673 795,800 21.68 % 110.12 5.00 % 5.52 % 17 341 20.69 % 17.59 % 7,260 (9,592 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - 30yr Total 2,924,345 3,130,727 85.29 % 107.06 4.15 % 4.76 % 12 346 15.49 % 14.56 % 38,090 (51,810 ) ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Pass 3,339,919 3,566,522 97.16 % 106.78 4.16 % 4.74 % 13 340 16.33 % 15.45 % 41,104 (55,747 ) Through RMBS ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Structured RMBS Interest-Only 697,753 79,124 2.16 % 11.34 3.76 % 4.34 % 70 247 25.35 % 22.56 % (9,369 ) 10,599 Securities Inverse Interest-Only 194,607 25,062 0.68 % 12.88 3.21 % 4.86 % 64 286 16.08 % 14.84 % 1,088 (1,840 ) Securities ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Structured 892,360 104,186 2.84 % 11.68 3.64 % 4.46 % 69 255 23.32 % 20.88 % (8,281 ) 8,759 RMBS ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Total Mortgage $ 4,232,279 $ 3,670,708 100.00 % 4.05 % 4.68 % 25 322 17.80 % 16.75 % $ 32,823 $ (46,988 ) Assets ------------- - ---------- - - --------- ------ - - ------- ---- - ---- - --- -------- ----- - ----- - - ------- - - ------- - Interest Interest Average Hedge Rate Rate Notional Period Sensitivit Sensitivit y y Hedge Balance End (-50 BPS) (+50 BPS) (2) (2) ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Eurodollar $ (500,000 ) Dec-2020 (3,125 ) 3,125 Futures Fed Funds (400,000 ) Mar-2020 (833 ) 833 Futures Swaps (2,120,000 ) May-2022 (26,072 ) 26,072 5-Year Dec-2019 Treasury (140,000 ) (3) (2,154 ) 5,670 Future TBA Long ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - --------- - --------- Hedge Total $ (3,160,000 ) $ (32,184 ) $ 35,700 ------------- - ---------- - - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- - Rate Shock $ 639 $ (11,288 ) Grand Total ------------- - ------------ - --------- -------- - ------- ------ ------ --- -------- ------- ------- - ------- - - ------- -

(1) Amounts in the tables above exclude assets with a fair value of approximately $366.6 million sold in October 2019, which settle in November 2019.(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 $119.20 at October 31, 2019. The notional contract value of the short position was $166.9 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 October 31, 2019 As of October 31, 2019 Fannie Mae $ 2,892,794 78.8 % Non-Whole Pool Assets $ 600,891 16.4 % Freddie Mac 775,630 21.1 % Whole Pool Assets 3,069,817 83.6 % ---------------------- - --------- ----- - Ginnie Mae 2,284 0.1 % Total Mortgage Assets $ 3,670,708 100.0 % ---------------------- - --------- ----- - ---------------------- - --------- ----- - Total Mortgage Assets $ 3,670,708 100.0 % ---------------------- - --------- ----- -

(1) Amounts in the tables above exclude assets with a fair value of approximately $366.6 million sold in October 2019, which settle in November 2019.

Borrowings By Counterparty ($ in thousands) ------------------------------------- - ---------- ------- ------ -------- ---------- WeighteWeighted d % of AverageAverage Total Total Repo Maturity Longest As of October 31, 2019 Borrowings Debt Rate in Days Maturity ------------------------------------- - ---------- ------- ------ -------- ---------- J.P. Morgan Securities LLC $ 453,414 11.8 % 2.40 % 26 12/12/2019 Mirae Asset Securities (USA) Inc. 400,193 10.4 % 2.12 % 37 2/13/2020 Wells Fargo Bank, N.A. 372,162 9.7 % 2.08 % 29 1/21/2020 RBC Capital Markets, LLC 337,504 8.8 % 2.14 % 59 1/13/2020 Cantor Fitzgerald & Co 324,690 8.5 % 2.13 % 13 11/18/2019 Citigroup Global Markets Inc 224,212 5.8 % 2.11 % 72 1/14/2020 ASL Capital Markets Inc. 217,044 5.7 % 2.05 % 62 1/29/2020 ABN AMRO Bank N.V. 207,186 5.4 % 2.14 % 9 11/15/2019 ED&F Man Capital Markets Inc 203,773 5.3 % 2.11 % 52 2/10/2020 South Street Securities, LLC 174,188 4.5 % 2.49 % 114 4/9/2020 Mitsubishi UFJ Securities (USA), Inc 165,296 4.3 % 2.44 % 29 1/28/2020 ING Financial Markets LLC 159,970 4.2 % 2.04 % 78 1/27/2020 Daiwa Securities America Inc. 111,101 2.9 % 2.16 % 7 11/12/2019 ICBC Financial Services LLC 101,593 2.6 % 2.11 % 14 11/14/2019 Guggenheim Securities, LLC 90,155 2.4 % 2.07 % 44 1/30/2020 FHLB-Cincinnati 78,926 2.1 % 1.85 % 1 11/1/2019 Lucid Cash Fund USG LLC 53,854 1.4 % 2.14 % 14 11/14/2019 Nomura Securities International, Inc. 48,554 1.3 % 2.10 % 14 11/14/2019 Bank of Montreal 40,767 1.1 % 2.15 % 16 11/27/2019 J.V.B. Financial Group, LLC 28,245 0.7 % 2.19 % 57 1/6/2020 Merrill Lynch, Pierce, Fenner & Smith 26,271 0.7 % 2.29 % 9 11/12/2019 Lucid Prime Fund, LLC 13,395 0.3 % 2.18 % 14 11/14/2019 Mizuho Securities USA, Inc 3,190 0.1 % 2.47 % 15 11/15/2019 ------------------------------------- - ---------- ----- - ---- - -------- ---------- Total Borrowings $ 3,835,683 100.0 % 2.17 % 39 4/9/2020 ------------------------------------- - ---------- ----- - ---- - -------- ---------- (1) In October 2019, the Company sold assets with a fair value of approximately $366.6 million, which settle in November 2019 that collateralize approximately $363.7 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