GlobeNewswire Inc | Aug 19, 2020 05:05PM EDT

August 19, 2020

-- August 2020 Monthly Dividend of $0.065 Per Share of Common Stock -- RMBS Portfolio Characteristics as of July 31, 2020 -- Next Dividend Announcement Expected September 16, 2020

VERO BEACH, Fla., Aug. 19, 2020 (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 August 2020. The dividend of$0.065 per share will be paid September 28, 2020, to holders of record of the Companys common stock on August 31, 2020, with an ex-dividend date of August 28, 2020. The Company plans on announcing its next common stock dividend after the Boards meeting on September 16, 2020.

The Company intends to make regular monthly cash distributions to its holders of common stock. 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 August 19, 2020, the Company had 66,402,329 shares of common stock outstanding. As of July 31, 2020 and June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 2020 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 and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company 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 Companys 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 Companys Annual Report on Form 10-K for the fiscal year ended December 31, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.

RMBS Valuation Characteristics($ in thousands) Realized Realized Jul 2020 May - Jul Modeled Modeled Net Weighted CPR 2020 CPR Interest Interest % Weighted Average (1-Month) (3-Month) Rate Rate Current Fair of Current Average Maturity (Reported (Reported Sensitivity SensitivityType Face Value^(1) Portfolio Price Coupon GWAC Age (Months) in Aug) in Aug) (-50 BPS)^ (+50 BPS)^ (2) (2)Pass Through RMBSPost Reset ARM $ 936 $ 971 0.03 % $ 103.77 4.51 % 4.75 % 191 169 0.00 % 0.00 % $ 2 $ (2 )Fixed Rate CMO 148,531 159,208 4.38 % 107.19 4.00 % 4.40 % 36 319 17.73 % 21.73 % 270 (119 )15yr 4.0 1,238 1,328 0.04 % 107.24 4.00 % 4.49 % 27 139 3.53 % 1.61 % 17 (17 )15yr Total 1,238 1,328 0.04 % 107.24 4.00 % 4.49 % 27 139 3.53 % 1.61 % 17 (17 )20yr 2.5 150,000 157,906 4.34 % 105.27 2.50 % 3.34 % 1 239 1.24 % n/a 215 (453 )20yr Total 150,000 157,906 4.34 % 105.27 2.50 % 3.34 % 1 239 1.24 % n/a 215 (453 )30yr 3.0 356,349 380,033 10.45 % 106.65 3.00 % 3.88 % 7 348 6.29 % 7.96 % 1,637 (2,299 )30yr 3.5 1,421,763 1,563,289 42.98 % 109.95 3.50 % 4.00 % 9 347 8.89 % 9.14 % 14,027 (18,544 )30yr 4.0 475,106 531,231 14.61 % 111.81 4.00 % 4.52 % 17 339 11.90 % 12.40 % 6,459 (7,589 )30yr 4.5 302,397 340,954 9.37 % 112.75 4.50 % 5.01 % 16 342 18.81 % 17.04 % 2,879 (3,157 )30yr 5.0 156,341 177,734 4.89 % 113.68 5.00 % 5.56 % 25 330 22.49 % 21.38 % 1,840 (1,913 )30yr Total 2,711,956 2,993,241 82.30 % 110.37 3.72 % 4.28 % 12 344 11.05 % 11.46 % 26,842 (33,502 )Total Pass 3,012,661 3,312,654 91.08 % 109.96 3.67 % 4.24 % 12 338 10.87 % 12.06 % 27,346 (34,093 )Through RMBSStructured RMBS Interest-Only 329,362 31,046 0.85 % 9.43 4.00 % 4.59 % 73 273 39.79 % 37.73 % (839 ) 1,797 SecuritiesTotal 329,362 31,046 0.85 % 9.43 4.00 % 4.59 % 73 273 39.79 % 37.73 % (839 ) 1,797 Structured RMBSLong TBA PositionsFNCL 2.5 TBA 279,000 293,386 8.07 % 105.16 2.50 % 2,165 (3,069 )Total Long TBA 279,000 293,386 8.07 % 105.16 2.50 % 2,165 (3,069 )Total Mortgage $ 3,621,023 $ 3,637,086 100.00 % 3.61 % 4.27 % 18 331 13.81 % 15.06 % $ 28,672 $ (35,365 )Assets Interest Interest Average Hedge Rate Rate Notional Period Sensitivity SensitivityHedge Balance End (-50 BPS)^ (+50 BPS)^ (2) (2)Eurodollar $ (50,000 ) Dec-2021 (375 ) 375 FuturesSwaps (820,000 ) Apr-2025 (16,509 ) 20,785 5-Year Treasury (69,000 ) Sep-2020^ (2,246 ) 2,190 Futures (3)Swaptions (666,300 ) Oct-2021 (2,848 ) 4,507 Hedge Total $ (1,605,300 ) $ (21,978 ) $ 27,857 Rate Shock $ 6,694 $ (7,508 )Grand Total

(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million purchased in July 2020, which settle in August 2020.

(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 $126.13 at July 31, 2020. The market value of the short position was $87.0 million.

RMBS Assets by Investment Company Act of 1940Agency Whole Pool Test($ in thousands) ($ in thousands) Percentage Percentage Fair of Fair ofAsset Category Value^(1) Portfolio Asset Value^(1) Portfolio (2) Category (2)As of July 31, As of July 2020 31, 2020Fannie Mae $ 2,072,835 62.0 % Non-Whole $ 706,208 21.1 % Pool AssetsFreddie Mac 1,270,865 38.0 % Whole Pool 2,637,492 78.9 % AssetsTotal Mortgage TotalAssets $ 3,343,700 100.0 % Mortgage $ 3,343,700 100.0 % Assets

(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million sold in July 2020, which settle in August 2020.

(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $293.4 million.

Borrowings By Counterparty($ in thousands) Weighted Weighted % of Average Average Total Total Repo Maturity LongestAs of July 31, 2020 Borrowings Debt Rate in Days MaturityMirae Asset Securities $ 375,504 12.2 % 0.25 % 73 1/14/(USA) Inc. 2021Wells Fargo Bank, N.A. 320,812 10.4 % 0.25 % 12 8/19/ 2020Merrill Lynch, Pierce, 284,967 9.2 % 0.28 % 13 8/31/Fenner & Smith 2020J.P. Morgan Securities 266,174 8.6 % 0.28 % 44 10/1/LLC 2020ABN AMRO Bank N.V. 232,576 7.5 % 0.26 % 16 8/24/ 2020Cantor Fitzgerald & Co 230,880 7.5 % 0.25 % 16 9/15/ 2020Citigroup Global Markets 212,205 6.9 % 0.28 % 14 8/20/Inc 2020RBC Capital Markets, LLC 208,584 6.8 % 0.27 % 16 8/24/ 2020ASL Capital Markets Inc. 204,791 6.6 % 0.23 % 77 10/28/ 2020Mitsubishi UFJ 189,233 6.1 % 0.25 % 45 9/25/Securities (USA), Inc 2020ING Financial Markets 141,636 4.6 % 0.25 % 18 8/19/LLC 2020Daiwa Securities America 78,951 2.6 % 0.29 % 22 9/4/2020Inc.South Street Securities, 77,304 2.5 % 0.28 % 216 5/13/LLC 2021Bank of Montreal 73,269 2.4 % 0.25 % 13 8/13/ 2020ED&F Man Capital Markets 64,506 2.1 % 0.22 % 64 10/22/Inc 2020Lucid Cash Fund USG LLC 58,089 1.9 % 0.31 % 13 8/13/ 2020J.V.B. Financial Group, 26,270 0.9 % 0.30 % 76 10/15/LLC 2020Barclays Capital Inc 25,445 0.8 % 0.29 % 10 8/10/ 2020Austin Atlantic Asset 11,361 0.4 % 0.30 % 5 8/5/2020Management Co.Total Borrowings $ 3,082,557 100.0 % 0.26 % 37 5/13/ 2021

Peer Performance

The tables below present total return data for the Company compared to a selected group of peers based on stock price performance for periods through August 14, 2020 and based on book value performance for periods through June 30, 2020.

Portfolio Total Rate of Return Versus Peer Group Average - Stock PricePerformance ORC Spread ORC Over / (Under) Total Rate Peer Peer of Return^ Average^(1) Average^(3) (1) (2)Year to Date (1/1/2020 - 8/14/2020) (2.4)% (25.4)% 23.0%One Year Total Return 3.3% (16.7)% 20.0%Two Year Total Return (12.7)% (20.1)% 7.4%Three Year Total Return (14.2)% (23.2)% 9.0%Four Year Total Return (10.5)% (15.1)% 4.6%Five Year Total Return 22.7% (3.5)% 26.2%Six Year Total Return (5.4)% (7.0)% 1.6%Seven Year Total Return 42.1% 7.7% 34.4%Inception to Date (2/13/2013 - 8/14/ 11.3% (12.1)% 23.4%2020)

Source: SEC filings and press releases of the Company and Peer Group(1) Total rate of return for each period is pulled from Bloomberg COMP page and includes reinvested dividends, for each period noted.

(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, DX, AI and CHMI.

(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.

Portfolio Total Rate of Return Versus Peer Group Average - Book ValuePerformance ORC Spread ORC Over / (Under) Total Rate Peer Peer of Return^ Average^(1) Average^(3) (1) (2)Year to Date (1/1/2020 - 6/30/2020) (10.3)% (20.4)% 10.1%One Year Total Return (7.9)% (14.2)% 6.3%Two Year Total Return (10.0)% (14.4)% 4.4%Three Year Total Return (8.0)% (11.5)% 3.5%Four Year Total Return (6.3)% (8.7)% 2.4%Five Year Total Return (4.2)% (7.4)% 3.2%Six Year Total Return 7.4% (3.7)% 11.1%Inception to Date (3/31/2013 - 6/30-2020) 9.2% (4.3)% 13.5%^(4)

Source: SEC filings and press releases of the Company and Peer Group(1) Total rate of return for each period is change in book value per share over the period plus dividends per share declared divided by the book value per share at the beginning of the period.

(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, ARR, DX, AI and CHMI.

(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.

(4) Peer book values are not available for the Company's true inception date (2/13/2013). Because all peer book values are not available as of the Companys true inception date (2/13/2013), the starting point for all of the peer companies is 3/31/2013.

Contact:

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