GlobeNewswire Inc | Sep 16, 2020 05:25PM EDT

September 16, 2020

-- September 2020 Monthly Dividend of $0.065 Per Share of Common Stock -- RMBS Portfolio Characteristics as of August 31, 2020 -- Next Dividend Announcement Expected October 14, 2020

VERO BEACH, Fla., Sept. 16, 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 September 2020. The dividend of $0.065 per share will be paid October 28, 2020, to holders of record of the Companys common stock on September 30, 2020, with an ex-dividend date of September 29, 2020. The Company plans on announcing its next common stock dividend after the Boards meeting on October 14, 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 September 16, 2020, the Company had68,906,465 shares of common stock outstanding. As of August 31, 2020, the Company had 68,214,819 shares of common stock outstanding. As of June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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 Aug 2020 Jun - Aug 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 Portfolio Price Coupon GWAC Age (Months) in Sep) in Sep) (-50 BPS)^ (+50 BPS)^ (1) (1)Pass Through RMBSPost Reset ARM $ 932 $ 964 0.02 % $ 103.43 4.30 % 4.09 % 193 168 0.00 % 0.00 % $ 4 $ (3 )Fixed Rate CMO 145,144 155,431 4.02 % 107.09 4.00 % 4.40 % 38 317 20.53 % 19.18 % 324 (302 )15yr 4.0 1,228 1,319 0.03 % 107.39 4.00 % 4.49 % 28 138 3.58 % 2.59 % 17 (17 )15yr Total 1,228 1,319 0.03 % 107.39 4.00 % 4.49 % 28 138 3.58 % 2.59 % 17 (17 )20yr 2.5 149,402 157,549 4.08 % 105.45 2.50 % 3.34 % 2 238 3.45 % n/a (211 ) 30 20yr Total 149,402 157,549 4.08 % 105.45 2.50 % 3.34 % 2 238 3.45 % n/a (211 ) 30 30yr 2.5 250,000 264,317 6.84 % 105.73 2.50 % 3.36 % 1 359 0.00 % n/a 2,350 (3,756 )30yr 3.0 181,932 194,067 5.02 % 106.67 3.00 % 3.84 % 9 349 14.21 % 10.17 % 927 (1,304 )30yr 3.5 1,408,624 1,551,560 40.13 % 110.15 3.50 % 3.99 % 10 346 11.48 % 10.03 % 15,968 (21,146 )30yr 4.0 469,162 524,607 13.57 % 111.82 4.00 % 4.52 % 18 337 13.89 % 13.82 % 6,940 (8,134 )30yr 4.5 296,626 335,290 8.67 % 113.03 4.50 % 5.01 % 17 341 20.30 % 19.60 % 3,054 (3,399 )30yr 5.0 152,723 173,899 4.50 % 113.87 5.00 % 5.56 % 26 329 19.98 % 20.88 % 1,916 (2,012 )30yr Total 2,759,067 3,043,740 78.73 % 110.32 3.65 % 4.21 % 12 345 12.39 % 12.97 % 31,155 (39,751 )Total Pass 3,055,773 3,359,003 86.88 % 109.92 3.61 % 4.18 % 13 338 12.33 % 13.35 % 31,289 (40,043 )Through RMBSStructured RMBSInterest-Only 314,354 31,349 0.81 % 9.97 4.00 % 4.59 % 75 272 39.64 % 39.27 % (1,212 ) 2,400 SecuritiesTotalStructured 314,354 31,349 0.81 % 9.97 4.00 % 4.59 % 75 272 39.64 % 39.27 % (1,212 ) 2,400 RMBSLong TBA PositionsFNCI 2.0 TBA 175,000 181,918 4.71 % 103.95 2.00 % 1,856 (2,301 )FNCL 2.5 TBA 279,000 293,865 7.60 % 105.33 2.50 % 2,912 (4,196 )Total Long TBA 454,000 475,783 12.31 % 104.80 2.31 % 4,768 (6,497 )Total Mortgage $ 3,824,127 $ 3,866,135 100.00 % 3.49 % 4.22 % 18 332 14.88 % 16.48 % $ 34,845 $ (44,140 )Assets

Interest Interest Average Hedge Rate Rate Notional Period Sensitivity SensitivityHedge Balance End (-50 BPS)^ (+50 BPS)^ (1) (1)Eurodollar $ (50,000) Dec-2021 (375 ) 375 FuturesSwaps (820,000) Apr-2025 (10,824 ) 19,590 5-Year Dec-2020Treasury (69,000) ^(2) (2,263 ) 2,188 FuturesSwaptions (667,300) May-2021 (3,278 ) 4,680 Hedge $ (1,606,300) $ (16,740 ) $ 26,833 TotalRate ShockGrand $ 18,105 $ (17,307 )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 $126.03 at August 31, 2020. The market value of the short position was $87.0 million.

RMBS Assets by Investment Company Act of 1940 WholeAgency Pool Test($ in ($ in thousands) thousands) Percentage Percentage Fair of Fair ofAsset Category Value^(1) Portfolio Asset Value^(1) Portfolio CategoryAs of August As of August 31, 2020 31, 2020Fannie Mae $ 1,984,995 58.5 % Non-Whole $ 698,379 20.6 % Pool AssetsFreddie Mac 1,405,357 41.5 % Whole Pool 2,691,973 79.4 % AssetsTotal Mortgage TotalAssets $ 3,390,352 100.0 % Mortgage $ 3,390,352 100.0 % Assets

(1) Amounts in the tables above exclude long TBA positions with a market value of approximately $475.8 million.

Borrowings By Counterparty($ in thousands) Weighted Weighted % of Average Average Total Total Repo Maturity LongestAs of August 31, 2020 Borrowings Debt Rate in Days MaturityMirae Asset Securities $ 373,441 11.6 % 0.25 % 109 2/11/(USA) Inc. 2021Wells Fargo Bank, N.A. 313,490 9.7 % 0.23 % 11 9/18/ 2020Mitsubishi UFJ 292,156 9.0 % 0.24 % 20 9/28/Securities (USA), Inc 2020Merrill Lynch, Pierce, 284,184 8.8 % 0.25 % 14 9/30/Fenner & Smith 2020J.P. Morgan Securities 266,174 8.2 % 0.28 % 13 10/1/LLC 2020Cantor Fitzgerald & Co 231,199 7.1 % 0.25 % 11 9/15/ 2020RBC Capital Markets, 214,643 6.6 % 0.23 % 40 11/24/LLC 2020ASL Capital Markets 205,964 6.4 % 0.23 % 46 10/28/Inc. 2020Citigroup Global 205,375 6.3 % 0.25 % 15 9/21/Markets Inc 2020ABN AMRO Bank N.V. 199,067 6.2 % 0.24 % 27 10/23/ 2020ING Financial Markets 140,669 4.3 % 0.26 % 38 10/19/LLC 2020Daiwa Securities 127,730 3.9 % 0.24 % 35 11/10/America Inc. 2020ED&F Man Capital 112,371 3.5 % 0.21 % 58 11/30/Markets Inc 2020South Street 77,304 2.4 % 0.28 % 185 5/13/Securities, LLC 2021Bank of Montreal 73,195 2.3 % 0.25 % 14 9/14/ 2020Lucid Cash Fund USG LLC 57,076 1.8 % 0.27 % 10 9/10/ 2020J.V.B. Financial Group, 26,270 0.8 % 0.30 % 45 10/15/LLC 2020Barclays Capital Inc 25,142 0.8 % 0.29 % 71 11/10/ 2020Austin Atlantic Asset 10,072 0.3 % 0.30 % 2 9/2/2020Management Co.Total Borrowings $ 3,235,522 100.0 % 0.25 % 38 5/13/ 2021

Contact:

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