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  • June 2014 Monthly Dividend of $0.18 Per Share
  • RMBS Portfolio Characteristics as of May 30, 2014

VERO BEACH, Fla., June 11, 2014 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE MKT:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of June 2014. The dividend of $0.18 per share will be paid June 30, 2014, to holders of record on June 25, 2014, with an ex-dividend date of June 23, 2014.

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 certain percentages 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.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 30, 2014 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. intends to elect to be taxed as a real estate investment trust 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 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, 2013.

RMBS Valuation Characteristics
($ in thousands)
        Percentage Weighted Realized
  Current Fair Current of Average May 2014 CPR
Asset Category Face Value Price Portfolio Coupon (Reported in Jun)
As of May 30, 2014            
Adjustable Rate RMBS $4,298 $4,676 108.78 0.54% 4.10% 0.19%
10-1 Hybrid Rate RMBS 75,342 76,043 100.93 8.77% 2.55% 9.20%
Hybrid Adjustable Rate RMBS 75,342 76,043 100.93 8.77% 2.55% 9.20%
15 Year Fixed Rate RMBS 83,693 88,459 105.70 10.20% 3.40% 4.24%
20 Year Fixed Rate RMBS 124,241 132,504 106.65 15.27% 3.93% 3.59%
30 Year Fixed Rate RMBS 476,609 521,585 109.44 60.12% 4.56% 4.41%
Total Fixed Rate RMBS 684,543 742,548 108.47 85.59% 4.31% 4.25%
Total Pass-through RMBS 764,183 823,267 107.73 94.90% 4.15% 4.78%
Interest-Only Securities 264,077 34,392 13.02 3.96% 4.31% 16.21%
Inverse Interest-Only Securities 73,732 9,884 13.41 1.14% 6.03% 12.63%
Structured RMBS 337,809 44,276 13.11 5.10% 4.69% 15.36%
Total Mortgage Assets $1,101,992 $867,543   100.00% 4.18% 8.13%
   
RMBS Assets by Agency Investment Company Act of 1940 (Whole Pool) Test
($ in thousands) ($ in thousands)
    Percentage     Percentage
  Fair of   Fair of
Asset Category Value Portfolio Asset Category Value Portfolio
As of May 30, 2014     As of May 30, 2014    
Fannie Mae $ 536,239 61.8% Whole Pool Assets $ 730,550 84.2%
Freddie Mac 320,072 36.9% Non Whole Pool Assets 136,993 15.8%
Ginnie Mae 11,232 1.3% Total Mortgage Assets $ 867,543 100.0%
Total Mortgage Assets $ 867,543 100.0%      
           
         
Repurchase Agreement Exposure By Counterparty
($ in thousands)
      Weighted  
    % of Average  
  Total Total Maturity Longest
As of May 30, 2014 Borrowings Debt in Days Maturity
Citigroup Global Markets Inc  $ 155,346 19.9% 49 8/27/2014
Cantor Fitzgerald & Co 80,710 10.3% 17 6/23/2014
KGS-Alpha Capital Markets, L.P 76,191 9.8% 38 10/3/2014
Morgan Stanley & Co 66,373 8.5% 81 8/19/2014
CRT Capital Group, LLC 64,558 8.3% 67 8/25/2014
Mitsubishi UFJ Securities (USA), Inc 58,841 7.5% 14 7/25/2014
Goldman, Sachs & Co 56,637 7.3% 56 7/28/2014
ED&F Man Capital Markets Inc 53,094 6.8% 52 8/1/2014
J.P. Morgan Securities LLC 48,328 6.2% 41 7/11/2014
Mizuho Securities USA, Inc 41,035 5.3% 38 7/10/2014
South Street Securities, LLC 40,062 5.0% 17 6/27/2014
Suntrust Robinson Humphrey, Inc 39,948 5.1% 5 6/6/2014
Total Borrowings  $ 781,123 100.0% 42 10/3/2014
             
RMBS Risk Measures
($ in thousands)
Mortgage Assets            
    Weighted        
    Average Weighted Weighted Modeled Modeled
    Months Average Average Interest Interest
    To Next Lifetime Periodic Rate Rate
  Fair Coupon Reset Cap Cap Per Year Sensitivity Sensitivity
Asset Category Value (if applicable) (if applicable) (if applicable) (-50 BPS)(1) (+50 BPS)(1)
As of May 30, 2014            
Adjustable Rate RMBS $ 4,676 1 10.16% 2.00% $ 6 $ (14)
Hybrid Adjustable Rate RMBS 76,043 105 7.55% 2.00% 1,755 (2,157)
Total Fixed Rate RMBS 742,548 n/a n/a n/a 15,018 (19,996)
Total Pass-through RMBS 823,267 n/a n/a n/a 16,779 (22,167)
Interest-Only Securities 34,392 n/a n/a n/a (6,499) 6,482
Inverse Interest-Only Securities 9,884 1 6.18% n/a (476) 31
Structured RMBS 44,276 n/a n/a n/a (6,975) 6,513
Total Mortgage Assets $ 867,543 n/a n/a n/a $ 9,804 $ (15,654)
Funding Hedges
          Modeled Modeled
          Interest Interest
      Average Hedge Rate Rate
      Notional Period Sensitivity Sensitivity
      Balance End Date (-50 BPS)(1) (+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions     $ 500,000 Dec-2018 $ (8,525) $ 9,883
Payer Swaption     100,000 Mar-2020 (405) 883
Grand Total         $ 874 $ (4,888)
 
(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 OAS. These results are for illustrative purposes only and actual results may differ materially.
CONTACT: Orchid Island Capital, Inc.
         Robert E. Cauley
         3305 Flamingo Drive, Vero Beach, Florida 32963
         Telephone: (772) 231-1400

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Source: Orchid Island Capital (ORC) 2014 GlobeNewswire, Inc.
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