ORC Orchid Island Capital Inc

Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of January 2017. The dividend of $0.14 per share will be paid February 10, 2017, to holders of record on January 31, 2017, with an ex-dividend date of January 27, 2017.

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 January 11, 2017, the Company had 32,962,919 shares outstanding. At September 30, 2016, the Company had 26,252,193 shares outstanding.

Estimated December 31, 2016 Book Value Per Share

The Company’s estimated book value per share as of December 31, 2016 was $10.09.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2016, the Company's preliminary estimated total stockholders' equity was approximately $332.8 million with 32,962,919 common shares outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to audit by the Company’s independent registered public accounting firm. 

Estimated Return on Equity

The Company’s estimated total return on equity for the quarter ended December 31, 2016 was (6.2)%, or (25.0)% on an annualized basis. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter.  The total return was $(0.70) per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $1.12 from September 30, 2016.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 2016 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the year ended December 31, 2016, are subject to review by the Company’s independent registered public accounting firm.

• 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, 2015.

RMBS Valuation Characteristics
($ in thousands)
										Percentage			Weighted			Realized
			Current			Fair		Current		of			Average			Dec 2016 CPR
Asset Category			Face			Value		Price		Portfolio			Coupon			(Reported in Jan)
As of December 31, 2016
Adjustable Rate RMBS		$	1,931		$	2,062		106.79		0.07	%		3.50	%		0.06	%
10-1 Hybrid Rate RMBS			44,435			45,459		102.30		1.50	%		2.55	%		17.86	%
Hybrid Adjustable Rate RMBS			44,435			45,459		102.30		1.50	%		2.55	%		17.86	%
15 Year Fixed Rate RMBS			84,574			87,981		104.03		2.91	%		3.28	%		12.19	%
20 Year Fixed Rate RMBS			406,357			435,238		107.11		14.40	%		4.00	%		9.14	%
30 Year Fixed Rate RMBS			2,145,347			2,303,475		107.37		76.22	%		4.29	%		7.98	%
Total Fixed Rate RMBS			2,636,278			2,826,694		107.22		93.53	%		4.21	%		8.29	%
Total Pass-through RMBS			2,682,644			2,874,215		107.14		95.10	%		4.19	%		8.44	%
Interest-Only Securities			575,377			69,726		12.12		2.31	%		3.59	%		17.53	%
Inverse Interest-Only Securities			379,613			78,233		20.61		2.59	%		5.40	%		15.98	%
Structured RMBS			954,990			147,959		15.49		4.90	%		4.55	%		16.91	%
Total Mortgage Assets		$	3,637,634		$	3,022,174				100.00	%		4.20	%		10.67	%

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 December 31, 2016								As of December 31, 2016
Fannie Mae		$	2,260,402		74.8	%		Whole Pool Assets		$	2,411,766		79.8	%
Freddie Mac			751,987		24.9	%		Non Whole Pool Assets			610,408		20.2	%
Ginnie Mae			9,785		0.3	%		Total Mortgage Assets		$	3,022,174		100.0	%
Total Mortgage Assets		$	3,022,174		100.0	%

Borrowings By Counterparty
($ in thousands)
								Weighted
					% of			Average
			Total		Total			Maturity		Longest
As of December 31, 2016			Borrowings		Debt			in Days		Maturity
Citigroup Global Markets Inc		$	292,833		10.6	%		10		1/26/2017
J.P. Morgan Securities LLC			287,239		10.3	%		26		2/17/2017
Cantor Fitzgerald & Co			250,000		8.9	%		26		2/13/2017
Wells Fargo Bank, N.A.			242,554		8.7	%		10		1/12/2017
Mitsubishi UFJ Securities (USA), Inc			235,913		8.4	%		36		2/14/2017
RBC Capital Markets, LLC			230,187		8.2	%		19		1/18/2017
South Street Securities, LLC			175,201		6.3	%		7		1/20/2017
ICBC Financial Services LLC			165,927		5.9	%		18		1/30/2017
ED&F Man Capital Markets Inc			158,763		5.7	%		34		2/13/2017
Guggenheim Securities, LLC			150,400		5.4	%		60		3/14/2017
KGS-Alpha Capital Markets, L.P			148,808		5.3	%		47		3/16/2017
Goldman, Sachs & Co			134,670		4.8	%		16		2/17/2017
Daiwa Securities America Inc.			107,651		3.9	%		11		1/13/2017
Natixis, New York Branch			90,050		3.2	%		10		1/20/2017
Mizuho Securities USA, Inc			52,574		1.9	%		13		1/12/2017
FHLB-Cincinnati			51,907		1.9	%		4		1/3/2017
Nomura Securities International, Inc.			15,238		0.5	%		89		3/29/2017
Suntrust Robinson Humphrey, Inc			3,790		0.1	%		7		1/6/2017
Total Borrowings		$	2,793,705		100.0	%		23		3/29/2017

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 December 31, 2016
Adjustable Rate RMBS		$	2,062		6			10.05	%		2.00	%		$	11			$	(10	)
Hybrid Adjustable Rate RMBS			45,459		73			7.55	%		2.00	%			729				(811	)
Total Fixed Rate RMBS			2,826,694		n/a			n/a			n/a				62,865				(73,259	)
Total Pass-through RMBS			2,874,215		n/a			n/a			n/a				63,605				(74,080	)
Interest-Only Securities			69,726		n/a			n/a			n/a				(6,902	)			5,232
Inverse Interest-Only Securities			78,233		1			6.14	%		n/a				5,054				(6,376	)
Structured RMBS			147,959		n/a			n/a			n/a				(1,848	)			(1,144	)
Total Mortgage Assets		$	3,022,174		n/a			n/a			n/a			$	61,757			$	(75,224	)
Funding Hedges
															Modeled				Modeled
															Interest				Interest
								Average			Hedge				Rate				Rate
								Notional			Period				Sensitivity				Sensitivity
								Balance(2)			End Date				(-50 BPS)(1)				(+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions							$	643,750			Dec-2020			$	(11,534	)		$	12,875
Treasury Futures Contracts - Short Positions								465,000			Mar-2027				(18,208	)			17,174
Payer Swaps								700,000			Dec-2021				(10,655	)			10,655
TBA Short Positions								200,000			Jan-2017				(4,823	)			5,851
Total Hedges															(45,220	)			46,555
Grand Total														$	16,537			$	(28,669	)

(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) Treasury futures contracts were valued at a price of $124.28 at December 31, 2016.  The nominal value of the short position was $577.9 million.

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400