ORCHID ISLAND CAPITAL PROVIDES MARKET UPDATE IN LIGHT OF RECENT MARKET DISRUPTIONS STEMMING FROM THE CORONAVIRUS PANDEMIC

• March 27, 2020 Estimated Book Value per share of approximately $4.54 to $4.58, a decrease of approximately 27% - 28% from December 31, 2019
• March 27, 2020 Agency RMBS portfolio market value of approximately $2.94 billion, a decrease of approximately 18% from December 31, 2019
• Estimated quarter to date economic loss as of March 27, 2020 of approximately 22.1% – 23.8%
• Company paid February dividend of $0.08 per share of the Company’s common stock in cash on March 27, 2020 as originally declared
• The Company has met every margin call since its inception approximately eight years ago
• The Company has invested exclusively in Agency RMBS since its inception
• Current cash balance of approximately $117.1 million and unencumbered securities of approximately $13.8 million.  The combined balance of cash and unencumbered securities of $130.9 million equals approximately 2.8 times the dollar amount of prepayments on the Company’s portfolio announced on March 4, 2020 and received in March 2020.

VERO BEACH, Fla., March 30, 2020 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced updated details of its Agency RMBS portfolio, estimated book value and liquidity position as of March 27, 2020.  All of the Company’s assets are Agency RMBS, the principal and interest of which are guaranteed by the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Government National Mortgage Association (“Ginnie Mae”) and are backed primarily by single-family residential mortgage loans. 

As a result of the economic, health and market turmoil brought about by the global coronavirus pandemic, the Agency RMBS market has experienced severe dislocations.  As a result of falling prices of the Company’s assets and resulting margin calls from the Company’s repurchase agreement lenders, the Company was forced to sell assets in order to conserve its available cash and liquidity.  Through Friday, March 27, 2020, the Company had timely met all margin calls received.  During the first quarter of 2020 through March 27, 2020, the Company sold Agency RMBS assets for approximately $1.15 billion, recording realized losses of approximately $30.0 million.  As a result of these sales, the Company’s Agency RMBS portfolio had a fair market value of approximately $2.94 billion as of March 27, 2020. This represents an approximate 18% decline from December 31, 2019, when the Company’s Agency RMBS portfolio had a fair market value of approximately $3.59 billion.  The Company estimated that its current book value per share is approximately $4.54 to $4.58 per share as of March 27, 2020.  This represents a decline of approximately 27% - 28% since December 31, 2019. Finally, the Company had cash of approximately $117.1 million and unencumbered assets of approximately $13.8 million as of March 27, 2020.  The combined balance of cash and unencumbered securities of $130.9 million equals approximately 2.8 times the dollar amount of prepayments on the Company’s portfolio announced on March 4, 2020 and received in March 2020.  As stated, the Company sold assets in order to conserve its available cash and liquidity during the month of March and as a result the dollar amount of securities subject to potential prepayments in April of 2020 will be lower than the corresponding amount in March.