orc8k20220316x991

ORCHID ISLAND CAPITAL ANNOUNCES

MARCH 2022 MONTHLY DIVIDEND, AND FEBRUARY 28, 2022 RMBS

PORTFOLIO CHARACTERISTICS

●

March 2022 Monthly Dividend of $0.045 Per Share of Common Stock

●

RMBS Portfolio Characteristics as of February 28, 2022

●

Next Dividend Announcement Expected April 13, 2022

Vero

Beach,

Fla.,

March

16, 2022

Orchid

Island

Capital,

Inc.

(the

“Company”)

(NYSE:

ORC) announced

today

that the

Board of Directors of

the Company (the

“Board”) declared a

monthly cash dividend for

the month of March

2022. The dividend

of $0.045 per share will be paid April 27, 2022, to

holders of record of the Company’s common stock on March 31, 2022, with

an ex-dividend date of March 30,

2022. The Company plans on announcing its

next common stock dividend on April 13,

2022.

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

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

March 16,

2022, February

28, 2022

and December

31, 2021,

the Company

had 176,993,049

shares of

common stock

outstanding.

RMBS Portfolio Characteristics

Details

the

RMBS

portfolio

February

28,

2022

are presented

below.

These

figures

are

preliminary

and

subject

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

mortgage

pass-through

certificates

and

collateralized

mortgage

obligations

issued

Fannie

Mae,

Freddie

Mac

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

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

Annual Report on Form 10-K for the fiscal year ended December 31,

2021.

RMBS Valuation Characteristics

($ in thousands)

Realized

Feb 2022

Dec - Feb

Modeled

Net

Weighted

CPR

2022 CPR

Interest

Weighted

Average

(1-Month)

(3-Month)

Rate

Current

Fair

Current

Average

Maturity

(Reported

Sensitivity

Type

Face

Value

(1)

Portfolio

Price

Coupon

GWAC

Age

(Months)

in Mar)

(-50 BPS)

(2)

(+50 BPS)

(2)

Pass Through RMBS

15yr 2.5

209,229

212,803

4.03%

101.71

2.50%

2.87%

160

9.4%

8.0%

3,918

(4,164)

15yr 4.0

427

450

0.01%

105.22

4.00%

4.54%

134

0.7%

(7)

15yr Total

209,656

213,253

4.04%

101.72

2.50%

2.88%

160

9.4%

8.0%

3,924

(4,171)

30yr 2.5

365,631

361,707

6.85%

98.93

2.50%

3.41%

345

9.1%

5.3%

8,933

(10,567)

30yr 3.0

4,048,598

4,128,462

78.13%

101.97

3.00%

3.48%

347

5.8%

7.1%

102,356

(116,946)

30yr 3.5

242,130

254,730

4.82%

105.20

3.50%

4.04%

328

13.5%

16.6%

5,663

(6,256)

30yr 4.0

104,795

111,046

2.10%

105.96

4.00%

4.75%

329

26.7%

24.6%

1,615

(1,995)

30yr Total

4,761,154

4,855,945

91.90%

101.99

3.01%

3.53%

346

6.9%

7.8%

118,567

(135,764)

Total Pass Through

RMBS

4,970,810

5,069,198

95.94%

101.98

2.99%

3.50%

338

7.0%

7.8%

122,491

(139,935)

Structured RMBS

IO 20yr 3.0

358,021

40,396

0.76%

11.28

3.00%

3.69%

166

17.1%

20.9%

(1,916)

1,301

IO 20yr 4.0

13,036

1,591

0.03%

12.20

4.00%

4.57%

122

111

13.5%

15.5%

(13)

IO 30yr 3.0

89,448

12,941

0.24%

14.47

3.00%

3.66%

298

14.2%

14.7%

(672)

508

IO 30yr 3.5

769,538

132,111

2.50%

17.17

3.48%

4.00%

299

16.6%

18.7%

(7,479)

5,609

IO 30yr 4.0

164,847

24,529

0.46%

14.88

4.00%

4.56%

282

28.2%

27.7%

(1,644)

1,523

IO 30yr 4.5

4,543

772

0.01%

16.99

4.50%

4.99%

140

207

20.0%

24.2%

(45)

IO 30yr 5.0

2,529

421

0.01%

16.63

5.00%

5.36%

140

207

11.5%

17.6%

(23)

IO Total

1,401,962

212,761

4.03%

15.18

3.40%

3.98%

261

17.9%

20.0%

(11,792)

9,011

IIO 30yr 4.0

41,270

2,014

0.04%

4.88

3.75%

4.40%

298

53.6%

35.0%

124

(230)

Total Structured

RMBS

1,443,232

214,775

4.06%

14.88

3.41%

3.99%

262

18.9%

20.5%

(11,668)

8,781

Total Mortgage Assets

6,414,042

5,283,973

100.00%

3.08%

3.61%

321

9.7%

10.7%

110,823

(131,154)

Interest

Average

Hedge

Rate

Notional

Period

Sensitivity

Hedge

Balance

End

(-50 BPS)

(2)

(+50 BPS)

(2)

5-Year Treasury

Future

(3)

(1,194,000)

Jun-2022

(35,702)

32,030

10-Year Treasury

Ultra

(4)

(270,000)

Jun-2022

(29,703)

17,843

TBA

(500,000)

Mar-2022

(10,132)

12,200

Swaps

(1,400,000)

Jul-2028

(42,437)

42,437

Swaptions

(868,700)

Apr-2023

(12,885)

20,334

Hedge Total

(4,232,700)

(130,859)

124,844

Rate Shock Grand Total

(20,036)

(6,310)

(1)

Amounts in the tables above exclude assets with a fair value of approximately

$335.2 million sold in February 2022, which settle in March 2022.

(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 $118.28 at February 28, 2022.

The market value of the short position was $1,412.3 million.

(4)

Ten-year Treasury

Ultra futures contracts were valued at prices of $141.33 at February 28, 2022.

The market value of the short position was $381.6 million.

RMBS Assets by Agency

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

Percentage

Fair

Asset Category

Value

(1)

Portfolio

Asset Category

Value

(1)

Portfolio

As of February 28, 2022

Fannie Mae

3,579,700

67.7%

Non-Whole Pool Assets

287,136

5.4%

Freddie Mac

1,704,273

32.3%

Whole Pool Assets

4,996,837

94.6%

Total Mortgage Assets

5,283,973

100.0%

Total Mortgage Assets

5,283,973

100.0%

(1)

Amounts in the tables above include assets with a fair value of approximately

$335.2 million sold in February 2022, which settle in March 2022.

Borrowings By Counterparty

($ in thousands)

Weighted

% of

Average

Total

Repo

Maturity

Longest

As of February 28, 2022

Borrowings

(1)

Debt

Rate

in Days

Maturity

ABN AMRO Bank N.V.

412,908

7.6%

0.14%

4/12/2022

J.P.

Morgan Securities LLC

399,470

7.4%

0.15%

4/25/2022

Merrill Lynch, Pierce, Fenner & Smith Incorporated

379,052

7.0%

0.23%

4/13/2022

RBC Capital Markets, LLC

367,437

6.8%

0.16%

4/29/2022

Mirae Asset Securities (USA) Inc.

358,959

6.6%

0.18%

9/14/2022

Wells Fargo Bank, N.A.

337,707

6.3%

0.13%

3/21/2022

Mitsubishi UFJ Securities (USA), Inc

337,363

6.2%

0.30%

4/29/2022

Cantor Fitzgerald & Co., Inc.

334,806

6.2%

0.15%

4/25/2022

ED&F Man Capital Markets Inc.

286,077

5.3%

0.18%

4/14/2022

Santander Bank, N.A.

283,297

5.2%

0.21%

4/25/2022

Goldman, Sachs & Co. LLC

260,082

4.8%

0.39%

4/25/2022

ING Financial Markets LLC

256,403

4.7%

0.13%

3/17/2022

Citigroup Global Markets Inc.

225,487

4.2%

0.21%

4/25/2022

Nomura Securities International, Inc.

222,175

4.1%

0.13%

3/17/2022

ASL Capital Markets Inc.

219,094

4.1%

0.17%

4/22/2022

Daiwa Capital Markets America Inc.

197,371

3.7%

0.14%

3/17/2022

BMO Capital Markets Corp.

189,048

3.5%

0.19%

3/21/2022

Austin Atlantic Asset Management Co.

90,178

1.7%

0.14%

3/2/2022

South Street Securities LLC.

87,114

1.6%

0.31%

4/18/2022

Lucid Cash Fund USG, LLC

85,252

1.6%

0.19%

3/10/2022

Barclays Capital Inc

42,074

0.8%

0.19%

3/14/2022

StoneX Financial Inc.

27,648

0.5%

0.19%

4/19/2022

Mizuho Securities USA, Inc

3,671

0.1%

0.57%

3/11/2022

Total Borrowings

5,402,673

100.0%

0.19%

9/14/2022

(1)

In February 2022, the Company sold assets with a fair value of approximately $335.2 million, which settle in March 2022

that collateralize approximately $323.1 million of repurchase agreements

included in the table above.

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero

Beach, Florida 32963

Telephone: (772)

231-1400