orc8k20220614x991

ORCHID ISLAND CAPITAL ANNOUNCES

JUNE 2022 MONTHLY DIVIDEND AND MAY

31, 2022 RMBS PORTFOLIO

CHARACTERISTICS

●

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

●

RMBS Portfolio Characteristics as of May 31, 2022

●

Next Dividend Announcement Expected July 13, 2022

Vero

Beach, Fla., June 14, 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

June 2022.

The dividend

$0.045 per share

will be paid

July 27, 2022,

to holders of

record of the

Company’s common

stock on June

30, 2022, with

ex-dividend date of June 29, 2022. The Company plans on announcing

its next common stock dividend on July 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 June 14, 2022, May 31, 2022 and March 31, 2022, the Company had 177,117,186

shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS

portfolio as of

May 31, 2022

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

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

May 2022

Mar - May

Modeled

Net

Weighted

CPR

2022 CPR

Interest

Weighted

Average

(1-Month)

(3-Month)

Rate

Current

Fair

Current

Average

Maturity

(Reported

Sensitivity

Type

Face

Value

Portfolio

Price

Coupon

GWAC

Age

(Months)

in Jun)

(-50 BPS)

(1)

(+50 BPS)

(1)

Pass Through RMBS

15yr 2.5

419

432

0.01%

103.01

4.00%

4.54%

131

0.8%

(7)

15yr TBA

175,000

175,697

4.17%

100.40

3.50%

2,950

(3,310)

15yr Total

175,419

176,129

4.18%

100.40

3.50%

4.54%

131

0.8%

2,957

(3,317)

30yr 3.0

3,500,185

3,363,833

79.75%

96.10

3.00%

3.47%

344

8.1%

7.5%

106,826

(112,329)

30yr 3.5

230,994

230,669

5.47%

99.86

3.50%

4.03%

325

14.2%

14.1%

6,331

(6,645)

30yr 4.0

270,277

272,437

6.46%

100.80

4.00%

4.71%

347

7.8%

26.8%

5,928

(6,852)

30yr Total

4,001,456

3,866,939

91.67%

96.64

3.10%

3.58%

343

8.5%

8.4%

119,085

(125,826)

Total Pass Through

RMBS

4,176,875

4,043,068

95.85%

96.80

3.11%

3.62%

334

8.5%

8.4%

122,042

(129,143)

Structured RMBS

IO 20yr 3.0

335,999

40,141

0.95%

11.95

3.00%

3.69%

162

12.3%

16.4%

(595)

299

IO 20yr 4.0

12,205

1,485

0.04%

12.17

4.00%

4.57%

125

108

13.8%

16.0%

(2)

IO 30yr 3.0

42,190

6,859

0.16%

16.26

3.00%

3.69%

318

10.4%

13.7%

(249)

181

IO 30yr 3.5

510,044

97,678

2.32%

19.15

3.50%

4.01%

297

11.5%

14.1%

(2,522)

1,738

IO 30yr 4.0

151,311

26,628

0.63%

17.60

4.00%

4.55%

278

18.2%

21.3%

(1,071)

890

IO 30yr 4.5

4,261

761

0.02%

17.86

4.50%

4.99%

143

204

14.6%

18.6%

(22)

IO 30yr 5.0

2,367

427

0.01%

18.03

5.00%

5.36%

143

204

4.8%

18.5%

(15)

IO Total

1,058,377

173,979

4.12%

16.44

3.41%

3.99%

250

12.7%

15.9%

(4,474)

3,135

IIO 30yr 4.0

35,321

1,162

0.03%

3.29

3.40%

4.40%

294

0.6%

9.6%

217

(230)

Total Structured

RMBS

1,093,698

175,141

4.15%

16.01

3.41%

4.00%

251

12.3%

15.7%

(4,257)

2,905

Total Mortgage Assets

5,270,573

4,218,209

100.00%

3.17%

3.70%

317

9.3%

10.0%

117,785

(126,238)

Interest

Average

Hedge

Rate

Notional

Period

Sensitivity

Hedge

Balance

End

(-50 BPS)

(1)

(+50 BPS)

(1)

5-Year Treasury

Future

(2)

(1,194,000)

Sep-2022

(27,336)

26,775

10-Year Treasury

Ultra

(3)

(270,000)

Sep-2022

(15,009)

14,116

TBA

(1,400,000)

Jul-2028

(38,357)

37,016

Swaps

(175,000)

Jul-2022

(5,868)

6,055

Swaptions

(777,800)

Mar-2023

(12,242)

11,918

Hedge Total

(3,816,800)

(98,812)

95,880

Rate Shock Grand Total

18,973

(30,358)

(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 $112.95 at May 31, 2022.

The market value of the short position was $1,348.6 million.

(3)

Ten-year Treasury

Ultra futures contracts were valued at prices of $128.48 at May 31, 2022.

The market value of the short position was $346.9 million.

RMBS Assets by Agency

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

Percentage

Fair

Asset Category

Value

Portfolio

Asset Category

Value

Portfolio

As of May 31, 2022

Fannie Mae

2,850,250

70.5%

Non-Whole Pool Assets

239,763

5.9%

Freddie Mac

1,192,260

29.5%

Whole Pool Assets

3,802,747

94.1%

Total Mortgage Assets

4,042,510

100.0%

Total Mortgage Assets

4,042,510

100.0%

Borrowings By Counterparty

($ in thousands)

Weighted

% of

Average

Total

Repo

Maturity

Longest

As of May 31, 2022

Borrowings

Debt

Rate

in Days

Maturity

J.P.

Morgan Securities LLC

372,441

9.8%

0.71%

7/25/2022

ABN AMRO Bank N.V.

335,617

8.6%

0.84%

7/14/2022

Merrill Lynch, Pierce, Fenner & Smith

325,745

8.4%

0.95%

7/13/2022

Mitsubishi UFJ Securities (USA), Inc

314,666

8.1%

1.15%

7/28/2022

Mirae Asset Securities (USA) Inc.

295,186

7.6%

0.87%

11/18/2022

Cantor Fitzgerald & Co

256,377

6.6%

0.96%

8/23/2022

RBC Capital Markets, LLC

232,284

6.0%

0.89%

7/27/2022

ING Financial Markets LLC

206,841

5.3%

0.86%

6/3/2022

Goldman, Sachs & Co.

201,626

5.2%

1.10%

6/27/2022

ASL Capital Markets Inc.

186,177

4.8%

0.89%

6/21/2022

Santander Bank, N.A.

180,243

4.6%

0.97%

7/25/2022

Daiwa Capital Markets America Inc.

151,289

3.9%

0.73%

6/16/2022

ED&F Man Capital Markets Inc

151,112

3.9%

1.02%

7/25/2022

Wells Fargo Bank, N.A.

125,542

3.2%

0.81%

7/21/2022

Citigroup Global Markets Inc

121,265

3.1%

1.05%

7/18/2022

BMO Capital Markets Corp.

116,662

3.0%

1.17%

7/18/2022

Nomura Securities International, Inc.

88,988

2.3%

0.90%

6/17/2022

Austin Atlantic Asset Management Co.

86,789

2.2%

0.89%

6/1/2022

South Street Securities, LLC

60,672

1.6%

1.17%

7/18/2022

Lucid Cash Fund USG, LLC

44,112

1.1%

0.99%

6/9/2022

StoneX Financial Inc.

24,010

0.6%

0.89%

6/16/2022

Mizuho Securities USA, Inc

3,677

0.1%

1.29%

6/10/2022

Total Borrowings

3,881,321

100.0%

0.93%

11/18/2022

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero

Beach, Florida 32963

Telephone: (772)

231-1400