orc8k20210225x991

ORCHID ISLAND CAPITAL ANNOUNCES FOURTH QUARTER 2021 RESULTS

VERO BEACH, Fla. (February 24, 2022) – Orchid Island Capital, Inc. (NYSE:ORC)

("Orchid” or the "Company"), a real estate

investment trust ("REIT"), today announced results of operations for the

three month period ended December 31, 2021.

Fourth Quarter 2021 Highlights

●

Net loss of $44.6 million, or $0.27 per common share, which consists

of:

●

Net interest income of $42.4 million, or $0.25 per common share

●

Total

expenses of $4.4 million, or $0.03 per common share

●

Net realized and unrealized losses of $82.6 million, or $0.49 per share, on RMBS and

derivative instruments, including

net interest expense on interest rate swaps

●

Fourth quarter and full year total dividends declared and paid of $0.195 and $0.78

per common share, respectively

●

Since its initial public offering, the Company has declared cash dividends equaling $12.545

per common share

●

Book value per share of $4.34 at December 31, 2021

●

(4.9)% economic loss on common equity for the quarter,

comprised of $0.195 dividend per common share and $0.43

decrease in net book value per common share, divided by beginning book value

per share

●

Company to discuss results on Friday, February 25, 2022, at 10:00 AM ET

●

Supplemental materials to be discussed on the call can be downloaded from the

investor relations section of the Company’s

website at https://ir.orchidislandcapital.com

Management Commentary

Commenting on the fourth quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, “Since our last earnings

call the developments unfolding early in the fourth quarter of 2021 accelerated.

Inflation data in particular has reaccelerated after

leveling off briefly during the third quarter of 2021.

Current readings are at the highest levels seen since the early 1980s

and have

become more broad-based, no longer driven solely by areas most affected by pandemic

driven supply channel constraints.

Job growth

has been equally robust and showed little effect from the Omicron variant that emerged in early December

of 2021. Wage growth

continues to surge as the labor market becomes progressively tighter, although real wage growth is still negative.

The Federal

Reserve (the “Fed”) has taken notice and appears ready to begin an aggressive campaign

to remove accommodation.

As these

developments unfolded,

interest rates increased materially and the curve – both for nominal U.S.

Treasury rates as well as U.S. dollar

swap rates – continued to flatten. Since the end of the third quarter of 2021, the

2-year U.S. Treasury has increased by over 120 basis

points, the 5-year U.S. Treasury has increased by approximately 90 basis points and the 10-year U.S. Treasury by approximately

basis points. Fed Funds futures pricing has changed materially as well and implies

an overnight rate of just under 2% by July of 2023

versus 8 basis points currently.

This is in sharp contrast to the end of the third quarter of 2021 when market pricing

was for one rate

hike in either late 2022 or early 2023. Note all of this has occurred while the

Fed is still buying U.S. Treasuries and Agency RMBS

every day.

Obviously not your garden variety rate cycle.

“These developments made for a very challenging market environment with very

elevated levels of volatility.

The markets in the

fourth quarter of 2021 were particularly challenging for Agency RMBS securities

and, somewhat surprisingly, specified pools in

particular. This led to mark-to-market losses on our specified pool focused portfolio. We anticipated the Fed was on the verge

tapering their asset purchases as we entered the fourth quarter of 2021 and were

positioned so as to minimize the impact tapering

would have on the RMBS market – namely by avoiding the coupons the Fed

was buying. Indeed, last November, the Fed announced

ORC Announces Fourth Quarter 2021 Results

Page 2

February 24, 2022

they would begin tapering their asset purchases later that month and subsequently

accelerated the pace of the tapering to the point

that in January of 2022 they announced they would end incremental purchases altogether

by March of 2022. They also announced

they would begin reducing their balance sheet, and at an accelerated pace,

beginning after their first rate hike, almost certainly to be

announced at the March 2022 meeting. There was also talk of outright sales of Agency

RMBS assets mentioned in the minutes to the

Fed’s January 2022 meeting.

“The Fed tapering was announced as we expected, and the pace has been

accelerated twice, but the impact on the Agency

RMBS market has been somewhat surprising.

While the coupons Fed purchases were concentrated in, both during

the fourth quarter

of 2021 and to a great extent in early 2022, have performed poorly, as expected, dollar rolls have remained robust, even

in higher

coupons. With rates higher, the current coupon has shifted higher as well and currently 3.0% and 3.5% coupons are being

produced

and purchased by the Fed.

In short, dollar roll returns are still very attractive, even if not likely to

persist for long.

As is often the case,

specified pool premiums have suffered in inverse proportion to the degree of dollar roll

specialness. This combination of developments

hurt our performance during the fourth quarter of 2021 and continues to do so

in 2022.

However, the widening in specs has clearly

been exacerbated by the continued dollar roll specialness and we

anticipate the relative performance is likely to reverse as we move

into 2022.

“In sum, we are comfortable with our current positioning.

Our portfolio remains concentrated in specified pools and we have

incurred material mark-to-market losses on these securities, both during the

fourth quarter as well as to date in 2022.

However, the

vast majority of these losses are unrealized as we still own the securities. We have been

able to absorb these mark-to-market losses

because of our liquidity management practices and anticipate we will be able to

continue to do so. The carry these assets yield are

comparable to yields available via dollar rolls and the latter is likely to

decline as the Fed winds their asset purchases down.

Therefore,

we see no reason to liquidate these holdings and reposition the portfolio.

Our conviction is buttressed by the knowledge that specified pools will enter

the Bloomberg MBS indices later this year, adding

demand for the sector from benchmarked managers.

Further, the increased conforming loan limit has degraded the convexity, or

callability of current Agency RMBS production, another factor supporting specified

pools.

So, while the timing of the transition from a

TBA roll-dominated market is taking a little longer to occur and has cost us on

a mark-to-market basis, we are very confident our

positioning is where it needs to be as we move further into 2022.”

Details of Fourth Quarter 2021 Results of Operations

The Company reported net loss of $44.6 million for the three month period

ended December 31, 2021, compared with net income

of $16.5 million for the three month period ended December 31, 2020. The Company

increased its Agency RMBS portfolio over the

course of the fourth quarter of 2021 through capital raised through the at-the-market

program. The yield on our average RMBS

increased from 2.66%

in the third quarter of 2021 to 2.93% for the fourth quarter of 2021, repurchase

agreement borrowing costs

increased from 0.13%

for the third quarter of 2021 to 0.14% for the fourth quarter of 2021,

and our net interest spread increased from

2.53% to 2.79% in the fourth quarter of 2021.

Book value decreased by $0.43 per share in the fourth quarter of 2021. The decrease

in book value reflects our net loss of $0.27

per share, the dividend distribution of $0.195 per share and approximately $0.03

per share added through our capital raising activities.

The Company recorded net realized and unrealized losses of $0.49 per share

on Agency RMBS assets and derivative instruments,

including net interest expense on interest rate swaps.

Details of Full Year 2021

Results of Operations

ORC Announces Fourth Quarter 2021 Results

Page 3

February 24, 2022

Orchid generated a net loss per share of $0.54 during 2021. The Company

recorded net interest income of $127.6 million, offset

by realized and unrealized losses of $177.1 million on Agency RMBS and

derivative instruments.

The yield on our average RMBS

decreased from 3.45% in 2020 to 2.73% for 2021,

repurchase agreement borrowing costs decreased from 1.51%

for 2020 to 0.54%

2021, and our net interest spread decreased from 2.71% in 2020 to 2.59%

in 2021.

Book value decreased by $1.12 per share in 2021 from December 31, 2020. The

decrease in book value reflects our net loss of

$0.54 per share, the dividend distributions of $0.78 per share and approximately $0.20

per share added through our capital raising

activities.

Prepayments

For the quarter ended December 31, 2021, Orchid received $178.1

million in scheduled and unscheduled principal repayments

and prepayments, which equated to a 3-month constant prepayment rate (“CPR”)

of approximately 11.4%. Prepayment rates on the

two RMBS sub-portfolios were as follows (in CPR):

Structured

PT RMBS

RMBS

Total

Three Months Ended

Portfolio (%)

December 31, 2021

9.0

24.6

11.4

September 30, 2021

9.8

25.1

12.4

June 30, 2021

10.9

29.9

12.9

March 31, 2021

9.9

40.3

12.0

December 31, 2020

16.7

44.3

20.1

September 30, 2020

14.3

40.4

17.0

June 30, 2020

13.9

35.3

16.3

March 31, 2020

9.8

22.9

11.9

Portfolio

The following tables summarize certain characteristics of Orchid’s PT RMBS and structured

RMBS as of December 31, 2021 and

December 31, 2020:

($ in thousands)

Weighted

Percentage

Average

Weighted

Maturity

Fair

Entire

Average

Longest

Asset Category

Value

Portfolio

Coupon

Months

Maturity

December 31, 2021

Fixed Rate RMBS

6,298,189

96.7%

2.93%

342

1-Dec-51

Total Mortgage-backed Pass-through

6,298,189

96.7%

2.93%

342

1-Dec-51

Interest-Only Securities

210,382

3.2%

3.40%

263

25-Jan-52

Inverse Interest-Only Securities

2,524

0.1%

3.75%

300

15-Jun-42

Total Structured RMBS

212,906

3.3%

3.41%

264

25-Jan-52

Total Mortgage Assets

6,511,095

100.0%

3.03%

325

25-Jan-52

December 31, 2020

Fixed Rate RMBS

3,560,746

95.5%

3.09%

339

1-Jan-51

Fixed Rate CMOs

137,453

3.7%

4.00%

312

15-Dec-42

Total Mortgage-backed Pass-through

3,698,199

99.2%

3.13%

338

1-Jan-51

ORC Announces Fourth Quarter 2021 Results

Page 4

February 24, 2022

Interest-Only Securities

28,696

0.8%

3.98%

268

25-May-50

Total Structured RMBS

28,696

0.8%

3.98%

268

25-May-50

Total Mortgage Assets

3,726,895

100.0%

3.19%

333

1-Jan-51

($ in thousands)

December 31, 2021

December 31, 2020

Percentage of

Agency

Fair Value

Entire Portfolio

Fair Value

Entire Portfolio

Fannie Mae

4,719,349

72.5%

2,733,960

73.4%

Freddie Mac

1,791,746

27.5%

992,935

26.6%

Total Portfolio

6,511,095

100.0%

3,726,895

100.0%

December 31, 2021

December 31, 2020

Weighted Average Pass-through Purchase Price

107.19

107.43

Weighted Average Structured Purchase Price

15.21

20.06

Weighted Average Pass-through Current Price

105.31

108.94

Weighted Average Structured Current Price

14.08

10.87

Effective Duration

(1)

3.390

2.360

(1)

Effective duration is the approximate percentage change in price

for a 100 bps change in rates. An effective duration of 3.390

indicates that an

interest rate increase of 1.0% would be expected to cause a 3.390% decrease in the value

of the RMBS in the Company’s investment portfolio

at December 31, 2021.

An effective duration of 2.360 indicates that an interest rate increase

of 1.0% would be expected to cause a 2.360%

decrease in the value of the RMBS in the Company’s investment portfolio

at December 31, 2020. These figures include the structured securities

in the portfolio, but do not include the effect of the Company’s funding

cost hedges.

Effective duration quotes for individual investments are

obtained from The Yield Book, Inc.

ORC Announces Fourth Quarter 2021 Results

Page 5

February 24, 2022

Financing, Leverage and Liquidity

As of December

31, 2021,

the Company

had outstanding

repurchase

obligations

of approximately

$6,244.1

million with

a net

weighted

average borrowing

rate of 0.15%.

These agreements

were collateralized

by RMBS

with a fair

value, including

accrued

interest,

of approximately

$6,525.2 million

and cash pledged

to counterparties

of approximately

$57.3 million.

The Company’s

leverage

ratio at

December

31, 2021

was 8.2 to

1. At December

31, 2021,

the Company’s

liquidity

was approximately

$389.9 million,

consisting

unpledged

RMBS and

unrestricted

cash and cash

equivalents.

To enhance our liquidity

even further,

we may pledge

more of our

structured

RMBS as

part of a

repurchase

agreement

funding,

but retain

the cash in

lieu of acquiring

additional

assets.

In this way

we can,

at a modest

cost, retain

higher levels

of cash on

hand and

decrease

the likelihood

we will have

to sell assets

in a distressed

market in

order to

raise cash.

Below is

a list of

our outstanding

borrowings

under repurchase

obligations

at December

31, 2021.

($ in thousands)

Weighted

Total

Average

Outstanding

% of

Borrowing

Amount

Maturity

Counterparty

Balances

Total

Rate

at Risk

(1)

in Days

Wells Fargo Bank, N.A.

436,954

7.2%

0.13%

23,236

Mirae Asset Securities (USA) Inc.

425,890

6.8%

0.13%

22,505

J.P.

Morgan Securities LLC

424,776

6.8%

0.14%

23,895

RBC Capital Markets, LLC

416,185

6.7%

0.14%

13,401

ABN AMRO Bank N.V.

407,945

6.5%

0.13%

12,594

Merrill Lynch, Pierce, Fenner & Smith Inc.

388,303

6.2%

0.16%

20,805

Cantor Fitzgerald & Co.

348,968

5.6%

0.12%

18,100

Mitsubishi UFJ Securities (USA), Inc.

345,853

5.5%

0.22%

33,544

Goldman Sachs & Co. LLC

339,026

5.4%

0.18%

25,730

Citigroup Global Markets, Inc.

318,709

5.1%

0.14%

17,107

ED&F Man Capital Markets Inc.

301,941

4.8%

0.11%

16,198

Santander Bank, N.A.

299,670

4.8%

0.14%

15,693

Nomura Securities International, Inc.

284,851

4.6%

0.13%

15,105

ASL Capital Markets Inc.

281,879

4.5%

0.14%

14,458

ING Financial Markets LLC

274,333

4.4%

0.13%

11,561

BMO Capital Markets Corp.

245,932

3.9%

0.17%

17,262

Daiwa Capital Markets America, Inc.

207,575

3.3%

0.15%

10,505

South Street Securities, LLC

141,548

2.3%

0.15%

7,261

Barclays Capital Inc.

137,691

2.2%

0.14%

4,551

Austin Atlantic Asset Management Co.

95,754

1.5%

0.14%

4,039

Lucid Cash Fund USG LLC

88,865

1.4%

0.18%

7,853

StoneX Financial Inc.

27,869

0.4%

0.13%

1,410

Mizuho Securities USA, Inc.

3,589

0.1%

0.56%

1,476

Total / Weighted

Average

6,244,106

100.0%

0.15%

338,289

(1)

Equal to the

sum of the fair

value of securities

sold, accrued

interest receivable

and cash posted

as collateral

(if any), minus

the sum of repurchase

agreement liabilities,

accrued interest

payable and

the fair value

of securities

posted by the

counterparties

(if any).

ORC Announces Fourth Quarter 2021 Results

Page 6

February 24, 2022

Hedging

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost

of its repurchase

agreement funding against a rise in interest rates by entering into derivative financial

instrument contracts.

The Company has not

elected hedging treatment under U.S. generally accepted accounting principles (“GAAP”)

in order to align the accounting treatment of

its derivative and other hedging instruments with the treatment of its portfolio assets

under the fair value option election. As such, all

gains or losses on these instruments are reflected in earnings for all periods presented.

At December 31, 2021, such instruments were

comprised of U.S. Treasury note (“T-Note”) futures contracts,

interest rate swap agreements, interest rate swaption agreements and

“to-be-announced” (“TBA”) securities transactions.

The table below presents information related to the Company’s T-Note futures contracts at December 31, 2021.

($ in thousands)

Average

Weighted

Contract

Average

Notional

Entry

Effective

Open

Expiration Year

Amount

Rate

Equity

(1)

U.S. Treasury Note Futures Contracts

(Short Positions)

March 2022 5-year T-Note futures

(Mar 2022 - Mar 2027 Hedge Period)

(2)

369,000

1.56%

1.62%

1,013

March 2022 10-year Ultra futures

(Mar 2022 - Mar 2032 Hedge Period)

(3)

220,000

1.22%

1.09%

(3,861)

(1)

Open equity represents the cumulative gains (losses) recorded on open

futures positions from inception.

(2)

5-Year T-Note

futures contracts were valued at a price of $120.98 at December 31, 2021.

The contract values of the short positions were

$446.4 million.

(3)

10-Year Ultra futures

contracts were valued at a price of $146.44 at December 31, 2021. The contract

value of the short position was $322.2

million.

The table

below presents

information

related to

the Company’s

interest

rate swap

positions

at December

31, 2021.

($ in thousands)

Average

Net

Fixed

Average

Estimated

Average

Notional

Pay

Receive

Fair

Maturity

Expiration

Amount

Rate

Value

(Years)

> 3 to ≤ 5 years

955,000

0.64%

0.16%

21,788

4.0

> 5 years

400,000

1.16%

0.21%

4,643

7.3

1,355,000

0.79%

0.18%

26,431

5.0

ORC Announces Fourth Quarter 2021 Results

Page 7

February 24, 2022

The following

table presents

information

related to

our interest

rate swaption

positions

as of December

31, 2021.

($ in thousands)

Option

Underlying Swap

Weighted

Average

Weighted

Average

Adjustable

Average

Fair

Months to

Notional

Fixed

Rate

Term

Expiration

Cost

Value

Expiration

Amount

Rate

(LIBOR)

(Years)

Payer Swaptions - Long

≤ 1 year

4,000

1,575

3.2

400,000

1.66%

3 Month

5.0

> 1 year ≤ 2 years

32,690

19,918

18.4

1,258,500

2.46%

3 Month

14.1

36,690

21,493

14.7

1,658,500

2.27%

3 Month

11.9

Payer Swaptions - Short

≤ 1 year

(16,185)

(4,423)

5.3

(1,331,500)

2.29%

3 Month

11.4

The following

table summarizes

our contracts

to purchase

and sell

TBA securities

as of December

31, 2021

($ in thousands)

Notional

Net

Amount

Cost

Market

Carrying

Long (Short)

(1)

Basis

(2)

Value

(3)

Value

(4)

December 31, 2021

30-Year TBA securities:

3.00%

(575,000)

(595,630)

(595,934)

(304)

(575,000)

(595,630)

(595,934)

(304)

(1)

Notional amount represents the par value (or principal balance) of the underlying

Agency RMBS.

(2)

Cost basis represents the forward price to be paid (received) for the underlying

Agency RMBS.

(3)

Market value represents the current market value of the TBA securities

(or of the underlying Agency RMBS) as of period-end.

(4)

Net carrying value represents the difference between the market

value and the cost basis of the TBA securities as of period-end and

is reported

in derivative assets (liabilities) at fair value in our balance sheets.

ORC Announces Fourth Quarter 2021 Results

Page 8

February 24, 2022

Dividends

In addition to other requirements that must be satisfied to qualify as a REIT, we must pay annual dividends to our stockholders of

at least 90% of our REIT taxable income, determined without regard to the deduction

for dividends paid and excluding any net capital

gains. We intend to pay regular monthly dividends to our stockholders and have declared the

following dividends since our February

2013 IPO.

(in thousands, except per share data)

Year

Per Share

Amount

Total

2013

1.395

4,662

2014

2.160

22,643

2015

1.920

38,748

2016

1.680

41,388

2017

1.680

70,717

2018

1.070

55,814

2019

0.960

54,421

2020

0.790

53,570

2021

0.780

97,601

2022 - YTD

(1)

0.110

19,502

Totals

12.545

459,066

(1)

On January 13, 2022, the Company declared a dividend of $0.055 per

share to be paid on February 24, 2022. On February 16, 2022, the

Company declared a dividend of $0.055 per share to be paid on March 29, 2022.

The dollar amount of the dividend declared in February 2022

is estimated based on the number of shares outstanding at February

25, 2022. The effect of these dividends are included in the table above,

but are not reflected in the Company’s financial statements as of December

31, 2021.

Peer Performance

The tables

below present

total return

data for

Orchid compared

to a selected

group of

peers based

on stock price

performance

for

periods through

December

31, 2021

and based

on book value

performance

for periods

through September

30, 2021.

Portfolio Total Rate of

Return Versus Peer Group Average

- Stock Price Performance

ORC Spread

ORC

Over / (Under)

Total Rate

Peer

of Return

(1)

Average

(1)(2)

Average

(3)

One Year Total

Return

0.1%

(0.2)%

0.3%

Two Year

Total Return

5.4%

(10.7)%

16.1%

Three Year Total

Return

12.6%

(4.7)%

17.3%

Five Year Total

Return

(9.3)%

3.0%

(12.3)%

Inception to Date (2/28/2013 - 12/31/2021)

(4)

24.5%

9.4%

15.1%

Source: SEC filings and press releases

of Orchid and Peer Group

(1)

Source of total rate of return for each period is the Bloomberg COMP page

and includes reinvested dividends for each period noted.

(2)

The peer average is the unweighted, simple, average of the total rate of return for

each of the following companies in each respective

measurement period:

AGNC, NLY,

ANH, AAIC, ARR, CMO, CHMI, DX and IVR.

(3)

Represents the total rate of return for Orchid minus peer average in each respective

measurement period.

(4)

Orchid completed its Initial Public Offering on February 13,

2013. We have elected to start the comparison with Orchid’s first

full month of

operations.

ORC Announces Fourth Quarter 2021 Results

Page 9

February 24, 2022

Portfolio Total Rate of

Return Versus Peer Group Average

- Book Value Performance

ORC Spread

ORC

Over / (Under)

Total Rate

Peer

of Return

(1)

Average

(1)(2)

Average

(3)

One Year Total

Return

2.3%

1.9%

0.4%

Two Year

Total Return

4.3%

(10.2)%

14.5%

Three Year Total

Return

(1.0)%

(12.0)%

11.0%

Five Year Total

Return

(7.8)%

(8.9)%

1.1%

Inception to Date (3/31/2013 - 9/30/2021)

(4)

16.2%

(1.8)%

18.0%

Source: SEC filings and press releases

of Orchid and Peer Group

(1)

Total rate

of return for each period is change in book value per share over the period plus dividends

per share declared divided by the book

value per share at the beginning of the period.

(2)

The peer average is the unweighted, simple, average of the total rate of return for

each of the following companies in each respective

measurement period:

AGNC, NLY,

ANH, AAIC, ARR, CMO, CHMI, DX and IVR.

(3)

Represents the total rate of return for Orchid minus peer average in each respective

measurement period.

(4)

Peer book values are not available for Orchid’s true inception date

(2/13/2013).

Because all peer book values are not available as of Orchid’s

inception date (2/13/2013), the starting point for Orchid and all of the peer

companies is 3/31/2013.

Book Value Per Share

The Company's book value per share at December 31, 2021 was $4.34.

The Company computes book value per share by

dividing total stockholders' equity by the total number of shares outstanding of the

Company's common stock. At December 31, 2021,

the Company's stockholders' equity was $768.1 million with 176,993,049 shares

of common stock outstanding.

Capital Allocation and Return on Invested Capital

The Company allocates capital to two RMBS sub-portfolios, the pass-through

RMBS portfolio, consisting of mortgage pass-through

certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae (the “GSEs”)

and collateralized mortgage obligations (“CMOs”) issued

by the GSEs (“PT RMBS”), and the structured RMBS portfolio, consisting of interest-only

(“IO”), inverse interest-only (“IIO”) securities

and principal only securities (“POs”), among other types of structured Agency

RMBS. As of September 30, 2021, approximately 79% of

the Company’s investable capital (which consists of equity in pledged PT RMBS, available

cash and unencumbered assets) was

deployed in the PT RMBS portfolio.

At December 31, 2021, the allocation to the PT RMBS portfolio decreased

9% to approximately

70%.

ORC Announces Fourth Quarter 2021 Results

Page 10

February 24, 2022

The table below details the changes to the respective sub-portfolios during the

quarter, as well as the returns generated by each.

(in thousands)

Portfolio Activity for the Quarter

Structured Security Portfolio

Pass-Through

Interest-Only

Inverse Interest-

Portfolio

Securities

Only Securities

Sub-total

Total

Market value - September 30, 2021

5,458,562

140,078

2,783

142,861

5,601,423

Securities purchased

1,353,698

80,178

1,433,876

Securities sold

(252,816)

Losses on sales

(2,474)

Return of investment

n/a

(9,331)

(326)

(9,657)

Pay-downs

(168,424)

n/a

(168,424)

Premium lost due to pay-downs

(11,492)

n/a

(11,492)

Mark to market (losses) gains

(78,865)

(543)

(476)

(79,341)

Market value - December 31, 2021

6,298,189

210,382

2,524

212,906

6,511,095

The tables below present the allocation of capital between the respective

portfolios at December 31, 2021 and September 30,

2021, and the return on invested capital for each sub-portfolio for the three month

period ended December 31, 2021.

The return on

invested capital in the PT RMBS and structured RMBS portfolios was approximately

(7.7)% and 0.9%, respectively, for the fourth

quarter of 2021.

The combined portfolio generated a return on invested capital

of approximately (5.9)%.

($ in thousands)

Capital Allocation

Structured Security Portfolio

Pass-Through

Interest-Only

Inverse Interest-

Portfolio

Securities

Only Securities

Sub-total

Total

December 31, 2021

Market value

6,298,189

210,382

2,524

212,906

6,511,095

Cash

450,442

Borrowings

(1)

(6,244,106)

Total

504,525

210,382

2,524

212,906

717,431

% of Total

70.3%

29.3%

0.4%

29.7%

100.0%

September 30, 2021

Market value

5,458,562

140,078

2,783

142,861

5,601,423

Cash

(2)

294,625

Borrowings

(3)

(5,213,869)

Total

539,318

140,078

2,783

142,861

682,179

% of Total

79.1%

20.5%

0.4%

20.9%

100.0%

(1)

At December 31, 2021, there were outstanding repurchase agreement balances

of $159.0 million secured by IO securities and $2.0 million

secured by IIO securities.

We entered into these arrangements to generate additional cash

available to meet margin calls on PT RMBS;

therefore, we have not considered these balances to be allocated to the structured

securities strategy.

(2)

At September 30, 2021, cash was reduced by unsettled purchases of

approximately $180.6 million, which are reflected in the market value of

the portfolio as of September 30, 2021.

(3)

At September 30, 2021, there were outstanding repurchase agreement balances

of $106.5 million secured by IO securities and $2.1 million

secured by IIO securities.

We entered into these arrangements to generate additional

cash available to meet margin calls on PT RMBS;

therefore, we have not considered these balances to be allocated to the structured

securities strategy.

ORC Announces Fourth Quarter 2021 Results

Page 11

February 24, 2022

($ in thousands)

Returns for the Quarter Ended December 31, 2021

Structured Security Portfolio

Pass-Through

Interest-Only

Inverse Interest-

Portfolio

Securities

Only Securities

Sub-total

Total

Income (net of borrowing cost)

40,651

1,634

113

1,747

42,398

Realized and unrealized (losses) / gains

(93,067)

(541)

(475)

(93,542)

Derivative gains

10,945

n/a

10,945

Total Return

(41,471)

1,093

179

1,272

(40,199)

Beginning Capital Allocation

539,318

140,078

2,783

142,861

682,179

Return on Invested Capital for the Quarter

(1)

(7.7)%

0.8%

0.9%

(5.9)%

Average Capital Allocation

(2)

521,922

175,230

2,654

177,884

699,806

Return on Average Invested Capital for the Quarter

(3)

(7.9)%

0.6%

0.7%

(5.7)%

(1)

Calculated by dividing the Total

Return by the Beginning Capital Allocation, expressed as a percentage.

(2)

Calculated using two data points, the Beginning and Ending Capital Allocation balances.

(3)

Calculated by dividing the Total

Return by the Average Capital Allocation, expressed as a percentage

Stock Offerings

On June 22, 2021, we entered into an equity distribution agreement (the “June 2021

Equity Distribution Agreement”) with four

sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate

amount of $250,000,000 of shares of our

common stock in transactions that were deemed to be “at the market” offerings and privately

negotiated transactions. We issued a total

of 49,407,336 shares under the June 2021 Equity Distribution Agreement for aggregate

gross proceeds of approximately $250.0

million, and net proceeds of approximately $246.2 million, after commissions

and fees, prior to its termination in October 2021.

On October 29, 2021, we entered into an equity distribution agreement

(the “October 2021 Equity Distribution Agreement”) with

four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate

amount of $250,000,000 of shares of

our common stock in transactions that are deemed to be “at the market” offerings and privately

negotiated transactions. Through

December 31, 2021, we issued a total of 15,835,700 shares under the October 2021

Equity Distribution Agreement for aggregate gross

proceeds of approximately $78.3 million, and net proceeds of approximately

$77.0 million, after commissions and fees.

Stock Repurchase Program

On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 2,000,000

shares of our common stock.

The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is

subject to economic

and market conditions, stock price, applicable legal requirements and other factors.

The authorization does not obligate the Company

to acquire any particular amount of common stock and the program may

be suspended or discontinued at the Company’s discretion

without prior notice. On February 8, 2018, the Board of Directors approved

an increase in the stock repurchase program for up to an

additional 4,522,822 shares of the Company’s common stock. Coupled with the

783,757 shares remaining from the original 2,000,000

share authorization, the increased authorization brought the total authorization

to 5,306,579 shares, representing 10% of the then

outstanding share count. On December 9, 2021, the Board of Directors approved an

additional increase in the number of shares of the

Company’s common stock available in the stock repurchase program for up to an additional

16,861,994 shares, bringing the remaining

authorization under the stock repurchase program to up to 17,699,305

shares, representing approximately 10% of the Company’s then

outstanding shares of common stock. This stock repurchase program has no

termination date.

From the inception of the stock repurchase program through December 31, 2021,

the Company repurchased a total of 5,685,511

ORC Announces Fourth Quarter 2021 Results

Page 12

February 24, 2022

shares at an aggregate cost of approximately $40.4 million, including commissions

and fees, for a weighted average price of $7.10 per

share. There were no shares repurchased during the year ended December 31,

2021.

Earnings Conference Call Details

An earnings conference call and live audio webcast will be hosted Friday, February 25, 2022, at 10:00 AM ET.

The conference

call may be accessed by dialing toll free (833) 794-1168.

International callers dial (236) 714-2726.

The conference passcode is

9406887.

The supplemental materials may be downloaded from the investor relations

section of the Company’s website at

www.orchidislandcapital.com. A live audio webcast of the conference call can be accessed via the investor

relations section of the

Company’s website at https://ir.orchidislandcapital.com and an audio archive of the webcast will be available until March

28, 2022.

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 and CMOs,

such as mortgage pass-through certificates issued by the GSEs and (ii) structured Agency

RMBS, such as IOs, IIOs and POs, among

other types of structured Agency RMBS. Orchid is managed by Bimini Advisors,

LLC, a registered investment adviser with the

Securities and Exchange Commission.

Forward Looking Statements

Statements herein relating to matters that are not historical facts, including,

but not limited to statements regarding interest rates,

liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, portfolio positioning and repositioning,

hedging levels, dividends, growth, the supply and demand for Agency RMBS,

the effect of actual or expected actions of the U.S.

government, including the Federal Reserve, market expectations, the stock repurchase

program and general economic conditions, are

forward-looking statements as defined in the Private Securities Litigation Reform

Act of 1995. The reader is cautioned that such

forward-looking statements are based on information available at the time

and on management's good faith belief with respect to future

events, and are subject to risks and uncertainties that could cause actual performance

or results to differ materially from those

expressed in such forward-looking statements. Important factors that could cause

such differences are described in Orchid Island

Capital, Inc.'s filings with the Securities and Exchange Commission, including

its most recent Annual Report on Form 10-K and

Quarterly Reports on Form 10-Q. Orchid Island Capital, Inc. assumes no obligation

to update forward-looking statements to reflect

subsequent results, changes in assumptions or changes in other factors affecting forward-looking

statements.

CONTACT:

Orchid Island Capital, Inc.

Robert E. Cauley, 772-231-1400

Chairman and Chief Executive Officer

https://ir.orchidislandcapital.com

ORC Announces Fourth Quarter 2021 Results

Page 13

February 24, 2022

Summarized Financial Statements

The following is a summarized presentation of the unaudited balance sheets

as of December 31, 2021, and December 31, 2020,

and the unaudited quarterly results of operations for the twelve and three months

ended December 31, 2021 and 2020.

Amounts

presented are subject to change.

ORCHID ISLAND CAPITAL, INC.

BALANCE SHEETS

($ in thousands, except per share data)

(Unaudited - Amounts Subject to Change)

December 31, 2021

December 31, 2020

ASSETS:

Mortgage-backed securities

6,511,095

3,726,895

U.S. Treasury Notes

37,175

Cash, cash equivalents and restricted cash

450,442

299,506

Accrued interest receivable

18,859

9,721

Derivative assets, at fair value

50,786

20,999

Receivable for securities sold

414

Other assets

320

516

Total Assets

7,068,677

4,058,051

LIABILITIES AND STOCKHOLDERS' EQUITY

Repurchase agreements

6,244,106

3,595,586

Dividends payable

11,530

4,970

Derivative liabilities, at fair value

7,589

33,227

Accrued interest payable

788

1,157

Due to affiliates

1,062

632

Other liabilities

35,505

7,188

Total Liabilities

6,300,580

3,642,760

Total Stockholders' Equity

768,097

415,291

Total Liabilities

and Stockholders' Equity

7,068,677

4,058,051

Common shares outstanding

176,993,049

76,073,317

Book value per share

4.34

5.46

ORC Announces Fourth Quarter 2021 Results

Page 14

February 24, 2022

ORCHID ISLAND CAPITAL, INC.

STATEMENTS

OF OPERATIONS

($ in thousands, except per share data)

(Unaudited - Amounts Subject to Change)

Years Ended December 31,

Three Months Ended December 31,

2021

2020

2021

2020

Interest income

134,700

116,045

44,421

25,893

Interest expense

(7,090)

(25,056)

(2,023)

(2,011)

Net interest income

127,610

90,989

42,398

23,882

Losses

(177,119)

(78,317)

(82,597)

(4,605)

Net portfolio (loss) income

(49,509)

12,672

(40,199)

19,277

Expenses

15,251

10,544

4,365

2,798

Net (loss) income

(64,760)

2,128

(44,564)

16,479

Basic and diluted net (loss) income per share

(0.54)

0.03

(0.27)

0.23

Weighted Average Shares Outstanding

121,144,326

67,210,815

168,143,514

70,532,822

Dividends Declared Per Common Share:

0.780

0.790

0.195

Three Months Ended December 31,

Key Balance Sheet Metrics

2021

2020

Average RMBS

(1)

6,056,259

3,633,631

Average repurchase agreements

(1)

5,728,988

3,438,444

Average stockholders' equity

(1)

749,363

396,016

Leverage ratio

(2)

8.2:1

8.8:1

Key Performance Metrics

Average yield on RMBS

(3)

2.93%

2.85%

Average cost of funds

(3)

0.14%

0.23%

Average economic cost of funds

(4)

0.70%

0.91%

Average interest rate spread

(5)

2.79%

2.62%

Average economic interest rate spread

(6)

2.23%

1.94%

(1)

Average RMBS, borrowings and stockholders’ equity balances are

calculated using two data points, the beginning and ending balances.

(2)

The leverage ratio is calculated by dividing total ending liabilities by ending

stockholders’ equity.

(3)

Portfolio yields and costs of funds are calculated based on the average balances

of the underlying investment portfolio/borrowings balances

and are annualized for the quarterly periods presented.

(4)

Represents the interest cost of our borrowings and the effect of derivative

agreements attributed to the period related to hedging activities,

divided by average borrowings.

(5)

Average interest rate spread is calculated by subtracting average cost

of funds from average yield on RMBS.

(6)

Average economic interest rate spread

is calculated by subtracting average economic cost of funds from average yield on RMBS.