orc8k20221213x991

ORCHID ISLAND CAPITAL ANNOUNCES

DECEMBER 2022 MONTHLY DIVIDEND AND NOVEMBER 30, 2022 RMBS

PORTFOLIO CHARACTERISTICS

●

December 2022 Monthly Dividend of $0.16 Per Share of Common Stock

●

RMBS Portfolio Characteristics as of November 30, 2022

●

Estimated Book Value per common share of $11.9

to $12.05 as of December 9, 2022

●

Next Dividend Announcement Expected January 11, 2023

Vero

Beach, Fla., December 13, 2022 - Orchid Island Capital, Inc. (the “Company”)

(NYSE: ORC) announced today

that the Board of Directors of the Company declared

a monthly cash dividend for the month of December

2022. The dividend

of $0.16 per share will be paid January 27, 2023 to holders of record of the Company’s

common stock on December 30, 2022,

with an

ex-dividend date of

December 29, 2022.

The Company plans

on announcing its

next common stock

dividend on January

11, 2023.

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 December 13,

2022 and November 30,

2022, the Company had

37,307,255 shares of common

stock outstanding. As of

September 30, 2022, the Company had 35,066,251 shares of common stock outstanding

RMBS Portfolio Characteristics

Details of

the RMBS

portfolio

as of

November 30,

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

Estimated December 9, 2022 Book Value

Per Share

The

Company

estimates

book value

per share

as of

December

9, 2022

to be

approximately

$11.95

to $12.05

per share,

increase of

approximately 5%

to 10%

from the

book value

at September

30, 2022

of $11.42

per share.

The estimated

book

value per

share includes

a deduction

for the

Company’s

November 2022

dividend that

will be

paid on

December 28,

2022,

which

was declared

on November

9, 2022

with

November

30,

2022

record

date.

The estimated

book

value

per share

unaudited and has not been verified or reviewed by any third party. The Company undertakes no obligation to update or revise

its estimated book value per share.

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

and expected funding of

purchased assets. 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

Nov 2022

Sep - Nov

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 Dec)

(-50 BPS)

(1)

(+50 BPS)

(2)

Pass Through RMBS

15yr 4.0

402

396

0.01%

98.47

4.00%

4.54%

124

0.8%

(7)

15yr Total

402

396

0.01%

98.47

4.00%

4.54%

124

0.8%

(7)

30yr 3.0

2,569,029

2,282,232

64.08%

88.84

3.00%

3.44%

337

5.1%

70,791

(72,990)

30yr 3.5

216,501

201,628

5.66%

93.13

3.50%

4.03%

318

6.7%

6.3%

5,383

(5,509)

30yr 4.0

272,939

259,238

7.28%

94.98

4.00%

4.72%

341

5.3%

7.0%

6,013

(6,527)

30yr 4.5

369,651

359,870

10.10%

97.35

4.50%

5.45%

355

1.7%

n/a

6,218

(7,188)

30yr 5.0

440,411

438,310

12.31%

99.52

5.00%

5.90%

356

2.8%

0.8%

6,916

(8,128)

30yr Total

3,868,531

3,541,278

99.43%

91.54

3.47%

4.03%

340

4.7%

5.0%

95,321

(100,342)

Total Pass Through

RMBS

3,868,933

3,541,674

99.44%

91.54

3.47%

4.03%

340

4.7%

5.0%

95,328

(100,349)

Structured RMBS

IO 20yr 4.0

10,964

1,149

0.03%

10.48

4.00%

4.57%

131

102

10.5%

10.0%

(5)

IO 30yr 3.0

3,232

399

0.01%

12.34

3.00%

3.64%

256

3.9%

1.8%

(3)

IO 30yr 4.0

92,311

16,767

0.47%

18.16

4.00%

4.60%

100

252

5.9%

6.5%

(586)

458

IO 30yr 4.5

3,966

733

0.02%

18.47

4.50%

4.99%

149

197

6.6%

8.0%

(13)

IO 30yr 5.0

2,216

443

0.01%

20.01

5.00%

5.36%

149

199

9.5%

5.3%

(12)

IO Total

112,689

19,491

0.55%

17.30

4.01%

4.60%

105

234

6.4%

6.8%

(611)

471

IIO 30yr 4.0

32,127

482

0.01%

1.50

0.58%

4.40%

287

9.2%

4.0%

104

(82)

Total Structured

RMBS

144,816

19,973

0.56%

13.79

3.25%

4.55%

246

7.0%

6.1%

(507)

389

Total Mortgage Assets

4,013,749

3,561,647

100.00%

3.46%

4.05%

337

4.8%

5.0%

94,821

(99,960)

Interest

Average

Hedge

Rate

Notional

Period

Sensitivity

Hedge

Balance

End

(-50 BPS)

(2)

(+50 BPS)

(2)

5-Year Treasury

Future

(3)

(750,500)

Mar-2023

(15,942)

15,591

10-Year Treasury

Ultra

(4)

(174,500)

Mar-2023

(8,520)

8,060

Swaps

(1,400,000)

Jul-2028

(33,311)

32,236

TBA

(675,000)

Jan-2023

(18,218)

19,226

Swaptions

(613,000)

Jan-2024

(7,969)

9,714

Hedge Total

(3,613,000)

(83,960)

84,827

Rate Shock Grand Total

10,861

(15,133)

(1)

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

$285.3 million purchased in November 2022, which settle in December 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 $108.57 at November 30, 2022.

The market value of the short position was $814.8 million.

(4)

Ten-year Treasury

Ultra futures contracts were valued at prices of $119.66

at November 30, 2022.

The market value of the short position was $208.8 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 November 30, 2022

Fannie Mae

2,335,494

65.6%

Non-Whole Pool Assets

158,160

4.4%

Freddie Mac

1,226,153

34.4%

Whole Pool Assets

3,403,487

95.6%

Total Mortgage Assets

3,561,647

100.0%

Total Mortgage Assets

3,561,647

100.0%

(1)

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

$285.3 million purchased in November 2022, which settle in December 2022.

Borrowings By Counterparty

($ in thousands)

Weighted

% of

Average

Total

Repo

Maturity

Longest

As of November 30, 2022

Borrowings

(1)

Debt

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

312,687

10.3%

3.95%

5/18/2023

Merrill Lynch, Pierce, Fenner & Smith

271,064

8.9%

3.96%

12/28/2022

Daiwa Capital Markets America Inc.

250,859

8.2%

3.92%

12/15/2022

ING Financial Markets LLC

228,279

7.5%

3.90%

12/15/2022

Cantor Fitzgerald & Co

224,314

7.4%

3.93%

12/15/2022

ABN AMRO Bank N.V.

218,522

7.2%

3.92%

12/13/2022

J.P.

Morgan Securities LLC

214,827

7.0%

3.95%

12/23/2022

RBC Capital Markets, LLC

213,759

7.0%

3.93%

12/15/2022

ED&F Man Capital Markets Inc

187,959

6.2%

3.85%

12/19/2022

Mitsubishi UFJ Securities (USA), Inc

178,009

5.8%

4.20%

1/30/2023

Goldman, Sachs & Co.

125,376

4.1%

3.99%

12/23/2022

Santander Bank, N.A.

116,178

3.8%

4.40%

1/27/2023

StoneX Financial Inc.

111,734

3.7%

3.92%

12/15/2022

Citigroup Global Markets Inc

103,509

3.4%

4.28%

1/23/2023

Wells Fargo Bank, N.A.

91,621

3.0%

3.92%

12/13/2022

BMO Capital Markets Corp.

77,708

2.5%

4.37%

1/23/2023

ASL Capital Markets Inc.

63,131

2.1%

4.03%

12/21/2022

South Street Securities, LLC

36,656

1.2%

3.97%

12/15/2022

Lucid Cash Fund USG, LLC

18,787

0.6%

3.92%

12/8/2022

Lucid Prime Fund, LLC

2,662

0.1%

3.92%

12/8/2022

Total Borrowings

3,047,641

100.0%

3.99%

5/18/2023

(1)

November

2022,

the

Company

purchased

assets

with

fair

value

approximately

$285.3

million,

which

settle

December 2022 that are expected to be funded substantially by repurchase agreements

not included in the table above.

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero

Beach, Florida 32963

Telephone: (772)

231-1400