8-K - ORC - Equibles

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,

DC 20549

FORM

8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the

Securities Exchange Act of 1934

Date of Report (Date of earliest event reported):

October 27, 2022

Orchid Island Capital, Inc.

(Exact Name of Registrant as Specified in Charter)

Maryland

001-35236

27-3269228

(State or Other Jurisdiction of Incorporation)

(Commission File Number)

(IRS Employer Identification No.)

3305 Flamingo Drive

Vero Beach

Florida

32963

(Address of Principal Executive Offices) (Zip Code)

Registrant’s telephone number,

including area code

(

772

)

231-1400

N/A

(Former Name or Former Address, if Changed Since Last Report)

Check the appropriate box below if the Form 8-K filing is intended

to simultaneously satisfy the filing obligation of the registrant

under any of the following provisions:

☐

Written communications pursuant

to Rule 425 under the Securities Act (17 CFR 230.425)

☐

Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a

-12)

☐

Pre-commencement communications pursuant to Rule 14d-2(b)

under the Exchange Act (17 CFR 240.14d-2(b))

☐

Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange

Act (17 CFR 240.13e-4(c))

Securities registered pursuant to Section 12(b) of the Act:

Title of each class:

Trading symbol:

Name of each exchange

on which registered:

Common Stock, par value $0.01 per share

ORC

NYSE

Indicate by check mark whether the registrant is an emerging growth

company as defined in Rule 405 of the Securities Act of 1933

(§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of

1934 (§240.12b-2 of this chapter).

Emerging growth company

☐

If an emerging growth company,

indicate by check mark if the registrant has elected not to use the extended transition period

for

complying with any new or revised financial accounting standards provided

pursuant to Section 13(a) of the Exchange Act.

☐

Item 2.02. Results of Operations and Financial Condition.

On October 27, 2022, Orchid Island Capital, Inc. (the “Company”)

issued the press release attached hereto as Exhibit 99.1 announcing

the Company’s results of operations

for the period ended September 30, 2022. In addition, the Company posted supplemental financial

information

on the investor relations section of its website (https://ir.orchidislandcapital.com).

The press release, attached as Exhibit

99.1, is being furnished under this “Item 2.02 Results of Operations and

Financial Condition,” and shall not be deemed “filed”

for

purposes of Section 18 of the Securities Exchange Act of 1934, nor shall it be deemed

incorporated by reference in any disclosure

document of the Company,

except as shall be expressly set forth by specific reference in such document.

Item 8.01 Other Events

In a Form 8-K filed with the Securities and Exchange Commission (the

“SEC”) on October 12, 2022 (the “Original 8-K”), the

Company announced the approval by its board of directors of an increase

to its previously announced stock repurchase program (the

“Repurchase Program”) for up to an additional 4,300,000 shares of the Company’s

common stock.

The total number of shares

authorized under the Repurchase Program immediately after the increase

was 6,183,601 shares, representing approximately 18% of

the Company’s then-outstanding

shares of common stock.

The Original 8-K incorrectly stated that the total authorization under

the

Repurchase Program after the increase was 5,046,499 shares,

representing approximately 15% of the Company’s

then-outstanding

shares of common stock.

Caution About Forward-Looking Statements.

This Current Report on

Form 8-K contains forward-looking

statements within the

meaning of the Private

Securities Litigation Reform

Act

1995

and

other

federal

securities

laws,

including,

but

not

limited

to,

statements

regarding

interest

rates,

inflation,

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 and

the performance of

the Agency RMBS

sector generally,

the

effect of

actual or

expected actions

of the

U.S. government,

including the

Federal Reserve,

market expectations,

future opportunities

and prospects of

the Company,

the stock repurchase

program and general

economic conditions. These

forward-looking statements are

based upon

the Company’s

present expectations,

but the

Company cannot

assure investors

that actual

results will

not vary

from the

expectations contained in

the forward-looking statements. 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, which

has been filed

with the SEC,

and other

documents that

the

Company

files

with

the

SEC.

All

forward-looking

statements

speak

only

the

date

which

they

are

made.

New

risks

and

uncertainties arise over

time, and it is

not possible to predict

those events or how

they may affect

the Company.

Except as required by

law,

the Company

is not obligated

to, and

does not

intend to,

update or

revise any

forward-looking statements,

whether as a

result of

new information, future events or otherwise.

Item 9.01. Financial Statements and Exhibits.

(d)

Exhibits

Exhibit No.

Description

99.1

Press Release dated October 27, 2022

104

Cover Page Interactive Data File (embedded within the Inline XBRL

document)

Signatures

Pursuant to the requirements of

the Securities Exchange Act of

1934, the Registrant has duly

caused this report to be

signed on its behalf

by the undersigned hereunto duly authorized.

Date: October 27, 2022

ORCHID ISLAND CAPITAL,

INC.

By:

/s/ Robert E. Cauley

Robert E. Cauley

Chairman and Chief Executive Officer

orc8k20221027x991

orc8k20221027x991p1i0

ORCHID ISLAND CAPITAL ANNOUNCES THIRD QUARTER 2022 RESULTS

VERO BEACH, Fla. (October 27, 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 September 30, 2022.

Third Quarter 2022 Results

●

Net loss of $84.5 million, or $2.40 per common share, which consists

of:

●

Net interest income of $14.2 million, or $0.40 per common share

●

Total

expenses of $5.2 million, or $0.15 per common share

●

Net realized and unrealized losses of $93.5 million, or $2.66 per common share, on RMBS

and derivative instruments,

including net interest income on interest rate swaps

●

Third quarter total dividends declared and paid of $0.545 per common share

●

Book value per common share of $11.42 at September 30, 2022

●

Total

return of (16.7)%,

comprised of $0.545 dividend per common share and $2.94 decrease

in book value per common

share, divided by beginning book value per common share

Other Financial Highlights

●

Orchid maintains a strong liquidity position of $219.6 million in cash and

cash equivalents and unpledged RMBS, or 54% of

stockholder’s equity as of September 30, 2022

●

Borrowing capacity in excess of September 30, 2022 outstanding repurchase agreement

balances of $3,133.9 million, spread

across 20 active lenders

●

Since June 30, 2022, the Company has repurchased 5.2%, or 1.8 million

shares, of Orchid’s June 30, 2022 common stock at

a weighted average price of $9.02 per share

●

Estimated book value per share as of October 26, 2022 between $10.60 and

$10.70 per share

●

On August 30, 2022, the Company effected a one-for-five reverse stock split.

All share and per share numbers have been

retroactively adjusted to reflect the reverse stock split, as applicable

●

Company to discuss results on Friday, October 28, 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 third quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, “In a continuation of the

extremely turbulent and volatile market conditions that have existed since the onset

of the COVID-19 pandemic, during the third quarter

of 2022 the markets and the outlook for monetary policy changed materially.

The reaction on the part of the Federal Reserve (the

“Fed”) to inflation and economic data has shaped the rates markets, currency markets

and the outlook for the economy since the spring

of 2021.

This is when inflation first began to accelerate in the U.S.

During the third quarter their outlook the Fed’s outlook changed

significantly.

Through early August of 2022 the markets perceived that, while inflation was

not transitory, the Fed would be able to

dampen demand by raising rates and cause inflation to decrease back towards the

Fed’s long-term target of 2%.

Further, the market

anticipated this would happen by early in 2023 and that the Fed would then start to

loosen monetary policy shortly thereafter.

The Fed,

through repeated public comments by various Fed officials, stressed that this was not going

to be the case.

Incoming economic data

over the period was persistently strong, indicating the rate increases to date had

yet to slow demand.

More importantly, incoming

inflation data showed no evidence of slowing at all and was in fact becoming more widespread,

possibly even well entrenched.

This

reinforced the notion that the Fed will have to take rates higher and for longer.

ORC Announces Third Quarter 2022 Results

Page 2

October 27, 2022

“The result of these developments was significant and widespread.

Specific to Orchid Island were increases in market interest

rates and a widening in the spreads that Agency RMBS securities trade relative to

comparable duration U.S. Treasuries or swaps.

The yield on the 10-year U.S. Treasury closed just above 3.83% on September 30, 2022, and surpassed 4%

in October of 2022.

Short-term rates increased even more as the curve became even more inverted.

Interest rates on maturities inside three months

increased by 160 basis points by the end of the quarter and by over 236 basis points

since the end of the second quarter through

October 26, 2022. As of September 30, 2022, market pricing implied the terminal rate

for the current cycle would be approximately

4.53% - anticipated to occur late in the first quarter of 2023.

As of October 26, 2022, the market is pricing in a terminal rate of

approximately 4.85%

sometime late in the second quarter of 2023 and with the Fed funds rate

still over 4.39%

in early 2024.

“Agency RMBS spreads relative to benchmark interest rates increased to

levels observed in March of 2020 by the end of the third

quarter of 2022 and have exceeded those levels in October.

Returns for the Agency RMBS market for the third quarter of 2022 were

(5.4)% and these returns were 1.7% lower than comparable duration LIBOR swaps.

The relative performance across the Agency

RMBS universe is skewed in favor of higher coupon, 30-year securities that are

currently in production by originators.

Lower coupon

securities, especially those held in large amounts by the Fed, and which may eventually

be sold by the Fed, have performed the worst.

These results are consistent with the relative duration of the securities, as

higher coupons have shorter durations, or less sensitivity to

movements in interest rates. Actions by the Fed as described above may

prevent the sector from performing well in the near term but,

if the economy does contract and enter a recession, the sector could do well

on a relative performance basis owing to the lack of credit

exposure of Agency RMBS.

This is consistent with the sector’s history of performance

in a counter-cyclical manner – doing well when

the economy is soft and relatively poorly when the economy is strong.”

Details of Third Quarter 2022 Results of Operations

The Company reported net loss of $84.5 million for the three month period

ended September 30, 2022, compared with net income

of $26.0 million for the three month period ended September 30, 2021. The Company

decreased its Agency RMBS portfolio over the

course of the first nine months of 2022, from $6.5 billion at December 31, 2021

to $3.2 billion at September 30, 2022.

Interest income

on the portfolio in the third quarter was up approximately $0.3 million from the

second quarter of 2022. The yield on our average MBS

increased from 3.31%

in the second quarter of 2022 to 3.99% for the third quarter of 2022, repurchase agreement

borrowing costs

increased from 0.80%

for the second quarter of 2022 to 2.48%

for the third quarter of 2022,

and our net interest spread decreased from

2.51% in the second quarter of 2022 to 1.51% in the third quarter

of 2022.

Book value decreased by $2.94 per share in the third quarter of 2022. The decrease

in book value reflects our net loss of $2.40

per share and the dividend distribution of $0.545 per share. The Company

recorded net realized and unrealized losses of $2.66 per

share on Agency RMBS assets and derivative instruments, including net interest income

on interest rate swaps.

The Company estimates book value per share as of October 26, 2022 to be approximately

$10.60 to $10.70 per share. The

estimated book value per share includes a deduction for the Company’s September 2022

dividend of $0.16 per share of common stock

that will be paid on October 27, 2022, which was declared on September 12, 2022

with a September 30, 2022 record date. The

estimated book value per share range is 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.

ORC Announces Third Quarter 2022 Results

Page 3

October 27, 2022

Prepayments

For the quarter ended September 30, 2022, Orchid received $96.6 million in

scheduled and unscheduled principal repayments and

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

6.5%. Prepayment rates on the two

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

Structured

PT RMBS

RMBS

Total

Three Months Ended

Portfolio (%)

September 30, 2022

6.1

10.4

6.5

June 30, 2022

8.3

13.7

9.4

March 31, 2022

8.1

19.5

10.7

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

Portfolio

The following tables summarize certain characteristics of Orchid’s PT RMBS (as defined

below) and structured RMBS as of

September 30, 2022 and December 31, 2021:

($ in thousands)

Weighted

Percentage

Average

Weighted

Maturity

Fair

Entire

Average

Longest

Asset Category

Value

Portfolio

Coupon

Months

Maturity

September 30, 2022

Fixed Rate RMBS

3,150,403

98.4%

3.30%

341

1-Aug-52

Interest-Only Securities

50,274

1.6%

3.72%

278

25-Nov-51

Inverse Interest-Only Securities

537

0.0%

1.51%

289

15-Jun-42

Total Mortgage Assets

3,201,214

100.0%

3.31%

336

1-Aug-52

December 31, 2021

Fixed Rate RMBS

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 Mortgage Assets

6,511,095

100.0%

3.03%

325

25-Jan-52

ORC Announces Third Quarter 2022 Results

Page 4

October 27, 2022

($ in thousands)

September 30, 2022

December 31, 2021

Percentage of

Agency

Fair Value

Entire Portfolio

Fair Value

Entire Portfolio

Fannie Mae

2,231,699

69.7%

4,719,349

72.5%

Freddie Mac

969,515

30.3%

1,791,746

27.5%

Total Portfolio

3,201,214

100.0%

6,511,095

100.0%

September 30, 2022

December 31, 2021

Weighted Average Pass-through Purchase Price

107.06

107.19

Weighted Average Structured Purchase Price

18.08

15.21

Weighted Average Pass-through Current Price

89.44

105.31

Weighted Average Structured Current Price

17.32

14.08

Effective Duration

(1)

5.800

3.390

(1)

Effective duration of 5.800 indicates that an interest rate increase of

1.0% would be expected to cause a 5.800% decrease in the value of the

RMBS in the Company’s investment portfolio at September 30, 2022.

An effective duration of 3.390 indicates that an interest rate increase

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.

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.

Financing, Leverage and Liquidity

As of September

30, 2022,

the Company

had outstanding

repurchase

obligations

of approximately

$3,133.9

million with

a net

weighted

average borrowing

rate of 3.00%.

These agreements

were collateralized

by RMBS

with a fair

value, including

accrued

interest,

of approximately

$3,206.4 million

and cash pledged

to counterparties

of approximately

$49.4 million.

The Company’s

leverage

ratio at

September

30, 2022

was 8.5 to

At September

30, 2022,

the Company’s

liquidity

was approximately

$219.6 million,

consisting

cash

and cash equivalents

and unpledged

RMBS (not

including

unsettled

securities

purchases).

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

a distressed

market in

order to

raise cash.

Below is

a list of

our outstanding

borrowings

under repurchase

obligations

at September

30,

2022.

ORC Announces Third Quarter 2022 Results

Page 5

October 27, 2022

($ in thousands)

Weighted

Total

Average

Outstanding

% of

Borrowing

Amount

Maturity

Counterparty

Balances

Total

Rate

at Risk

(1)

in Days

Daiwa Capital Markets America, Inc.

305,822

9.9%

3.05%

9,118

Merrill Lynch, Pierce, Fenner & Smith Inc.

296,050

9.4%

2.81%

7,977

Mirae Asset Securities (USA) Inc.

286,438

9.1%

3.02%

10,056

Cantor Fitzgerald & Co.

234,245

7.5%

3.04%

10,742

J.P.

Morgan Securities LLC

223,180

7.1%

2.90%

10,833

Mitsubishi UFJ Securities (USA), Inc.

206,189

6.6%

3.09%

13,020

ED&F Man Capital Markets Inc.

200,001

6.4%

3.12%

6,550

ABN AMRO Bank N.V.

194,818

6.2%

2.89%

2,131

RBC Capital Markets, LLC

173,422

5.5%

2.75%

3,374

ING Financial Markets LLC

149,958

4.8%

3.14%

4,772

Goldman Sachs & Co. LLC

129,760

4.1%

3.14%

5,924

Nomura Securities International, Inc.

123,060

3.9%

3.15%

5,806

Santander Bank, N.A.

117,062

3.7%

3.14%

5,293

Citigroup Global Markets, Inc.

111,594

3.6%

2.87%

5,141

Wells Fargo Bank, N.A.

101,431

3.2%

2.88%

4,397

BMO Capital Markets Corp.

80,692

2.6%

3.14%

3,703

StoneX Financial Inc.

74,348

2.4%

3.14%

3,184

ASL Capital Markets Inc.

64,836

2.1%

3.15%

3,025

South Street Securities, LLC

38,047

1.2%

3.12%

1,484

Lucid Cash Fund USG LLC

22,908

0.7%

2.78%

914

Total / Weighted

Average

3,133,861

100.0%

3.00%

117,444

(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 Third Quarter 2022 Results

Page 6

October 27, 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

its derivative

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 September

30, 2022,

such instruments

were comprised

of Treasury

note

(“T-Note”)

futures contracts,

interest

rate swap

agreements,

interest

rate swaption

agreements,

interest

rate caps

and contracts

to buy and

sell TBA

securities.

The table

below presents

information

related to

the Company’s

T-Note futures

contracts

at September

30, 2022.

($ in thousands)

Average

Weighted

Contract

Average

Notional

Entry

Effective

Open

Expiration Year

Amount

Rate

Equity

(1)

Treasury Note Futures Contracts (Short

Positions)

(2)

December 2022 5-year T-Note futures

(Dec 2022 - Dec 2027 Hedge Period)

750,500

3.54%

4.32%

29,141

December 2022 10-year Ultra futures

(Dec 2022 - Dec 2032 Hedge Period)

174,500

3.03%

3.77%

13,141

(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 $107.51 at September 30, 2022.

The contract values of the short positions were

$806.8 million at September 30, 2022.

10-Year Ultra futures

contracts were valued at a price of $118.48

at September 30, 2022. The contract

value of the short position was $206.8 million at September 30, 2022.

The table

below presents

information

related to

the Company’s

interest

rate swap

positions

at September

30, 2022.

($ in thousands)

Average

Net

Fixed

Average

Estimated

Average

Notional

Pay

Receive

Fair

Maturity

Expiration

Amount

Rate

Value

(Years)

> 3 to ≤ 5 years

500,000

0.84%

3.46%

60,776

4.0

> 5 years

900,000

1.70%

2.56%

108,854

6.8

1,400,000

1.39%

2.88%

169,630

5.8

ORC Announces Third Quarter 2022 Results

Page 7

October 27, 2022

The following

table presents

information

related to

our interest

rate swaption

positions

as of September

30, 2022.

($ 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

35,230

83,470

10.6

1,303,600

2.95%

3 Month

10.0

>10 years

7,267

7,725

238.9

80,000

2.07%

3 Month

10.0

42,497

91,195

23.8

1,383,600

2.90%

3 Month

10.0

Payer Swaptions - short

≤ 1 year

(17,500)

52,315

4.7

(958,300)

2.95%

3 Month

10.0

The following

table presents

information

related to

our interest

cap positions

as of September

30, 2022.

($ in thousands)

Net

Strike

Estimated

Notional

Swap

Curve

Fair

Expiration

Amount

Cost

Rate

Spread

Value

February 8, 2024

200,000

1,450

0.09%

2Y10Y

1,188

The following table summarizes our contracts to purchase and sell TBA

securities as of September 30, 2022.

($ in thousands)

Notional

Net

Amount

Cost

Market

Carrying

Long (Short)

(1)

Basis

(2)

Value

(3)

Value

(4)

September 30, 2022

30-Year TBA securities:

2.0%

(175,000)

(141,329)

(141,723)

(394)

3.0%

(300,000)

(261,047)

(475,000)

(402,376)

(402,770)

(394)

(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 Third Quarter 2022 Results

Page 8

October 27, 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

6.975

4,662

2014

10.800

22,643

2015

9.600

38,748

2016

8.400

41,388

2017

8.400

70,717

2018

5.350

55,814

2019

4.800

54,421

2020

3.950

53,570

2021

3.900

97,601

2022 - YTD

(1)

2.155

76,024

Totals

64.330

515,588

(1)

On October 12, 2022, the Company declared a dividend of $0.16 per

share to be paid on November 28, 2022.

The effect of this dividend is

included in the table above but is not reflected in the Company’s financial

statements as of September 30, 2022.

Book Value Per Share

The Company's

book value

per share

at September

30, 2022

was $11.42.

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 September

30, 2022,

the Company's stockholders' equity was $400.4 million with 35,066,251

shares of common stock outstanding.

Capital Allocation and Return on Invested Capital

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

quarter.

(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 - June 30, 2022

3,766,151

173,754

955

174,709

3,940,860

Securities purchased

431,897

Securities sold

(683,895)

(112,998)

(796,893)

Losses on sales

(60,740)

(5,403)

(66,143)

Return of investment

n/a

(5,221)

(5,188)

Pay-downs

(91,283)

n/a

(91,283)

Discount accretion due to pay-downs

4,647

n/a

4,647

Mark to market (losses) gains

(216,374)

142

(451)

(309)

(216,683)

Market value - September 30, 2022

3,150,403

50,274

537

50,811

3,201,214

ORC Announces Third Quarter 2022 Results

Page 9

October 27, 2022

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”) and inverse interest-only (“IIO”)

securities.

As of June 30, 2022, approximately 62% 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 September 30, 2022, the allocation to

the PT RMBS portfolio increased to approximately 85%.

The tables below present the allocation of capital between the respective

portfolios at September 30, 2022 and June 30, 2022, and

the return on invested capital for each sub-portfolio for the three month period

ended September 30, 2022.

($ in thousands)

Capital Allocation

Structured Security Portfolio

Pass-Through

Interest-Only

Inverse Interest

Portfolio

Securities

Only Securities

Sub-total

Total

September 30, 2022

Market value

3,150,403

50,274

537

50,811

3,201,214

Cash

280,952

Borrowings

(1)

(3,133,861)

Total

297,494

50,274

537

50,811

348,305

% of Total

85.4%

14.4%

0.2%

14.6%

100.0%

June 30, 2022

Market value

3,766,151

173,754

955

174,709

3,940,860

Cash

283,371

Borrowings

(2)

(3,758,980)

Total

290,542

173,754

955

174,709

465,251

% of Total

62.4%

37.4%

0.2%

37.6%

100.0%

(1)

At September 30, 2022, there were outstanding repurchase agreement balances

of $41.0 million secured by IO securities and $0.5 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 June 30, 2022, there were outstanding repurchase agreement balances of

$144.9 million secured by IO securities

and $0.8 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.

The return on invested capital in the PT RMBS and structured RMBS portfolios

was approximately (26.5)% and (1.4)%,

respectively, for the third quarter of 2022.

The combined portfolio generated a return on invested capital of approximately

(17.0)%.

ORC Announces Third Quarter 2022 Results

Page 10

October 27, 2022

($ in thousands)

Returns for the Quarter Ended September 30, 2022

Structured Security Portfolio

Pass-Through

Interest-Only

Inverse Interest

Portfolio

Securities

Only Securities

Sub-total

Total

Income (net of borrowing cost)

10,936

3,094

219

3,313

14,249

Realized and unrealized losses

(272,652)

(5,261)

(451)

(5,712)

(278,364)

Derivative gains

184,820

n/a

184,820

Total Return

(76,896)

(2,167)

(232)

(2,399)

(79,295)

Beginning Capital Allocation

290,542

173,754

955

174,709

465,251

Return on Invested Capital for the Quarter

(1)

(26.5)%

(1.2)%

(24.3)%

(1.4)%

(17.0)%

Average Capital Allocation

(2)

294,018

112,014

746

112,760

406,778

Return on Average Invested Capital for the Quarter

(3)

(26.2)%

(1.9)%

(31.1)%

(2.1)%

(19.5)%

(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 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

September 30, 2022,

we issued a total of 3,167,140 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. We did not

issue any shares under the October 2021 Equity Distribution Agreement during

the nine months ended September 30, 2022.

Stock Repurchase Program

On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 400,000

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 904,564 shares of the Company’s common stock. Coupled with the 156,751

shares remaining from the original 400,000

share authorization, the increased authorization brought the total authorization

to 1,061,316 shares, representing 10% of the

Company’s then outstanding share count. On December 9, 2021, the Board of Directors

approved an increase in the number of shares

of the Company’s common stock available in the stock repurchase program for up

to an additional 3,372,399 shares, bringing the

remaining authorization under the stock repurchase program to 3,539,861 shares, representing

approximately 10% of the Company’s

then outstanding shares of common stock. On October 12, 2022, the

Board of Directors approved an increase in the number of shares

of the Company’s common stock available in the stock repurchase program for up

to an additional 4,300,000 shares, bringing the

remaining authorization under the stock repurchase program to 6,183,601 shares, representing

approximately 18% of the Company’s

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

termination date.

ORC Announces Third Quarter 2022 Results

Page 11

October 27, 2022

From the inception of the stock repurchase program through September 30, 2022,

the Company repurchased a total of 1,487,362

shares at an aggregate cost of approximately $44.8 million, including commissions

and fees, for a weighted average price of $30.12

per share. During the nine months ended September 30, 2022, the Company repurchased

a total of 350,206 shares at an aggregate

cost of approximately $4.4 million, including commissions and fees, for a weighted

average price of $12.68 per share. Subsequent to

September 30, 2022, the Company repurchased a total of 1,644,044 shares at an

aggregate cost of approximately $14.2 million,

including commissions and fees, for a weighted average price of $8.64 per

share.

Earnings Conference Call Details

An earnings conference call and live audio webcast will be hosted Friday, October 28, 2022, at 10:00 AM ET. The conference call

may be accessed by dialing toll free (888) 510-2356. The conference passcode

is 8493186. The supplemental materials may be

downloaded from the investor relations section of the Company’s website at https://ir.orchidislandcapital.com. A live audio webcast

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 November 27, 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 RMBS, such as

mortgage pass-through certificates, and CMOs issued by the GSEs, and

(ii) structured Agency RMBS, such as IOs, IIOs and principal

only securities, 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,

inflation, 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 and the performance of the Agency RMBS

sector generally, the effect of actual or expected actions of the U.S. government, including the Federal Reserve, market

expectations,

future opportunities and prospects of the Company, 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 Third Quarter 2022 Results

Page 12

October 27, 2022

Summarized

Financial

Statements

The following

is a summarized

presentation

of the unaudited

balance sheets

as of September

30, 2022,

and December

31, 2021,

and

the unaudited

quarterly

statements

of operations

for the nine

and three

months ended

September

30, 2022

and 2021.

Amounts presented

are subject

to change.

ORCHID ISLAND CAPITAL, INC.

BALANCE SHEETS

($ in thousands, except per share data)

(Unaudited - Amounts Subject to Change)

September 30, 2022

December 31, 2021

ASSETS:

Mortgage-backed securities

3,201,214

6,511,095

U.S. Treasury Notes

36,118

37,175

Cash, cash equivalents and restricted cash

280,952

450,442

Accrued interest receivable

10,527

18,859

Derivative assets, at fair value

262,318

50,786

Receivable for securities sold

13,684

Other assets

1,027

320

Total Assets

3,805,840

7,068,677

LIABILITIES AND STOCKHOLDERS' EQUITY

Repurchase agreements

3,133,861

6,244,106

Dividends payable

5,636

11,530

Derivative liabilities, at fair value

53,013

7,589

Accrued interest payable

4,424

788

Due to affiliates

1,075

1,062

Other liabilities

207,454

35,505

Total Liabilities

3,405,463

6,300,580

Total Stockholders' Equity

400,377

768,097

Total Liabilities

and Stockholders' Equity

3,805,840

7,068,677

Common shares outstanding

35,066,251

35,398,610

Book value per share

11.42

21.70

ORC Announces Third Quarter 2022 Results

Page 13

October 27, 2022

ORCHID ISLAND CAPITAL, INC.

STATEMENTS

OF OPERATIONS

($ in thousands, except per share data)

(Unaudited - Amounts Subject to Change)

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

2022

2021

Interest income

112,735

90,279

35,610

34,169

Interest expense

(32,196)

(5,067)

(21,361)

(1,570)

Net interest income

80,539

85,212

14,249

32,599

Losses on RMBS and derivative contracts

(359,059)

(94,522)

(93,544)

(2,887)

Net portfolio (loss) income

(278,520)

(9,310)

(79,295)

29,712

Expenses

14,859

10,886

5,218

3,674

Net (loss) income

(293,379)

(20,196)

(84,513)

26,038

Basic net (loss) income per share

(8.31)

(0.95)

(2.40)

1.00

Diluted net (loss) income per share

(8.31)

(0.95)

(2.40)

1.00

Weighted Average Shares Outstanding

35,336,702

21,061,154

35,205,888

25,717,469

Dividends Declared Per Common Share:

1.995

2.925

0.545

0.975

Three Months Ended September 30,

Key Balance Sheet Metrics

2022

2021

Average RMBS

(1)

3,571,037

5,136,331

Average repurchase agreements

(1)

3,446,420

4,864,287

Average stockholders' equity

(1)

453,369

642,225

Leverage ratio

(2)

8.5:1

7.2:1

Key Performance Metrics

Average yield on RMBS

(3)

3.99%

2.66%

Average cost of funds

(3)

2.48%

0.13%

Average economic cost of funds

(4)

1.89%

0.23%

Average interest rate spread

(5)

1.51%

2.53%

Average economic interest rate spread

(6)

2.10%

2.43%

(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.