June 2024 Monthly Dividend of $0.12 Per Share of Common Stock
RMBS Portfolio Characteristics as of May 31, 2024
Next Dividend Announcement Expected July 10, 2024

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 June 2024. The dividend of $0.12 per share will be paid July 30, 2024 to holders of record of the Company's common stock on June 28, 2024, with an ex-dividend date of June 28, 2024. The Company plans on announcing its next common stock dividend on July 10, 2024.

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 a 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 11, 2024, the Company had 62,821,552 shares of common stock outstanding. As of May 31, 2024, the Company had 62,269,788 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding.

The Company also announced that it and Bimini Advisors, LLC ("Bimini") entered into an equity distribution agreement (the "Equity Distribution Agreement") with J.P. Morgan Securities LLC, Citizens JMP Securities, LLC and JonesTrading Institutional Services LLC (collectively, the "Sales Agents") on June 11, 2024, pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of common stock (the "Shares").

Pursuant to the Equity Distribution Agreement, the Shares may be offered and sold through the Sales Agents in transactions that are deemed to be "at the market" offerings as defined in Rule 415 under the Securities Act of 1933, as amended, including sales made directly on the New York Stock Exchange or sales made to or through a market maker other than on an exchange or in negotiated transactions (which may include block trades). Under the Equity Distribution Agreement, the Sales Agents will be entitled to compensation of up to 2.0% of the gross proceeds from the sale of the Shares sold through the Sales Agents. The Company has no obligation to sell any of the Shares under the Equity Distribution Agreement and may at any time suspend solicitations and offers under the Equity Distribution Agreement.

The Company has used "at the market" offering programs in the past as a low-cost and effective method to raise equity capital to be strategically deployed into Agency RMBS in conjunction with the Company's core investment strategy. The Company generally prefers such programs over more costly follow-on offerings absent extenuating circumstances and market conditions.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of May 31, 2024 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 as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or 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, the offer and sale of shares of common stock under the Equity Distribution Agreement or follow-on offerings. 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, 2023.

RMBS Valuation Characteristics
($ in thousands)
																							Realized
																				Realized			Mar-24 -
																				May-24			May-24
										Net								Weighted		CPR			CPR
										Weighted								Average		(1-Month)			(3-Month)			Modeled Interest
	Current		Fair		% of			Current		Average								Maturity		(Reported			(Reported			Rate Sensitivity (1)
Type	Face		Value		Portfolio			Price		Coupon			GWAC			Age		(Months)		in June)			in June)			(-50 BPS)			(+50 BPS)
Fixed Rate RMBS
30yr 3.0	$	1,353,113	$	1,153,213		26.12	%		85.23		3.00	%		3.46	%		38		316		5.5	%		5.3	%	$	36,254		$	(36,597	)
30yr 3.5		187,768		167,711		3.80	%		89.32		3.50	%		4.04	%		51		297		9.3	%		7.0	%		4,748			(4,794	)
30yr 4.0		548,681		499,290		11.31	%		91.00		4.00	%		4.78	%		28		329		4.9	%		6.3	%		13,391			(14,162	)
30yr 4.5		325,706		305,911		6.93	%		93.92		4.50	%		5.45	%		23		334		10.2	%		9.9	%		6,692			(7,305	)
30yr 5.0		537,372		517,844		11.73	%		96.37		5.00	%		5.93	%		21		335		7.3	%		5.9	%		10,775			(11,967	)
30yr 5.5		267,218		264,504		5.99	%		98.98		5.50	%		6.43	%		14		344		13.3	%		6.0	%		4,840			(5,550	)
30yr 6.0		622,308		625,714		14.17	%		100.55		6.00	%		6.98	%		10		345		8.5	%		9.5	%		8,586			(10,361	)
30yr 6.5		514,683		524,928		11.89	%		101.99		6.50	%		7.41	%		8		349		8.1	%		9.8	%		5,505			(6,907	)
30yr 7.0		328,309		339,004		7.68	%		103.26		7.00	%		7.95	%		7		349		23.5	%		19.3	%		2,513			(3,391	)
30yr Total		4,685,158		4,398,119		99.63	%		93.87		4.68	%		5.45	%		24		332		7.9	%		7.1	%		93,304			(101,034	)
Total Pass Through RMBS		4,685,158		4,398,119		99.63	%		93.87		4.68	%		5.45	%		24		332		7.9	%		7.1	%		93,304			(101,034	)
Structured RMBS
IO 20yr 4.0		8,044		759		0.02	%		9.43		4.00	%		4.57	%		149		85		10.9	%		8.9	%		4			(4	)
IO 30yr 3.0		2,731		323		0.01	%		11.82		3.00	%		3.64	%		112		238		0.8	%		7.4	%		1			(1	)
IO 30yr 4.0		77,188		14,159		0.32	%		18.34		4.00	%		4.60	%		117		234		8.1	%		6.6	%		(146	)		107
IO 30yr 4.5		3,327		612		0.01	%		18.40		4.50	%		4.99	%		167		179		5.5	%		6.1	%		(1	)		(1	)
IO 30yr 5.0		1,835		364		0.01	%		19.82		5.00	%		5.36	%		167		181		0.9	%		1.0	%		(3	)		1
IO Total		93,125		16,217		0.37	%		17.41		4.01	%		4.60	%		122		218		7.9	%		6.7	%		(144	)		102
IIO 30yr 4.0		25,268		188		0.00	%		0.75		0.00	%		4.40	%		80		268		0.7	%		1.2	%		72			(57	)
Total Structured RMBS		118,393		16,405		0.37	%		13.86		3.15	%		4.55	%		113		229		6.4	%		5.5	%		(72	)		45

Total Mortgage Assets	$	4,803,551	$	4,414,524		100.00	%				4.64	%		5.42	%		26		329		7.8	%		7.0	%	$	93,232		$	(100,989	)

	Average			Hedge	Modeled Interest
	Notional			Period	Rate Sensitivity (1)
Hedge	Balance			End	(-50 BPS)			(+50 BPS)
3-Month SOFR Futures	$	(100,000	)	Mar-26	$	(750	)	$	750
5-Year Treasury Future⁽²⁾		(421,500	)	Sep-24		(8,480	)		8,282
10-Year Treasury Future(3)		(62,500	)	Sep-24		(1,945	)		1,906
Swaps		(2,936,800	)	Jun-30		(75,255	)		72,523
TBA		(500,000	)	Jun-24		(13,860	)		14,216
Swaptions		(9,400	)	Sep-24		508			86
Hedge Total	$	(4,030,200	)		$	(99,782	)	$	97,763
Rate Shock Grand Total					$	(6,550	)	$	(3,226	)

(1)	Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR 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 $105.80 at May 31, 2024. The market value of the short position was $446.0 million.
(3)	Ten-year Treasury futures contracts were valued at prices of $108.80 at May 31, 2024. The market value of the short position was $68.0 million.

RMBS Assets by Agency
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of May 31, 2024
Fannie Mae	$	2,792,509		63.3	%
Freddie Mac		1,622,015		36.7	%
Total Mortgage Assets	$	4,414,524		100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of May 31, 2024
Non-Whole Pool Assets	$	133,198		3.0	%
Whole Pool Assets		4,281,326		97.0	%
Total Mortgage Assets	$	4,414,524		100.0	%

Borrowings By Counterparty
($ in thousands)
						Weighted			Weighted
			% of			Average			Average
	Total		Total			Repo			Maturity		Longest
As of May 31, 2024	Borrowings		Debt			Rate			in Days		Maturity
RBC Capital Markets, LLC	$	269,405		6.8	%		5.46	%		13	6/13/2024
J.P. Morgan Securities LLC		246,914		6.2	%		5.46	%		6	6/24/2024
Banco Santander SA		244,038		6.1	%		5.46	%		30	7/22/2024
Cantor Fitzgerald & Co		240,022		6.0	%		5.45	%		45	7/15/2024
DV Securities, LLC Repo		226,883		5.7	%		5.45	%		43	7/15/2024
Marex Capital Markets Inc.		219,708		5.5	%		5.45	%		15	6/17/2024
ABN AMRO Bank N.V.		218,149		5.5	%		5.46	%		30	8/29/2024
ASL Capital Markets Inc.		213,654		5.4	%		5.44	%		47	7/29/2024
Bank of Montreal		206,351		5.2	%		5.45	%		13	6/13/2024
Mitsubishi UFJ Securities (USA), Inc		206,193		5.2	%		5.47	%		61	8/29/2024
Wells Fargo Bank, N.A.		200,100		5.0	%		5.46	%		45	7/15/2024
Citigroup Global Markets Inc		197,910		5.0	%		5.45	%		24	6/24/2024
Mirae Asset Securities (USA) Inc.		189,441		4.8	%		5.46	%		20	6/24/2024
Merrill Lynch, Pierce, Fenner & Smith		185,916		4.7	%		5.48	%		14	6/27/2024
Daiwa Securities America Inc.		165,971		4.2	%		5.45	%		24	6/24/2024
StoneX Financial Inc.		159,516		4.0	%		5.46	%		46	7/16/2024
Goldman, Sachs & Co		150,734		3.8	%		5.44	%		20	6/20/2024
South Street Securities, LLC		150,292		3.8	%		5.45	%		48	8/13/2024
Clear Street LLC		149,939		3.8	%		5.45	%		37	7/15/2024
ING Financial Markets LLC		124,310		3.1	%		5.46	%		13	6/13/2024
Lucid Cash Fund USG LLC		16,896		0.4	%		5.46	%		13	6/13/2024
Total Borrowings	$	3,982,342		100.0	%		5.46	%		29	8/29/2024

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Orchid Island Capital Announces June 2024 Monthly Dividend and May 31, 2024 RMBS Portfolio Characteristics