8  Q2 2017 Supplemental Materials July 31, 2017 

 Disclaimers  Forward-Looking InformationThis presentation contains forward-looking statements and information. Statements that are not historical facts, including statements about our beliefs and expectations, are forward-looking statements. Forward-looking statements include statements preceded by, followed by or that include the words “may,” “could,” “would,” “should,” “believe,” “expect,” “anticipate,” “plan,” “estimate,” “target,” “project,” “intend” and similar expressions. These statements include, among others, statements regarding our expected performance, anticipated returns on our investment, financing, and hedging strategies and means to implement those strategies.The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. Some of these factors are described under the caption ‘‘Risk Factors’’ in this Quarterly Report on Form 10-Q. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward looking statements, whether as a result of new information, future events or otherwise.  2 

 GAAP to Non-GAAP Reconciliation  In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including “Net Income Excluding Realized and Unrealized Gains and Losses.”Net Income Excluding Realized and Unrealized Gains and LossesWe have elected the fair value option for all of our MBS assets and have not elected to designate our derivative holdings for hedge accounting treatment under the Financial Accounting Standards Board (the “FASB”), Accounting Standards Codification (“ASC”), Topic 815, Derivatives and Hedging. Changes in fair value of these instruments are presented in a separate line item in our consolidated statements of operations. Therefore, we mark all of our MBS assets and hedge instruments to market every reporting period. With the volatility that occurs in markets every quarter, the market value of these assets and hedge instruments varies as well. These fluctuations in value are reported in our statement of operations every period. We have presented the results of our operations in the tables below with and without these realized and unrealized gains and losses included in the calculation of net income/(loss). We believe that net income excluding realized and unrealized gains and losses provides meaningful information to consider, in addition to the respective amounts prepared in accordance with GAAP. This non-GAAP measure helps management to evaluate its financial position and performance without the effects of these realized and unrealized gains and losses that are not necessarily indicative of our financial performance. The unrealized gains or losses on derivative instruments and MBS assets presented in our consolidated statements of operations are not necessarily representative of the ultimate gain or loss, if any, that we may realize in the future. This is because as interest rates move up or down in the future, the gains or losses we ultimately realize, and which will affect our net income for the then current period, may differ from the unrealized gains or losses recognized as of the reporting date. With respect to realized gains and losses, the application of the fair value method of accounting may cause users of our financial statements to conclude that the realized gains or losses in a given period are indicative of the gains and losses incurred from the date we purchased the assets or hedge instruments. This is not the case, as the fair value method of accounting requires us to report gains and losses based on the movement in the market value of the instrument in question since the beginning of the period only.Our presentation of net income excluding realized and unrealized gains and losses has important limitations. First, other market participants may use the available for sale method of accounting for their MBS assets. Under the available for sale method of accounting, fluctuation in the value of MBS assets are reflected in other comprehensive income, a component of the shareholders equity section of the balance sheet. Second, while we believe that the calculation of net income excluding realized and unrealized gains and losses described above helps to present our financial position and performance, it may be of limited usefulness as an analytical tool. Therefore, net income excluding realized and unrealized gains and losses should not be viewed in isolation and is not a substitute for net income computed in accordance with GAAP.The table below on page 14 and the appendix associated with the earnings per share chart on page 15 present a reconciliation of the adjustments to net income calculated in accordance with GAAP, as well as the associated per share amounts, for the second quarter of 2017 and all previous quarters.  3 

 Table of Contents   Topic Point  Financial Highlights for the QuarterMarket DevelopmentsFinancial ResultsMBS Portfolio Characteristics, Credit Counterparties, and Hedge PositionAppendix    5 6 – 1213 – 1819 – 2829 – 30   4  Slide(s) 

 Financial Highlights for the Quarter Ended June 30, 2017  Earnings per share of $(0.26)Incurred $0.88 loss per share from net realized and unrealized gain/(losses) on MBS and derivative instrumentsEarnings per share of $0.62 excluding realized and unrealized gains/(losses) on MBS and derivative instruments (See page 14 for a reconciliation of this non-GAAP measure to earnings per share)Book value per share of $9.23 at June 30, 2017A decrease of $0.52 (or -5.3%) from $9.75 at March 31, 2017Dividend of $0.42 declared during the quarterEconomic return of $(0.10) per share, or (1.0)% unannualized / (4.1)% annualized  5 

 Market Developments  6 

 10-Year U.S. Treasury Note & U.S. Dollar Swap: Q2 2017  7  10-Year U.S. Treasury Note: Q2 2017  10-Year U.S. Dollar Swap: Q2 2017  Source: Bloomberg Data 

 U.S. Treasury Curve: Q2 2017 Performance  Yield (%)  Change (bps)  8  Source: Bloomberg Data 

 U.S. Dollar Swap Curve: Q2 2017 Performance    3Mo 1Yr 2Yr 3Yr 5Yr 7Yr 10Yr 30Yr    3Mo 1Yr 2Yr 3Yr 5Yr 7Yr 10Yr 30Yr   9  Source: Bloomberg Data  Tenor 

 FNCL 4.0 & FNCL 4.5: Q2 2017   10  Source: Bloomberg Data 

 Wells Fargo Production ‘85k Max’ Specified Pool Payup over TBA  11  Source: Wells Fargo Securities   FNCL ‘85k Max’ 4.0 FNCL ‘85k Max’ 4.5 

 Wells Fargo ‘New Production’ Specified Pool Payup over TBA  12  Source: Wells Fargo Securities   FNCL ‘New Prod’ 4.0 FNCL ‘New Prod’ 4.5 

 Financial Results  13 

 Financial Results for the Three Months Ended June 30, 2017  14  ($ in thousands, except per share data)    Net Income Excluding Realized and Unrealized Gains and (Losses)    Realized and Unrealized Gains/(Losses)    Total  Interest income  $   34,579   $   -   $   34,579   Interest expense     (8,763)     -      (8,763)  Net interest income     25,816      -      25,816   Realized gains on mortgage-backed securities     -      3,935      3,935   Unrealized losses on mortgage-backed securities     -      (17,090)     (17,090)  Losses on interest rate futures and TBA contracts     -     (15,264)     (15,264)  Losses on interest rate swaps     -     (4,178)     (4,178)   Net portfolio income (loss)  $   25,816   $   (32,597)  $   (6,781)  Expenses:              Management fees     1,400      -      1,400   Allocated overhead     388      -      388   Accrued incentive compensation     218      -      218   Directors' fees and liability insurance     232      -      232   Audit, legal and other professional fees     219      -      219   Direct REIT operating expenses     265      -      265   Other administrative     140      -      140   Total expenses     2,862      -      2,862   Net income (loss)  $   22,954   $   (32,597)  $   (9,643)  Basic and diluted net income (loss) per share  $  0.62   $  (0.88)  $  (0.26)  Weighted average shares outstanding - Basic and diluted     37,211,362      37,211,362      37,211,362   Dividends declared per common share             $0.42   Source: Company Financials 

 Earnings Per Share (EPS) as Reported and with Gains/(Losses) Removed(1)  15  Source: Company Financials  See appendix for supporting data.  

 MBS Portfolio Roll Forward March 31, 2017 to June 30, 2017  (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 - March 31, 2017    $  3,107,660   $  107,214   $  47,143   $  154,357   $  3,262,017   Securities purchased       2,223,226      4,926      -     4,926      2,228,152   Securities sold       (1,657,306)     -     -     -     (1,657,306)  Gains on sales       3,935      -     -     -     3,935   Return of investment       n/a     (6,565)     (1,850)     (8,415)     (8,415)  Pay-downs       (73,466)     n/a     n/a     n/a     (73,466)  Premium lost due to pay-downs       (5,499)     n/a     n/a     n/a     (5,499)  Mark to market losses       (8,126)     (3,023)     (442)     (3,465)     (11,591)  Market value - June 30, 2017    $  3,590,424   $  102,552   $  44,851   $  147,403   $  3,737,827   16  Source: Company Financials 

 MBS Portfolio Capital Allocation at March 31, 2017 and June 30, 2017  ($ in thousands)                        Capital Allocation                                   Structured Security Portfolio                       Pass-Through    Interest-Only    Inverse Interest                    Portfolio    Securities    Only Securities    Sub-total    Total    As of June 30, 2017                                  Market value    $  3,590,424   $  102,552   $  44,851   $  147,403   $  3,737,827   Cash(1)       (54,028)     -     -     -     (54,028)  Borrowings(2)       (3,278,456)     -     -     -     (3,278,456)     Total  $  257,940   $  102,552   $  44,851   $  147,403   $  405,343      % of Total     63.60%     25.30%     11.10%     36.40%     100.00%  As of March 31, 2017                                  Market value    $  3,107,660   $  107,214   $  47,143   $  154,357   $  3,262,017   Cash       112,723      -     -     -     112,723   Borrowings(3)       (3,050,608)     -     -     -     (3,050,608)     Total  $  169,775   $  107,214   $  47,143   $  154,357   $  324,132      % of Total     52.40%     33.10%     14.50%     47.60%     100.00%  At June 30, 2017, cash was reduced by unsettled security purchases of $273.7 million which have already been included in the value of the portfolio.At June 30, 2017, there were outstanding repurchase agreement balances of $74.4 million and $34.6 million secured by IO and IIO securities, respectively. We entered into these arrangements to generate additional cash available to meet margin calls on Pass-Through MBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.At March 31, 2017, there were outstanding repurchase agreement balances of $63.8 million and $33.6 million secured by IO and IIO securities, respectively. We entered into these arrangements to generate additional cash available to meet margin calls on Pass-Through MBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.  17  Source: Company Financials 

 MBS Portfolio Returns by Sector for the Quarter Ended June 30, 2017  ($ in thousands)                        Returns for the Quarter Ended June 30, 2017                                   Structured Security Portfolio                       Pass-Through    Interest-Only    Inverse Interest                    Portfolio    Securities    Only Securities    Sub-total    Total    Net interest income    $  23,716   $  843   $  1,257   $  2,100   $  25,816   Realized and unrealized losses       (9,690)     (3,023)     (442)     (3,465)     (13,155)  Derivative losses       (19,442)     n/a     n/a     n/a     (19,442)     Net portfolio income (loss)  $  (5,416)  $  (2,180)  $  815   $  (1,365)  $  (6,781)  Beginning Capital Allocation    $  169,775   $  107,214   $  47,143   $  154,357   $  324,132   Return on Invested Capital for the Quarter(1)       (3.20)%     (2.00)%     1.70%     (0.90)%     (2.10)%  Average Capital Allocation(2)    $  213,858   $  104,883   $  45,997   $  150,880   $  364,738   Return on Average Invested Capital for the Quarter(3)       (2.50)%     (2.10)%     1.80%     (0.90)%     (1.90)%  Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage.Calculated using two data points, the Beginning and Ending Capital Allocation balances.Calculated by dividing the Total Return by the Average Capital Allocation, expressed as a percentage.  18  Source: Company Financials 

 Portfolio Characteristics, Credit Counterparties & Hedge Position  19 

 Orchid Island Capital Portfolio Market Value Composition  20  Source: Company Press Releases 

 Orchid Island Capital Market Value of Structured Securities (IO & IIO)  21  Source: Company Press Releases 

 Orchid Island Capital Fixed Rate MBS Holdings  22  Source: Company Press Releases 

 Orchid Island Capital Portfolio Capital Allocation  23  Source: Company Press Releases 

 Orchid Island Capital Leverage Ratio History  24  Total liabilities minus unsettled purchases divided by stockholders equity.  Source: Company Press Releases 

 Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2017  MBS Valuation Characteristics                  (in thousands of $s)                  Asset Category    Current Face    FairValue  Current Price  Percentage of Portfolio  Weighted Average Coupon  Realized Jun 2017 CPR (Reported in Jul)  As of June 30, 2017                  Adjustable Rate MBS  $  1,814   $  1,929   106.34   0.05%  3.52%  0.1%  10-1 Hybrid Rate MBS    41,839     42,881   102.49   1.15%  2.55%  0.8%  Total Hybrid Adjustable Rate MBS    41,839     42,881   102.49   1.15%  2.55%  0.8%  15 Year Fixed Rate MBS    42,907     45,049   104.99   1.21%  3.50%  11.8%  20 Year Fixed Rate MBS    212,874     226,258   106.29   6.05%  4.00%  4.2%  30 Year Fixed Rate MBS    3,034,026     3,274,307   107.92   87.60%  4.46%  6.6%  Total Fixed Rate MBS    3,289,807     3,545,614   107.78   94.86%  4.42%  6.5%  Total Mortgage-backed Pass-through MBS    3,333,460     3,590,425   107.71   96.06%  4.39%  6.4%  Interest-Only Securities    798,981     102,552   12.84   2.74%  3.74%  15.5%  Inverse Interest-Only Securities    232,723     44,851   19.27   1.20%  5.02%  14.1%  Structured MBS    1,031,704     147,402   14.29   3.94%  4.13%  15.2%  Total Mortgage Assets  $  4,365,165   $  3,737,827     100.00%  4.38%  8.6%  MBS Assets by Agency          Investment Company Act of 1940 (Whole Pool) Test        (in thousands of $s)          (in thousands of $s)        As of June 30, 2017    FairValue  Percentage of Portfolio    As of June 30, 2017    FairValue  Percentage of Portfolio  Fannie Mae  $   2,621,464   70.1%    Whole Pool Assets  $   3,187,442   85.3%  Freddie Mac     1,107,792   29.6%    Non Whole Pool Assets     550,385   14.7%  Ginnie Mae     8,571   0.2%            Total Portfolio  $   3,737,827   100%    Total Portfolio  $   3,737,827   100%  25  Source: Company Financials 

 Orchid Island Capital Credit Counterparties  ($ in thousands)                             As of June 30, 2017                     Counterparty     Total Outstanding Balances      % of Total     Weighted Average Borrowing Rate     Amount at Risk(1)  Weighted Average Maturity in Days  J.P. Morgan Securities LLC  $  610,851     18.50%     1.32%  $  35,463  12  Wells Fargo Bank, N.A.     313,206     9.60%     1.28%     15,235  11  Citigroup Global Markets, Inc.     269,560     8.20%     1.30%     22,151  17  ICBC Financial Services, LLC     241,736     7.40%     1.30%     12,226  12  Cantor Fitzgerald & Co.     229,485     7.00%     1.34%     12,037  31  RBC Capital Markets, LLC     227,896     7.00%     1.32%     12,018  13  Mitsubishi UFJ Securities (USA), Inc.     192,516     5.90%     1.08%     9,790  17  South Street Securities, LLC     173,925     5.30%     1.27%     8,524  11  Merrill Lynch, Pierce, Fenner & Smith Inc     159,470     4.90%     1.36%     5,176  17  ED&F Man Capital Markets Inc.     155,908     4.80%     1.29%     7,837  51  Natixis, New York Branch     142,158     4.30%     1.45%     22,085  18  Mirae Asset Securities (USA) Inc.     127,280     3.90%     1.28%     6,550  43  Daiwa Capital Markets America, Inc.     92,750     2.80%     1.32%     4,331  12  FHLB-Cincinnati     80,180     2.40%     1.17%     2,773  3  KGS-Alpha Capital Markets, L.P.     68,296     2.10%     1.30%     3,527  11  Nomura Securities International, Inc.     63,992     2.00%     1.16%     3,056  40  Goldman Sachs & Co.     53,858     1.60%     1.37%     3,951  14  Guggenheim Securities, LLC     53,020     1.60%     1.34%     2,608  40  Mizuho Securities USA, Inc.     22,369     0.70%     1.35%     1,243  26  Total / Weighted Average  $  3,278,456     100.00%     1.30%  $  190,581  18  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).  26  Source: Company Financials 

 Orchid Island Capital Hedge Positions as of June 30, 2017  Treasury Note Futures Contracts (Short Position)(2)                               June 2017 10 year T-Note futures                                  (Jun 2017 - Jun 2027 Hedge Period)  $  465,000     2.06%     2.12%     $  1,582   Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.T-Note futures contracts were valued at a price of $125.53 at June 30, 2017 and $124.28 at December 31, 2016. The notional contract values of the short positions were $583.7 million and $577.9 million at June 30, 2017 and December 31, 2016, respectively.  ($ in thousands)                            As of 6/30/2017                Expiration Year      Average Contract National Amount    Weighted Average Entry Rate    Weighted Average Effective Rate      Open Equity(1)  Eurodollar Futures Contracts (Short Positions)                      2017                        September  $  1,000,000    1.50%    1.36%    $  (371)    December    1,000,000    1.62%    1.47%      (353)  2018                        March  $  1,000,000    1.71%    1.56%    $  (369)    June    1,000,000    1.81%    1.64%      (432)    September    1,000,000    1.90%    1.71%      (475)    December    1,000,000    1.96%    1.80%      (390)  2019                        March  $  1,000,000    2.02%    1.86%    $  (416)    June    1,000,000    2.02%    1.92%      (316)    September    1,000,000    2.11%    1.97%      (358)    December    1,000,000    2.19%    2.05%      (373)  2020                        March  $  1,000,000    2.54%    2.09%    $  (1,116)    June    1,000,000    2.59%    2.14%      (1,142)    September    1,000,000    2.65%    2.19%      (1,152)    December    700,000    2.74%    2.25%      (858)  Total / Weighted Average    $  978,571    2.08%    1.85%    $  (8,120)  27  Source: Company Financials 

 Orchid Island Capital Hedge Positions as of June 30, 2017 - continued  TBA Positions ($ in thousands)                                    Notional Amount Long (Short)(1)     Cost Basis(2)     Market Value(3)     Net Carrying Value(4)  As of June 30, 2017                           30-Year TBA securities:                               3.00%  $  (250,000)  $  (251,063)  $  (249,628)  $  1,435      4.50%     (150,000)     (161,531)     (160,876)     655        $  (400,000)  $  (412,594)  $  (410,504)  $  2,090   As of March 31, 2017                            30-Year TBA securities:                               3.00%  $  (150,000)  $  (147,406)  $  (148,267)  $  (861)     4.50%     (297,000)     (317,199)     (318,574)     (1,375)       $  (447,000)  $  (464,605)  $  (466,841)  $  (2,236)  Swap Agreements ($ in thousands)                                   Notional Amount  Average Fixed Pay Rate    Average Receive Rate    Net Estimated Fair Value    Average Maturity (Years)  As of June 30, 2017                             Expiration > 1 to ≤ 3 years  $  650,000   1.09%     1.18%  $  8,485      2.6  Expiration > 3 to ≤ 5 years     300,000   2.08%     1.24%     (2,674)     4.7     $  950,000   1.40%     1.20%  $  5,811      3.2  As of March 31, 2017                             Expiration > 1 to ≤ 3 years  $  600,000   1.05%    1.04%  $  12,430     2.9  Expiration > 3 to ≤ 5 years    200,000   2.14%    1.15%    (1,397)    4.9    $  800,000   1.32%    1.07%  $  11,033     3.4  Notional amount represents the par value (or principal balance) of the underlying Agency MBS.Cost basis represents the forward price to be paid (received) for the underlying Agency MBS.Market value represents the current market value of the TBA securities (or of the underlying Agency MBS) as of period-end.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 consolidated balance sheets.  28  Source: Company Financials 

 Appendix  29 

 Orchid Island Capital Earnings per Share Support Data  30  Source: Company Financials