Q3 2023 Earnings Supplemental Materials

October 27, 2023

1

Disclaimers

Forward-Looking Information

This 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 investments, the mortgage backed securities markets, financing and hedging strategies, and means to implement those strategies, and actual or anticipated actions of the Federal Reserve (the "Fed"), and the impact of those actual or anticipated actions on the Company.

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 our Annual Report on Form 10-K. 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

Table of Contents

Topic Point

  • Financial Results
  • Market Developments
  • Portfolio Characteristics, Credit & Hedge Positions
  • Appendix

Slide(s)

4 - 8

9 - 13

14 - 23

24 - 33

3

Financial Results

4

Financial Highlights for the Quarter Ended September 30, 2023

Net Income (Loss)1

Q3 23

Q2 23

$(1.68)

$0.25

Total Return 2

Q3 23

Q2 23

(15.77)%

0.78%

1.

Data is on a per share basis

2.

Equal to (a) the sum of dividends declared and paid during the quarter and changes in book

value during the quarter, divided by (b) book value at the beginning of the quarter

Source: Company Press Releases

5

Book Value 1

Q3 23

Q2 23

$8.92

$11.16

Dividend Declared 1

Q3 23

Q2 23

$0.48

$0.48

Portfolio Highlights for the Quarter Ended September 30, 2023

Average MBS Balances

(in millions)

Q3 23

Q2 23

$4,447

$4,187

Speeds

(3mo. Portfolio CPR)

Q3 23

Q2 23

6.0

5.6

Economic Leverage Ratio 1

Q3 23

Q2 23

8.5

8.1

Liquidity 2

Q3 23

Q2 23

35.1%

41.6%

  1. The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity
  2. Liquidity is calculated as the percentage of unrestricted cash and cash equivalents and unpledged RMBS to stockholders' equity

Source: Company Press Releases

6

Orchid Island Capital Financial Results for the Three Months Ended September 30, 2023

Income Statement

Balance Sheet

($ in thousands, except for per share data)

($ in thousands, except for per share data)

Three Months Ended September 30,

2023

2022

Interest income

$

50,107

$

35,610

Interest expense

(58,705)

(21,361)

Net interest (expense) income

(8,598)

14,249

Losses on RMBS and derivative contracts

(66,890)

(94,433)

Net portfolio loss

(75,488)

(80,184)

Expenses

4,644

4,329

Net loss

$

(80,132)

$

(84,513)

Basic and diluted net loss per share

$

(1.68)

$

(2.40)

Weighted Average Shares Outstanding

47,773,409

35,205,888

Dividends Declared Per Common Share:

$

0.48

$

0.545

30-Sep-23

31-Dec-22

ASSETS:

Mortgage-backed securities

$

4,520,225

$

3,540,002

U.S. Treasury securities

98,326

36,382

Cash, cash equivalents and restricted cash

278,217

237,219

Accrued interest receivable

17,316

11,519

Derivative assets, at fair value

20,605

40,172

Other assets

2,204

442

Total Assets

$

4,936,893

$

3,865,736

LIABILITIES AND STOCKHOLDERS'

EQUITY

Repurchase agreements

$

4,426,947

$

3,378,445

Dividends payable

8,398

5,908

Derivative liabilities, at fair value

2,731

7,161

Accrued interest payable

15,836

9,209

Due to affiliates

1,252

1,131

Other liabilities

14,888

25,119

Total Liabilities

4,470,052

3,426,973

Total Stockholders' Equity

466,841

438,763

Total Liabilities and Stockholders' Equity

$

4,936,893

$

3,865,736

Common shares outstanding

52,332,306

36,764,983

Book value per share

$

8.92

$

11.93

Source: Company Financials

7

Orchid Island Capital Financial Results for the Three Months Ended September 30, 2023

Adjusted Economic Income in Dollars ($ in thousands)

Q3 2023

Q2 2023

Q1 2023

Q4 2022

Interest income

$

50,107

$

39,911

$

38,012

$

31,897

Plus/(minus) discount accretion/premium amortization due to paydowns

7,252

4,886

4,774

6,748

Less interest expense on repurchase agreement funding

58,705

48,671

42,217

29,512

Gains/(losses) on hedging derivative instruments attributable to current period1

24,440

23,482

19,211

9,414

Less Expenses

4,644

4,818

5,003

5,849

Adjusted economic income

18,450

14,790

14,777

12,698

Dividends declared

$

23,823

$

19,671

$

18,807

$

17,246

Adjusted Economic Income per Share*

Q3 2023

Q2 2023

Q1 2023

Q4 2022

Interest income

$

1.05

$

0.99

$

0.99

$

0.87

Plus/(minus) discount accretion/premium amortization due to paydowns

0.15

0.12

0.12

0.18

Less interest expense on repurchase agreement funding

1.23

1.21

1.10

0.80

Gains/(losses) on hedging derivative instruments attributable to current period1

0.51

0.58

0.50

0.26

Less Expenses

0.10

0.12

0.13

0.16

Adjusted economic income

0.38

0.36

0.38

0.35

Dividends declared

$

0.48

$

0.48

$

0.48

$

0.48

*Weighted average shares for the period ending 09/30/2023 was 47,773,409

1. See slide 30 for a reconciliation of this non-GAAP financial measure

Source: Company Financials

8

Market Developments

9

U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve

US Treasury Curve

SOFR Swap Curve

5.0%

5.0%

2Yr

5Yr

7Yr

10Yr

30Yr

4.0%

5Yr

(%)

4.0%

(%)

2Yr

1Yr

3Yr

Yield

06/30/23

Yield

3Yr

6Mo

1Yr

3.0%

09/30/23

3.0%

6Mo

3Mo

10/20/23

3Mo

1Mo

1Mo

2.0%

2.0%

3.0%

3-Month Treasury Bill vs 10-Year Treasury Note Yield Spread

2.0%

(%)

1.0%

High: 2.972% 09/05/13

Yield

0.0%

-1.0%

-2.0%

Aug-13

Aug-14

Aug-15

Aug-16

Aug-17

Aug-18

Aug-19

Feb-13

Feb-14

Feb-15

Feb-16

Feb-17

Feb-18

Feb-19

Feb-20

Source: Bloomberg Data

10

7Yr 10Yr

30Yr

06/30/23

09/30/23 10/20/23

10/20/23: -0.54%

Low: -1.868% 05/03/23

Aug-20

Feb-21

Aug-21

Feb-22

Aug-22

Feb-23

Aug-23

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Disclaimer

Orchid Island Capital Inc. published this content on 26 October 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 26 October 2023 20:22:06 UTC.