Orchid Island Capital, Inc. · NYSE:ORC

Orchid Island Capital — Q4 2021 Earnings Presentation

34 slides from Orchid Island Capital's earnings presentation, Feb 25, 2022

  1. Slide 1: Q4 2021 Earnings Supplemental Materials

    8 Q4 2021 Earnings Supplemental Materials February 25, 2022 1

  2. Slide 2: Disclaimers

    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,

  3. Slide 3: Table of Contents

    Table of Contents Topic Point Slide(s)  Financial Highlights for the Quarter Ended December 31, 2021 4–6  Market Developments 7 – 15  Financial Results 16 – 22  Portfolio Characteristics, Credit Counterparties & Hedge 23 – 29 Positions  Appendix 30 – 34 3

  4. Slide 4: Financial Highlights for the Quarter Ended December 31, 2021

    Financial Highlights for the Quarter Ended December 31, 2021 • Net loss per share of $0.27 • Net earnings per share of $0.22, excluding realized and unrealized gains/(losses) on RMBS and derivative instruments, including net interest expense on interest rate swaps (See page 31 for reconciliation of

  5. Slide 5: Peer Stock Price Performance as of December 31, 2021

    Peer Stock Price Performance as of December 31, 2021 ORC Total Peer ORC Spread Over / (Under) Time Period Rate of Return(1) Average(1)(2) Peer Average(3) One Year Total Return 0.1% (0.2)% 0.3% Two Year Total Return 5.4% (10.7)% 16.1% Three Year Total Return 12.6% (4.7)% 17.3% Four Year Total Return

  6. Slide 6: Q3 2021 Peer Book Value Performance

    Q3 2021 Peer Book Value Performance ORC Total Peer ORC Spread Over / (Under) Peer Time Period Rate of Return(1) Average(1)(2) Average(3) One Year Total Return 2.3% 1.9% 0.4% Two Year Total Return 4.3% (10.2)% 14.5% Three Year Total Return (1.0)% (12.0)% 11.0% Four Year Total Return (4.9)% (13.3)% 8.

  7. Slide 7: Market Developments

    Market Developments 7 S-ORCHIDISLAND

  8. Slide 8: U.S. Treasury Curve & U.S. Dollar Swap Curve

    U.S. Treasury Curve & U.S. Dollar Swap Curve U.S. Treasury Curve U.S. Dollar Swap Curve 2.5% 2.5% 2.0% 2.0% 30Yr 30Yr 1.5% 1.5% Yield (%) Yield (%) 7Yr 7Yr 10Yr 10Yr 1.0% 1.0% 5Yr 5Yr 09/30/21 09/30/21 3Yr 12/31/21 3Yr 12/31/21 0.5% 0.5% 2Yr 2Yr 1Yr 1Yr 0.0% 0.0% 6Mo 6Mo 1Mo 3Mo 1Mo 3Mo Change (09/3

  9. Slide 9: 10-Year U.S. Treasury Note & 10-Year U.S. Dollar Swap

    10-Year U.S. Treasury Note & 10-Year U.S. Dollar Swap Q4 2021 2 Year Look Back 10-Year U.S. Treasury Note 10-Year U.S. Treasury Note 1.90% 2.00% 1.80% 1.80% 1.60% 1.40% 1.70% 1.20% -41 bps 1.60% 1.00% +20 bps 0.80% 1.50% 0.60% 0.40% 1.40% 0.20% 1.30% 0.00% Sep-21 Oct-21 Nov-21 Dec-21 Dec-19 Mar-20 J

  10. Slide 10: 5-Year U.S. Treasury Note and 30-Year U.S. Treasury Bond Yield

    Yield (%) Yield (%) 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% Feb-13 Feb-13 Source: Bloomberg Data Apr-13 Apr-13 Jun-13 Jun-13 Aug-13 Aug-13 Oct-13 Oct-13 Dec-13 Dec-13 Feb-14 Feb-14 Apr-14 Apr-14 High: 2.538% 11/20/13 Jun-14 Jun-14 Aug-14 Aug-14 Oct-14 Oct

  11. Slide 11: Mortgage Market Update: TBA & Roll vs Specified Pool

    Mortgage Market Update: TBA & Roll vs Specified Pool 100.5 FNCL Change 300 '85k Max' Specified Pool Payup over TBA 275 100.0 250 225 99.5 200 Payup (ticks) 99.0 175 150 98.5 125 100 98.0 75 97.5 50 25 97.0 0 Sep-21 Oct-21 Nov-21 Dec-21 FNCL 2.0 FNCL 2.5 FNCL 3.0 FNCL 3.5 FNCL 4.0 FN 85k 2.0 FN 85k 2

  12. Slide 12: Swaption Implied Volatility

    Swaption Implied Volatility 3m x 10Y Normal Vol 100 95 90 85 80 75 70 65 60 55 50 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 3M x 10Y USD Normal Annual Vol (BPS/ANNUM) Source: Citi Velocity 12

  13. Slide 13: TBA OAS & Specified Pool Pay-up Performance

    TBA OAS & Specified Pool Pay-up Performance TBA Libor OAS FNCL 3.0 Specified Pool Pay-up 220 220 200 200 180 180 160 160 140 140 LOAS / Pay-up 120 120 LOAS 100 100 80 80 60 60 40 40 20 20 0 0 -20 -20 -40 -40 -60 -60 30Y 3s UMBS/FNMA OAS to Libor 30Y 3.5s UMBS/FNMA OAS to Libor Specified Pool Payup,

  14. Slide 14: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q4 2021

    Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q4 2021 Q4 2021 Returns 11.02% 12% 10% 8% 6% 5.16% 4% 0.23% 0.72% 0.54% 2.37% 0.72% 2% -0.57% -0.37% 0.18% -0.63% 0.00% 0.01% 0% -2% 2021 Returns 35% 28.68% 30% 25% 20% 15% 10% 5.96% 5.28% 4.21% 5% -0.34% -1.04% -1.16% -1.29

  15. Slide 15: Refinancing Activity

    Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 5,500 250 4.3 Mortgage Rate (%) 4,500 4.0 200 Refi Index 3,500 3.7 bps 150 3.4 2,500 3.1 100 1,500 2.8 500 2.5 50 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Aggregate Refi Index Mortgage Rates (

  16. Slide 16: Financial Results

    Financial Results 16 S-ORCHIDISLAND

  17. Slide 17: Orchid Island Capital Financial Results for the Three Months Ended December 31, 2021

    Orchid Island Capital Financial Results for the Three Months Ended December 31, 2021 Income Statement MBS Portfolio Returns by Sector Net Income Structured Security Portfolio Realized and Excluding Realized Unrealized Total(1) and Unrealized Interest- Inverse Gains/(Losses) Gains and Losses Pass-Thr

  18. Slide 18: Orchid Economic Interest Rate Spread and Dividend History

    Orchid Economic Interest Rate Spread and Dividend History Orchid Yield on MBS vs Economic Cost of Funds 5.00% 4.53% 4.27% 4.34% 4.41% 4.36% 4.07% 4.18% 4.15% 4.25% 4.50% 4.11% 3.91% 4.05% 3.96% 3.79% 3.95% 4.00% 3.62% 3.62% 3.57% 3.66% 3.63% 3.57% 3.48% 3.49% 3.29% 3.25% 3.42% 3.50% 3.18% 3.04% 2.93

  19. Slide 19: Orchid Earnings Per Share (EPS) as Reported and with Gains/(Losses) Removed

    Orchid Earnings Per Share (EPS) as Reported and with Gains/(Losses) Removed(1) $1.50 $1.17 $1.00 $0.85 $0.66 $0.67 $0.69 $0.70 $0.74 $0.62 $0.71 $0.63 $0.67 $0.62 $0.50 $0.56 $0.67 $0.29 $0.49 $0.24 $0.42 $0.69 $0.41 $0.24 $0.50 $0.63 $0.62 $0.31 $0.30 $0.66 $0.63 $0.22 $0.56 $0.53 $0.33 $0.26 $0.41

  20. Slide 20: Peer Dividend Performance

    Peer Dividend Performance(1) Annualized Dividend / Beg BV 20% 15% 10% 5% 0% ORC Peer Average Annualized Dividend / Beg Stock Price 25% 20% 15% 10% 5% 0% ORC Peer Average 1. The peer average is the unweighted, simple, average of the total rate of return for each of the following companies based on th

  21. Slide 21: MBS Commentary

    MBS Commentary • Portfolio positioning has been defensive since Q1 2021 • Spec pool performance in 2021 and early 2022 has been poor • We expect this trend to reverse and prefer specified pools over TBA/rolls • FNCL 3.0% observations 21

  22. Slide 22: Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended December 31, 2021

    Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended December 31, 2021 Capital Allocation Portfolio Activity ($ in thousands) ($ in thousands) Inverse Structured Security Portfolio Pass-Through Interest-Only Interest Only Portfolio Securities Sub-total Total Securities Pass-

  23. Slide 23: Portfolio Characteristics, Credit Counterparties & Hedge Positions

    Portfolio Characteristics, Credit Counterparties & Hedge Positions 23

  24. Slide 24: Orchid Island Capital MBS Portfolio Characteristics as of December 31, 2021

    Orchid Island Capital MBS Portfolio Characteristics as of December 31, 2021 Current Int Rate Sensitivity Int Rate Sensitivity Type Face FMV Percent of Portfolio Price CPN GWAC AGE WA Mat 1m CPR 3m CPR (-50 BPS) (+50 BPS) Fixed Rate MBS 15yr 2.5 $ 214,031,442 $ 223,724,431 3.44% $ 104.53 2.50% 2.87%

  25. Slide 25: Portfolio High Quality Specs Allocation

    Portfolio High Quality Specs Allocation Percent of PT Portfolio (by MV) Allocated to High Quality Specified Pools 90% 6,000 80% 5,000 70% 4,000 60% 3,000 50% 2,000 40% 1,000 30% 0 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 H

  26. Slide 26: Performance versus FNMA Fixed Rate Coupon Cohort

    Performance versus FNMA Fixed Rate Coupon Cohort Dec CPR Nov CPR 35 40 30 35 30 25 25 20 CPR CPR 20 15 15 10 10 5 5 0 0 15yr Total 30yr 2.5 30yr 3.0 30yr 3.5 30yr 4.0 15yr Total 30yr 2.5 30yr 3.0 30yr 3.5 30yr 4.0 ORC Cohort ORC Cohort Quarterly CPR Percentage Vs. Cohort Oct CPR 40 100% 90% 35 Perce

  27. Slide 27: Prepayment Sensitivity in PT Portfolio

    Prepayment Sensitivity in PT Portfolio Prepayments as Percentage of Portfolio Principal Balance 3.40% 3.20% 3.00% 2.80% 2.60% 2.40% 2.20% 2.00% 1.80% 1.512% 1.60% 1.40% 1.31% 1.20% 0.98% 1.00% 0.80% .87% 0.64% 0.60% 0.40% 0.20% 0.00% Mar-13 Jun-13 Sep-13 Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar

  28. Slide 28: Orchid Credit Counterparties and Leverage Ratio History

    Orchid Credit Counterparties and Leverage Ratio History Orchid Island Capital Credit Counterparties Orchid Island Capital Leverage Ratio History ($ in thousands) As of December 31, 2021 Total Outstanding Weighted Average Counterparty % of Total Longest Maturity Balances Maturity in Days 11.0 Wells F

  29. Slide 29: Orchid Island Capital Hedge Positions

    Orchid Island Capital Hedge Positions Swap Agreements ($ in thousands) ($ in thousands) As of 12/31/2021 Weighted Weighted Average Net Average Contract Notional Notional Average Fixed Pay Average Entry Average Open Equity(1) Receive Estimated Maturity Amount Amount Rate Rate Effective Rate Rate Fair

  30. Slide 30: Appendix

    Appendix 30 S-ORCHIDISLAND

  31. Slide 31: Orchid Island Capital Earnings Per Share Support Data

    Orchid Island Capital Earnings Per Share Support Data Net Earnings Less Net Earnings Less Realized and Realized and Unrealized Weighted Average Shares Net Income Per Realized and Unrealized Quarter Net Income (GAAP) Realized and Unrealized Unrealized Gains Gains and Losses Outstanding Share Gains an

  32. Slide 32: ORC Historical Portfolio Breakdown

    ORC Historical Portfolio Breakdown ORC Historical Portfolio Breakdown 7,000 6,000 5,000 Market Value (in Millions of Dollars) 4,000 3,000 2,000 1,000 0 15-Year Fixed Rate RMBS 20-Year Fixed Rate RMBS 30-Year Fixed Rate RMBS CMO TBA Deriv Source: Company Press Releases 32

  33. Slide 33: Securitized Products Returns December 2021

    Securitized Products Returns December 2021 2021 and 2020 returns summary – sorted by 2021 total return 2021 and 2020 returns summary – sorted by 2021 excess return 2021 (As of 12/31/21) 2020 12/31/2021 2021 (As of 12/31/21) 2020 12/31/2021 Excess Return Total Excess Return Current Spread / Excess Re

  34. Slide 34: Securitized Products Returns December 2021

    Securitized Products Returns December 2021 Securitized products total and excess returns versus swaps/Libor Total Returns Excess Returns vs. Swaps/Libor Total Returns Excess Returns vs. Swaps/Libor Mod Dur 21-Dec QTD YTD 2020 21-Dec QTD YTD 2020 Mod Dur 21-Dec QTD YTD 2020 21-Dec QTD YTD 2020 Agency

Orchid Island Capital — Q4 2021 Earnings Presentation on 6ix