Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q1 2026 Earnings Presentation
39 slides from Orchid Island Capital's earnings presentation, Apr 24, 2026
Slide 1: Q1 2026 Earnings Supplemental Materials
8 Q1 2026 Earnings Supplemental Materials April 24, 2026 1
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,
Slide 3: Table of Contents
Table of Contents Topic Point Slide(s) Financial Results 4-7 Market Developments 8 - 14 Portfolio Characteristics & Hedge Positions 15 - 25 Appendix 26 - 39 3
Slide 4: Financial Results
Financial Results 4 S-ORCHIDISLAND
Slide 5: Financial Highlights for the Quarter Ended March 31, 2026
Financial Highlights for the Quarter Ended March 31, 2026 Net Income (Loss)1 Book Value 1 Q1 26 Q4 25 Q1 26 Q4 25 $(0.11) $0.62 $7.08 $7.54 Total Return 2 Dividend Declared 1 Q1 26 Q4 25 Q1 26 Q4 25 (1.3)% 7.8% $0.36 $ 0.36 1. Data is on a per share basis 2. Equal to (a) the sum of dividends declare
Slide 6: Portfolio Highlights for the Quarter Ended March 31, 2026
Portfolio Highlights for the Quarter Ended March 31, 2026 Average MBS Balances Economic Leverage Ratio 1, 2 (in millions) Q1 26 Q4 25 Q1 26 Q4 25 $10,984 $ 9,492 7.9 7.4 Speeds Liquidity 3 (3mo. Portfolio CPR) Q1 26 Q4 25 Q1 26 Q4 25 14.7 15.7 54.5% 57.7% 1. The economic leverage ratio is calculated
Slide 7: Orchid Island Capital Financial Results for the Quarter Ended March 31, 2026
Orchid Island Capital Financial Results for the Quarter Ended March 31, 2026 Income Statement Balance Sheet ($ in thousands, except for per share data) ($ in thousands, except for per share data) Three Months Ended March 31, 31-Mar-26 31-Dec-25 2026 2025 ASSETS: Interest income $ 157,838 $ 81,090 Mo
Slide 8: Market Developments
Market Developments 8 S-ORCHIDISLAND
Slide 9: U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve
U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve 5.0% U.S. Treasury Curve 30Yr 5.0% SOFR Swap Curve 10Yr 4.5% 4.5% 7Yr 30Yr 5Yr 3Yr 1Yr 7Yr 10Yr 5Yr Yield (%) Yield (%) 4.0% 2Yr 4.0% 1Yr 2Yr 3Yr 3.5% 3.5% 12/31/25 12/31/25 03/31/26 03/31/26 1Mo 3Mo 6Mo 6Mo 04/17/26 04/17/26 3.0% 3.0% 3Mo 1Mo 3.0%
Slide 10: 10-Year U.S. Treasury Note vs MBS Current Coupon
10-Year U.S. Treasury Note vs MBS Current Coupon 2010 – Current: 10Yr Treasury Note/Current Coupon Spread 200 05/26/23: 200 bps 12/13/22: 190 bps 150 03/19/20: 165 bps 100 50 04/17/26: 87 bps 0 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Jan-2020 Jan-202
Slide 11: Swaption Implied Volatility
20 40 60 80 100 120 140 160 180 200 60 70 80 90 100 110 120 Mar-15 Mar-25 Jun-15 Sep-15 Dec-15 Source: Citi Velocity, Bloomberg Data Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Jun-25 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-25 11 Sep-20 Dec-20 Mar-21 3m
Slide 12: Swap Spreads
Swap Spreads Swap Spread by Tenor -10.00 12/31/2025 1/31/2026 2/28/2026 3/31/2026 -15.00 Hedge Weight by DV01 0.7% 1.6% 5.4% -20.00 -25.00 -30.00 92.3% -35.00 Weighted average maturity of 4 years, 4 months SOFR Futures Treasury Futures Swaps TBA Shorts -40.00 *DV01 for Orchid hedge portfolio as of 3
Slide 13: Refinancing Activity
Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 6,000 250 8.0 5,000 7.0 200 Mortgage Rate (%) 4,000 6.0 bps Refi Index 3,000 150 5.0 2,000 4.0 100 1,000 3.0 0 2.0 50 Jan-23 Apr-23 Jul-23 Oct-23 Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 Apr-25 Jul-25 Oct-25 Jan-26 Apr-26 Aggre
Slide 14: U.S. Economy
U.S. Economy U.S. GDP vs Money Supply 35.0 30.0 25.0 20.0 Tillions ($) 15.0 10.0 5.0 0.0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 U.S. Money Supply - M2 U.S. GDP - Nominal Dollars Source: Bloomberg Data 14
Slide 15: Portfolio Characteristics & Hedge Positions
Portfolio Characteristics & Hedge Positions 15
Slide 16: Investment Portfolio
Investment Portfolio The strong performance of the Agency RMBS market as 2025 came to an end carried over into the first quarter of 2026. President Trump’s social media post announcing the GSEs would add $200 billion of Agency RMBS in 2026 – intended to drive mortgage rates available to borrowers do
Slide 17: Opportunistic Portfolio Growth
Opportunistic Portfolio Growth 10,000 140 9,000 130 8,000 120 7,000 110 6,000 100 5,000 90 4,000 80 3,000 70 2,000 60 1,000 50 - 40 12/31/2024 3/31/2025 6/30/2025 9/30/2025 12/31/2025 3/31/2026 Net MBS Purchases ($ Millions) MS Current Coupon ZV Spread (RHS) Source: Bloomberg Data, Internal Data 17
Slide 18: Investment Portfolio Pass-Through Holdings
Investment Portfolio Pass-Through Holdings Through the deployment of new capital, we altered the coupon distribution of the portfolio. Our holdings were moved more towards 30-year 5.0% and 5.5% securities away from 6.0% and 6.5% securities. In conjunction with slightly higher interest rates and lowe
Slide 19: Investment Portfolio Funding Costs as of March 31, 2026
Investment Portfolio Funding Costs as of March 31, 2026 The Federal Reserve’s introduction of its Reserve Management Purchases and the transformation of the Standing Repurchase Facility into the Standing Repurchase Agreement Operations have freed up cash for the funding markets by using paydowns of
Slide 20: Hedging Positions
Hedging Positions Orchid has hedge positions equal to approximately 72% of our repo funding liability with continued emphasis on interest rate swaps. We increased the weighted average life of the swap positions owing to the migration of the pass-through portfolio into slightly lower coupon, slightly
Slide 21: Hedging Positions
Hedging Positions Interest Rate Futures Swap Agreements ($ in thousands) ($ in thousands) Contract Notional Weighted Average Weighted Average Notional Average Fixed Average Net Estimated Weighted Avg Open Equity(1) Amount Entry Rate Effective Rate Amount Pay Rate Receive Rate Fair Value Maturity (Ye
Slide 22: Current Agency Conventional 30-year Fixed Rate Risk Metrics
Current Agency Conventional 30-year Fixed Rate Risk Metrics Below are the return projections under various scenarios of conventional 30-year fixed rate Agency RMBS, option adjusted spreads, effective duration and convexity figures, as well as Orchid’s portfolio allocation to each. All figures are as
Slide 23: Investment Portfolio Interest Rate Sensitivity
Investment Portfolio Interest Rate Sensitivity Orchid’s Agency RMBS portfolio consists predominantly of 30-year, fixed-rate pass-through securities with a bias towards securities with favorable convexity characteristics and expected returns in various interest rate scenarios. Combined with our hedge
Slide 24: Investment Portfolio Prepayment Experience
Investment Portfolio Prepayment Experience Prepayment rates remained modestly elevated during the first quarter of 2026. As described above, the 10-year U.S. Treasury briefly dipped below 4% in late February and March prepayment rates, reported in early April, were elevated. The outbreak of the war
Slide 25: Orchid Island Capital – Q1 Wrap-up and Outlook
Orchid Island Capital – Q1 Wrap-up and Outlook Over the course of 2025 and into 2026, the Agency RMBS market transitioned from trading at spread levels far above historical norms to spread levels nearly in line with these same norms. The outbreak of the war with Iran in late February halted the prog
Slide 26: Appendix
Appendix 26 SORCHIDISLAND
Slide 27: ACM 10 Year Treasury Term Premia
ACM 10 Year Treasury Term Premia 4.00% 3.00% 2.00% 4/16/26: 0.70% 1.00% 0.00% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 -1.00% -2.00% Source: Bloomberg Data 27
Slide 28: Current Coupon Mortgage Spreads
Current Coupon Mortgage Spreads 190 150 110 7 Yr Swap Spread 10 Yr U.S. Treasury Spread 70 Dec-2022 Dec-2023 Dec-2024 Dec-2025 Source: Bloomberg Data 28
Slide 29: Commercial Bank & Federal Reserve MBS Holdings
Commercial Bank & Federal Reserve MBS Holdings Commercial Banks & Federal Reserve Holdings of MBS $3,200 High: $2,987 02/01/22 04/08/26: $2,725 $3,000 $2,800 $2,600 High: $2,718 08/01/22 $2,400 $ billions $2,200 $2,000 04/08/26: : $1,997 $1,800 $1,600 $1,400 $1,200 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21
Slide 30: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component
Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q1 2026 Returns 1% 0.31% 0.40% 0.32% 0.26% -0.04% -0.05% -0.18% -1% -0.54% -0.50% -0.71% -1.32% -1.40% -3% -5% -4.35% Year Ended 12/31/25 Returns 20% 17.86% 16% 13.93% 12% 9.45% 8.58% 7.91% 8.62% 7.75% 7.30% 7.77% 7.01% 8% 5
Slide 31: Orchid Island Capital Leverage Ratio History
Orchid Island Capital Leverage Ratio History 11.0 10.0 Leverage Ratio 9.0 7.9 8.0 7.0 7.8 6.0 5.0 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Mar-23 Mar-24 Mar-25 Mar-26 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Sep-21 Sep-22 Sep-23 Sep-24 Sep-25 Adjusted Leverage (1) Economic Leverage (2) 1. The adju
Slide 32: Stockholders’ Equity vs Expenses
Stockholders’ Equity vs Expenses Stockholders' Equity $1,600 Total Growth: 442% $1,400 Annual Growth Rate: 18.4% $1,200 $1,000 million $ $800 $600 $400 $200 $- 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 Expenses $25 Total Growth: 159% Annual Growth Rate: 10.0% $20 $15 million $ $10 $5 $-
Slide 33: Orchid Island Capital Expense Ratio History
Orchid Island Capital Expense Ratio History 6.0% 5.0% 4.0% 12/31/25: 1.7% 3.0% 2.0% 1.0% Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Jun-23 Dec-23 Jun-24 Dec-24 Jun-25 Dec-25 ORC 1. The expense ratio is calculated as the annualized expenses divided by stockholders’ equity Source: Company Press
Slide 34: MBS Portfolio Characteristics as of March 31, 2026
Orchid Island Capital MBS Portfolio Characteristics as of March 31, 2026 Percent of Current Int Rate Sensitivity Int Rate Sensitivity Type Face FMV Portfolio Price CPN GWAC AGE WA Mat 1m CPR 3m CPR (-50 BPS) (+50 BPS) Fixed Rate MBS 15yr TBA 4.5 250,000,000 247,871,100 2.14% 99.15 4.50% 5.41% 7 171
Slide 35: MBS Portfolio Characteristics as of December 31, 2025
Orchid Island Capital MBS Portfolio Characteristics as of December 31, 2025 Percent of Current Int Rate Sensitivity Int Rate Sensitivity Type Face FMV Portfolio Price CPN GWAC AGE WA Mat 1m CPR 3m CPR (-50 BPS) (+50 BPS) Fixed Rate MBS 15yr TBA 4.5 250,000,000 250,185,525 2.30% 100.10 4.50% 5.41% 6
Slide 36: Orchid Credit Counterparties
Orchid Credit Counterparties As of March 31, 2026 Total Outstanding Balances Weighted Average Counterparty % of Total Longest Maturity ($ in thousands) Maturity in Days Wells Fargo Securities, LLC 548,008 5.04% 18 5/21/2026 Citigroup Global Markets Inc 505,729 4.65% 11 4/23/2026 Marex Capital Market
Slide 37: Gains (Losses) on Derivative Instruments
Gains (Losses) on Derivative Instruments The tables to the left present a reconciliation of the adjustments to interest expense shown for each period relative to our derivative instruments, and the income statement line item, gains (losses) on derivative instruments, calculated in accordance with GA
Slide 38: Economic Net Interest Spread
Economic Net Interest Spread The tables below provide information on our portfolio average balances, interest income, yield on assets, average borrowings, interest expense, cost of funds, net interest income and net interest spread for each quarter of 2026 and 2025 on both a GAAP and economic basis.
Slide 39: Securitized Products Returns March 2026
Securitized Products Returns March 2026 Last 12 months from March 2025 return summary – sorted by total returns Last 12 months from March 2025 returns summary – sorted by excess return Last 12 Mo. (As of 03/31/26) 2025 3/31/2026 Last 12 Mo. (As of 03/31/26) 2025 03/31/2026 Excess Return Excess Retur
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