Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q2 2025 Earnings Presentation
37 slides from Orchid Island Capital's earnings presentation, Jul 25, 2025
Slide 1: Q2 2025 Earnings Supplemental Materials
8 Q2 2025 Earnings Supplemental Materials July 25, 2025 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 - 24 Appendix 25 - 37 3
Slide 4: Financial Results
Financial Results 4 S-ORCHIDISLAND
Slide 5: Financial Highlights for the Quarter Ended June 30, 2025
Financial Highlights for the Quarter Ended June 30, 2025 Net Income (Loss)1 Book Value 1 Q2 25 Q1 25 Q2 25 Q1 25 $(0.29) $ 0.18 $7.21 $ 7.94 Total Return 2 Dividend Declared 1 Q2 25 Q1 25 Q2 25 Q1 25 (4.66)% 2.60 % $0.36 $ 0.36 1. Data is on a per share basis 2. Equal to (a) the sum of dividends dec
Slide 6: Portfolio Highlights for the Quarter Ended June 30, 2025
Portfolio Highlights for the Quarter Ended June 30, 2025 Average MBS Balances Economic Leverage Ratio 1 (in millions) Q2 25 Q1 25 Q2 25 Q1 25 $6,866 $5,996 7.3 7.8 Speeds Liquidity 2 (3mo. Portfolio CPR) Q2 25 Q1 25 Q2 25 Q1 25 10.1 7.8 54.0% 52.2% 1. The economic leverage ratio is calculated by div
Slide 7: Orchid Island Capital Financial Results for the Quarter Ended June 30, 2025
Orchid Island Capital Financial Results for the Quarter Ended June 30, 2025 Income Statement Balance Sheet ($ in thousands, except for per share data) ($ in thousands, except for per share data) Three Months Ended June 30, 30-Jun-25 31-Dec-24 2025 2024 ASSETS: Interest income $ 92,289 $ 53,064 Mortg
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 5.0% SOFR Swap Curve 1Mo 3Mo 3Mo 1Mo 6Mo 4.5% 6Mo 4.5% 5Yr 30Yr 30Yr 2Yr 3Yr 7Yr 10Yr 10Yr 1Yr Yield (%) Yield (%) 4.0% 4.0% 7Yr 1Yr 5Yr 3.5% 3.5% 2Yr 3Yr 03/31/25 03/31/25 06/30/25 06/30/25 07/18/25 07/18/25 3.0% 3.0% 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 07/18/25: 126 bps 50 0 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Jan-2020 Jan-20
Slide 11: Swaption Implied Volatility
Swaption Implied Volatility 125 3m x 10Y Normal Vol 120 115 110 105 100 95 90 85 Jun-24 Sep-24 Dec-24 Mar-25 Jun-25 3M x 10Y USD Normal Annual RFR Vol (BPS/ANNUM) 200 Swaption Implied Volatility (MOVE Index) 180 160 140 120 100 80 60 40 20 Source: Citi Velocity, Bloomberg Data 11
Slide 12: Swap Spreads
Swap Spreads Swap Spread by Tenor Swap DTD Change by Tenor 0.00 10.00 8.00 6.00 4.00 -10.00 2.00 0.00 12/31/2024 1/31/2025 2/28/2025 3/31/2025 4/30/2025 5/31/2025 6/30/2025 -2.00 -4.00 -20.00 -6.00 -8.00 -10.00 2yr Swap DTD Change 5yr Swap DTD Change -30.00 7yr Swap DTD Change 10yr Swap DTD Change -
Slide 13: Refinancing Activity
Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 7,000 8.5 250 8.0 6,000 7.5 7.0 200 5,000 Mortgage Rate (%) 6.5 4,000 6.0 bps Refi Index 5.5 150 3,000 5.0 4.5 2,000 4.0 100 1,000 3.5 3.0 0 2.5 50 Aggregate Refi Index - 961 Mortgage Rates (0-pt) - 6.86% Refi Index vs. P
Slide 14: U.S. Economy
U.S. Economy U.S. GDP vs Money Supply 35.0 30.0 25.0 20.0 Tillions ($) 15.0 10.0 5.0 0.0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 U.S. Money Supply - M2 U.S. GDP - Nominal Dollars Source: Bloomberg Data 14
Slide 15: Portfolio Characteristics & Hedge Positions
Portfolio Characteristics & Hedge Positions 15
Slide 16: Investment Portfolio
Investment Portfolio The extensive reciprocal tariffs announced in early April exceeded expectations. Markets reacted violently, fearful of trade wars, loss of the reserve status of the U.S. dollar and capital flows out of the U.S. There was pervasive forced deleveraging across all asset classes. Or
Slide 17: Investment Portfolio Pass-Through Holdings
Investment Portfolio Pass-Through Holdings We have shifted Orchid’s portfolio away from the barbell strategy into an up-in-coupon bias, although the weighted average market price of the portfolio remains very close to par. Our asset selection has resulted in a portfolio comprised of seasoned, faster
Slide 18: Investment Portfolio Funding Costs as of June 30, 2025
Investment Portfolio Funding Costs as of June 30, 2025 The resiliency of the U.S. economy and muted impact, to date, of tariffs on inflation and trade continue to reduce market expectations of further interest rate cuts by the Federal Reserve. Funding spreads in the repo market have been elevated ar
Slide 19: Hedging Positions
Hedging Positions Orchid has hedge positions equal to approximately 73% of our repo funding liability with continued emphasis on interest rate swaps and a longer duration bias. The migration of the pass-through portfolio into higher coupon, lower duration assets hedged with predominantly longer dura
Slide 20: Hedging Positions
Hedging Positions Interest Rate Futures Swap Agreements ($ 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 21: 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 22: 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 23: Investment Portfolio Prepayment Experience
Investment Portfolio Prepayment Experience Orchid’s higher coupon holdings continued to increase during the second quarter. As long-term interest rates increased and the U.S. Treasury rate curve steepened, prepayment rates remained low in spite of the typical seasonal increase during the spring movi
Slide 24: Orchid Island Capital – Q2 Wrap-up and Outlook
Orchid Island Capital – Q2 Wrap-up and Outlook The start of the second quarter of 2025 was reminiscent of March 2020 and the onset of the Covid-19 pandemic. There was fear in the market and pervasive de-leveraging. Our ample liquidity and strong hedge positioning enabled us to minimize the need to s
Slide 25: Appendix
Appendix 25 S-ORCHIDISLAND
Slide 26: ACM 10 Year Treasury Term Premia
ACM 10 Year Treasury Term Premia 4% 3% 2% 7/16/25: 0.84% 1% 0% -1% -2% Source: Bloomberg Data 26
Slide 27: Current Coupon Mortgage Spreads
Current Coupon Mortgage Spreads 200 150 7 Yr Swap Spread 10 Yr U.S. Treasury Spread 100 Jun-2022 Jun-2023 Jun-2024 Jun-2025 Source: Bloomberg Data 27
Slide 28: 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 07/02/25: 2,684.2 3,000 2,800 2,600 High: 2,718 08/01/22 2,400 2,200 2,000 1,800 07/02/25: 2,138.5 1,600 1,400 1,200 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Ja
Slide 29: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component
Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q2 2025 Returns 13% 10.94% 11% 9% 7% 5% 3.53% 3.75% 3% 1.38% 1.87% 1.71% 1.21% 1.82% 1.81% 1.14% 0.85% 0.48% 1% -1% -0.13% -3% -5% YTD 2025 Returns as of 06/30/25 8% 6.20% 5.41% 4.23% 4.49% 4.38% 4.64% 4.67% 4.57% 3.79% 4.02
Slide 30: Leverage Ratio
Orchid Island Capital Leverage Ratio History 11.0 10.0 7.4 Leverage Ratio 9.0 8.0 7.0 7.3 6.0 5.0 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19 Jun-20 Jun-21 Jun-22 Jun-23 Jun-24 Jun-25 Adjusted Leverage (1) Economic Leverage (2) 1. The adju
Slide 31: Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2025
Orchid Island Capital MBS Portfolio Characteristics as of June 30, 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 30yr 3.0 855,064,947 755,429,547 10.80% 88.35 3.00% 3.48% 52 300 6.3
Slide 32: Orchid Island Capital MBS Portfolio Characteristics as of March 31, 2025
Orchid Island Capital MBS Portfolio Characteristics as of March 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 5.0 TBA 200,000,000 200,773,420 2.89% 100.39 5.00% 5.85% 8 168
Slide 33: Orchid Credit Counterparties
Orchid Credit Counterparties ($ in thousands) As of June 30, 2025 Weighted Total Average Counterparty Outstanding % of Total Longest Maturity Maturity in Balances Days Wells Fargo Bank, N.A. 385,253 5.79% 18 7/30/2025 RBC Capital Markets, LLC 382,428 5.75% 18 7/28/2025 J.P. Morgan Securities LLC 348
Slide 34: 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 35: 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 2025 to date and 2024 on both a GAAP and economi
Slide 36: Securitized Products Returns June 2025
Securitized Products Returns June 2025 Last 12 months from June 2024 return summary – sorted by total returns Last 12 months from June 2024 returns summary – sorted by excess return Last 12 Mo. (As of 6/30/25) 2024 6/30/2025 Last 12 Mo. (As of 6/30/25) 2024 6/30/2025 Excess Return Excess Return (vs.
Slide 37: Securitized Products Returns June 2025
Securitized Products Returns June 2025 Securitized products total and excess returns versus swaps Source: BofA Global Research - Securitized Products Returns for June 2025/ Securitized Products Strategy / 01 July 2025 37
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