Orchid Island Capital, Inc. · NYSE:ORC

Orchid Island Capital — Q4 2022 Earnings Presentation

34 slides from Orchid Island Capital's earnings presentation, Feb 24, 2023

  1. Slide 1: Q4 2022 Earnings Supplemental Materials

    8 Q4 2022 Earnings Supplemental Materials February 24, 2023 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, 2022 4  Market Developments 5 - 17  Financial Results 18 - 23  Portfolio Characteristics, Credit Counterparties & Hedge Positions 24 - 29  Appendix 30 - 34 3

  4. Slide 4: Financial Highlights for the Quarter Ended December 31, 2022

    Financial Highlights for the Quarter Ended December 31, 2022 • Net income per share of $0.95 • Net earnings per share of ($0.09), excluding realized and unrealized gains/(losses) on RMBS and derivative instruments, including net interest income on interest rate swaps (See page 31 for reconciliation

  5. Slide 5: Market Developments

    Market Developments 5 SORCHIDISLAND

  6. Slide 6: U.S. Treasury Curve & U.S. Dollar Swap Curve

    U.S. Treasury Curve & U.S. Dollar Swap Curve US Treasury Curve SOFR Swap Curve 5.0% 5.0% 2Yr 1Yr 3Yr 5Yr 2Yr 7Yr 3Yr 10Yr 30Yr 5Yr 4.0% 4.0% Yield (%) Yield (%) 1Yr 6Mo 6Mo 7Yr 10Yr 3.0% 3.0% 3Mo 09/30/22 3Mo 09/30/22 30Yr 12/31/22 1Mo 12/31/22 1Mo 02/17/23 02/17/23 2.0% 2.0% YTM Change Change (09/3

  7. Slide 7: 10-Year U.S. Treasury Note & 10-Year U.S. Dollar Swap

    10-Year U.S. Treasury Note & 10-Year U.S. Dollar Swap 10-Year U.S. Treasury Note: Q4 2022 10-Year U.S. Treasury Note: 2-Year 4.50% 4.50% 4.00% 3.50% -1.2 bps 4.00% 3.00% 2.50% +290 bps 2.00% 3.50% 1.50% 1.00% 0.50% 3.00% 0.00% 09/30/22 10/31/22 11/30/22 12/31/22 01/31/23 02/28/23 12/31/20 3/31/21 6/

  8. Slide 8: 10-Year U.S. Treasury Note vs MBS Current Coupon

    10-Year U.S. Treasury Note vs MBS Current Coupon 1 Year: 10Yr Treasury Note/Current Coupon Spread 200 150 100 2/17/23: 156 bps 50 0 12/31/21 1/31/22 2/28/22 3/31/22 4/30/22 5/31/22 6/30/22 7/31/22 8/31/22 9/30/22 10/31/22 11/30/22 12/31/22 1/31/23 2010 – Current: 10Yr Treasury Note/Current Coupon Sp

  9. Slide 9: 5-Year Treasury Note vs 30-Year Treasury Bond Spread

    5-Year Treasury Note vs 30-Year Treasury Bond Spread 5.0% 5-Year Treasury Note and 30-Year Treasury Bond Yield 4.5% High 4.446% 10/20/22 4.0% High 4.381% 10/24/22 3.5% Yield (%) 3.0% 2.5% 2.0% 1.5% 1.0% Low: 0.997% 3/9/20 0.5% 0.0% Low: 0.191% 8/4/20 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19

  10. Slide 10: Commercial Bank & Federal Reserve MBS Holdings

    Commercial Bank & Federal Reserve MBS Holdings Commercial Banks & Federal Reserve Holdings of MBS 3,200 3,000 2,800 2,600 2,400 2,200 2,000 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Bank Holdings Fed Holdings Note: Data include the following types of institutions in the fifty states an

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

    Mortgage Market Update: TBA & Roll Vs Specified Pool FNCL Change '85k Max' Specified Pool Payup over TBA 106.0 300 104.0 250 Payup (ticks) 200 102.0 150 100.0 100 98.0 50 96.0 0 FNCL 3.0 FNCL 4.0 FNCL 5.0 FNCL 6.0 FN 85k 3.0 FN 85k 4.0 FN 85k 5.0 FN 85k 6.0 1 Year FNCL Roll 225k 5 vs FNCL 5 Roll 25

  12. Slide 12: Swaption Implied Volatility

    Swaption Implied Volatility 3m x 10Y Normal Vol 160 150 140 130 120 110 100 90 80 70 60 Feb-22 May-22 Aug-22 Nov-22 Feb-23 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 100 100 80 80 60 60 LOAS 40 Pay-up 40 20 20 0 0 -20 -20 -40 -40 Specified Pool Payup, FN3.0 LLB Specified Pool Payup, FN3.0 MLB 30Y 2.0S UMBS/FNMA OAS to Libor 30Y 2.5s UMBS/FNMA OAS to Libor 30Y 3s UMBS/FNMA OA

  14. Slide 14: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component 2022

    Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component 2022 Q4 2022 Returns 12% 10.81% 10% 7.55% 8% 6% 4.10% 4.28% 4.16% 3.64% 4% 2.14% 1.86% 1.87% 2.04% 2% 0.80% 0.72% 1.02% 0% YTD 2022 Returns as of 12/31/22 0% -4% -4.30% -8% -8.53% -12% -10.91% -11.81% -11.09% -11.19% -12.46%

  15. Slide 15: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component 2023

    Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component 2023 YTD 2023 Returns as of 02/17/2023 8% 6.48% 6% 4% 2.18% 2% 1.49% 1.40% 1.33% 1.38% 0.92% 1.07% 0.96% 0.93% 0.78% 0.79% 0.60% 0% Source: Bloomberg Data 15

  16. Slide 16: Cross Asset Spreads Change, 2023

    Cross Asset Spreads Change, 2023 Source: BofA Global Research, Bloomberg S&P LCD, 02/09/2023 16

  17. Slide 17: Refinancing Activity

    Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 5,000 7.6 250.0 7.3 7.0 4,000 6.7 6.4 200.0 Mortgage Rate (%) 6.1 5.8 3,000 bps Refi Index 5.5 5.2 150.0 4.9 2,000 4.6 4.3 4.0 3.7 100.0 1,000 3.4 3.1 2.8 0 2.5 50.0 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-22

  18. Slide 18: Financial Results

    Financial Results 18 S-ORCHIDISLAND

  19. Slide 19: Financial Results for the Three Months Ended December 31, 2022

    Orchid Island Capital Financial Results for the Three Months Ended December 31, 2022 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

  20. Slide 20: 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% 4.18% 4.27% 4.15% 4.34% 4.41% 4.36% 4.25% 4.50% 4.11% 3.42% 3.96% 3.95% 4.07% 3.91% 4.05% 3.49% 3.99% 3.66% 3.79% 3.63% 3.79% 4.00% 3.62% 3.57% 3.62% 3.48% 3.57% 3.29% 3.25% 3.18% 3.31

  21. Slide 21: 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) $8.00 $6.00 $5.86 $4.25 $3.29 $3.36 $3.44 $3.50 $3.70 $4.00 $3.11 $3.53 $3.16 $3.34 $3.08 $2.48 $2.78 $3.34 $1.47 $2.45 $1.20 $2.10 $1.01 $1.00 $3.43 $2.05 $1.21 $0.95 $3.09 $3.30 $3.16 Per Share Amount $3.14 $1.55 $1.50

  22. Slide 22: Orchid and Peer Group Leverage Ratio History

    Orchid and Peer Group Leverage Ratio History Orchid Island Capital Leverage Ratio History Orchid Island vs Historic Peers 11.0 12 9.9 10.0 9.7 10 9.4 9.1 9.2 9.1 9.1 8.2 Leverage Ratio (1) 9.0 7.8 9.0 8 8.5 8.4 8.5 8.6 8.1 8.8 7.9 8.6 8.5 8.8 8.0 7.6 8.8 7.8 6 7.3 8.2 8.2 7.1 7.1 7.8 7.9 7.7 7.0 6.7

  23. Slide 23: Capital Allocation & MBS Portfolio Activity for the Three Months Ended December 31, 2022

    Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended December 31, 2022 Capital Allocation Portfolio Activity ($ in thousands) ($ in thousands) Inverse Pass-Through Interest-Only Structured Security Portfolio Interest Only Portfolio Securities Sub-total Total Securities Pass-

  24. Slide 24: Portfolio Characteristics, Credit Counterparties & Hedge Positions

    Portfolio Characteristics, Credit Counterparties & Hedge Positions 24

  25. Slide 25: MBS Portfolio Characteristics as of December 31, 2022

    Orchid Island Capital MBS Portfolio Characteristics as of December 31, 2022 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 4.0 $ 399,669 $ 393,426 0.01% $ 98.44 4.00% 4.54% 56 123 0

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

    Performance versus FNMA Fixed Rate Coupon Cohort Oct CPR Nov CPR 16 16 14 14 12 12 10 10 8 8 6 6 4 4 2 2 0 0 30yr 3.0 30yr 3.5 30yr 4.0 30yr 3.0 30yr 3.5 30yr 4.0 ORC Cohort ORC Cohort Dec CPR Quarterly CPR Percentage Vs. Cohort 16 120% 14 Percentage of cohort 100% 12 80% 10 8 60% 6 40% 4 20% 2 0 0%

  27. Slide 27: Prepayment Sensitivity in PT Portfolio

    Prepayment Sensitivity in PT Portfolio Prepayments as Percentage of Portfolio Principal Balance 4.40% 4.00% 3.60% 3.20% 3.88% 2.80% 2.40% 2.00% 1.60% 1.28% 1.20% 0.96% 0.80% 0.63% 0.40% 0.62% 0.00% Mar-13 Jun-13 Sep-13 Mar-14 Jun-14 Sep-14 Mar-15 Jun-15 Sep-15 Mar-16 Jun-16 Sep-16 Mar-17 Jun-17 Sep-

  28. Slide 28: Orchid Credit Counterparties and Cost of Funds

    Orchid Credit Counterparties and Cost of Funds Orchid Island Capital Credit Counterparties Avg SOFR vs Cost of Funds ($ in thousands) As of December 31, 2022 Weighted Total Average Counterparty Outstanding % of Total Longest Maturity 4.50% Maturity in Balances Days 4.00% Mirae Asset Securities (USA)

  29. Slide 29: Orchid Island Capital Hedge Positions

    Orchid Island Capital Hedge Positions Treasury Futures Swap Agreements ($ in thousands) ($ in thousands) Average Net Average Contract Notional Weighted Average Weighted Average Notional Average Fixed Pay Open Equity(1) Receive Estimated Maturity Amount Entry Rate Effective Rate Amount Rate Rate Fair

  30. Slide 30: Appendix

    Appendix 30 S-ORCHIDISLAND

  31. Slide 31: Earnings Per Share Support Data

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

  32. Slide 32: 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 2022

    Securitized Products Returns December 2022 2022 and 2021 returns summary – sorted by 2022 total return 2022 and 2021 returns summary – sorted by 2022 excess return 2022 (As of 12/30/22) 2021 12/30/2022 2022 (As of 12/30/2022) 2021 12/30/2022 Excess Return Excess Return Excess Return Excess Return To

  34. Slide 34: Securitized Products Returns December 2022

    Securitized Products Returns December 2022 Securitized products total and excess returns versus swaps/Libor Source: BofA Global Research - Securitized Products Returns for December 2022/ Securitized Products Strategy / 04 January 2023 34

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