Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q1 2022 Earnings Presentation
32 slides from Orchid Island Capital's earnings presentation, Apr 29, 2022
Slide 1: Q1 2022 Earnings Supplemental Materials
8 Q1 2022 Earnings Supplemental Materials April 29, 2022 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 Highlights for the Quarter Ended March 31, 2022 4-6 Market Developments 7 - 15 Financial Results 16 - 21 Portfolio Characteristics, Credit Counterparties & Hedge Positions 22 - 27 Appendix 28 - 32 3
Slide 4: Financial Highlights for the Quarter Ended March 31, 2022
Financial Highlights for the Quarter Ended March 31, 2022 • Net loss per share of $0.84 • Net earnings per share of $0.20, excluding realized and unrealized gains/(losses) on RMBS and derivative instruments, including net interest expense on interest rate swaps (See page 29 for reconciliation of thi
Slide 5: Peer Stock Price Performance as of March 31, 2022
Peer Stock Price Performance as of March 31, 2022 ORC Total Peer ORC Spread Over / (Under) Time Period Rate of Return(1) Average(1)(2) Peer Average(3) Year to Date (24.6)% (7.1)% (17.5)% One Year Total Return (36.6)% (15.9)% (20.7)% Two Year Total Return 49.5% 64.6% (15.1)% Three Year Total Return (
Slide 6: Q4 2021 Peer Book Value Performance
Q4 2021 Peer Book Value Performance ORC Total Peer ORC Spread Over / (Under) Time Period Rate of Return(1) Average(1)(2) Peer Average(3) One Year Total Return (6.4)% (4.8)% (1.6)% Two Year Total Return (5.2)% (17.0)% 11.8% Three Year Total Return 0.5% (9.6)% 10.1% Four Year Total Return (9.4)% (16.6
Slide 7: Market Developments
Market Developments 7 SORGHIDISLAND
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 3.5% 3.5% 3.0% 3.0% 2.5% 2.5% 2.0% 2Yr 3Yr 5Yr 7Yr 10Yr 30Yr 2.0% 30Yr Yield (%) Yield (%) 1YR 5Yr 7Yr 10Yr 1.5% 1.5% 2Yr 3Yr 6mo 1Yr 1.0% 3Mo 1.0% 12/31/21 12/31/21 6Mo 0.5% 03/31/22 0.5% 03/31/22 04/22/22 3Mo 0
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 Q1 2022 2 Year Look Back 10-Year U.S. Treasury Note 10-Year U.S. Treasury Note 3.00% 3.00% 2.80% +228 bps 2.60% 2.80% 2.40% 2.60% 2.20% 2.00% 2.40% 1.80% 1.60% 2.20% 1.40% 4/22/22 +139 bps 1.20% 2.00% 1.00% 0.80% 1.80% 0.60% 1.60% 0.40% 0.20% 1.4
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% 3.5% 4.0% 4.5% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 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-
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 100.0 300 275 98.0 250 4/22/22 225 96.0 200 Payup (ticks) 94.0 175 150 92.0 125 100 90.0 75 88.0 50 25 86.0 0 Dec-21 Jan-22 Feb-22 Mar-22 FNCL 2.0 FNCL 2.5 FNCL 3.0 FNCL 3.5 FNCL 4.0 FN 85k 2.0 F
Slide 12: Swaption Implied Volatility
Swaption Implied Volatility 3m x 10Y Normal Vol 130 120 110 100 90 80 70 60 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 3M x 10Y USD Normal Annual Vol (BPS/ANNUM) Source: Citi Velocity 12
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 120 160 100 140 80 120 60 100 LOAS Pay-up 40 80 20 60 0 40 -20 20 -40 0 30Y 2.0S UMBS/FNMA OAS to Libor 30Y 2.5s UMBS/FNMA OAS to Libor Specified Pool Payup, FN3.0 LLB Specified Pool Payup, FN3.0 MLB 30Y 3s UMBS
Slide 14: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component
Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component 2022 Q1 2022 Returns 0% -2% -2.88% -4% -3.02% -4.97% -4.84% -4.61% -6% -5.58% -5.40% -5.59% -5.93% -6.23% -6.49% -8% -7.69% -10% -10.76% -12% 0% YTD 2022 Returns as of 4/22/22 -2% -4% -3.65% -6% -4.82% -8% -7.38% -7.65% -8.6
Slide 15: Refinancing Activity
Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 5,500 200 5.8 5.5 Mortgage Rate (%) 4,500 5.2 4.9 Refi Index 150 3,500 4.6 bps 4.3 4.0 2,500 3.7 100 3.4 1,500 3.1 2.8 500 2.5 50 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 Apr-21 Aug-21 Dec-21 Apr-22 Aggregate Refi Index Mortgag
Slide 16: Financial Results
Financial Results 16 S-ORCHIDISLAND
Slide 17: Financial Results for the Three Months Ended March 31, 2022
Orchid Island Capital Financial Results for the Three Months Ended March 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-Throug
Slide 18: 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
Slide 19: Earnings Per Share 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 $0.22
Slide 20: Peer Dividend Performance
Peer Dividend Performance(1) 20% Annualized Dividend / Beg BV 15% 10% 5% 0% ORC Peer Average Annualized Dividend / Beg Stock Price 25% 20% 15% 10% 5% 0% ORC Peer Average 1. The peer average is the unweighted, simple, average of the total rate of return for each of the following companies based on th
Slide 21: Capital Allocation & MBS Portfolio Activity for Three Months Ended March 31, 2022
Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended March 31, 2022 Capital Allocation Portfolio Activity ($ in thousands) ($ in thousands) Inverse Pass-Through Interest-Only Structured Security Portfolio Interest Only Portfolio Securities Sub-total Total Securities Pass-Thr
Slide 22: Portfolio Characteristics, Credit Counterparties & Hedge Positions
Portfolio Characteristics, Credit Counterparties & Hedge Positions 22
Slide 23: MBS Portfolio Characteristics as of March 31, 2022
Orchid Island Capital MBS Portfolio Characteristics as of March 31, 2022 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 $ 206,448,258 $ 204,480,995 4.46% $ 99.05 2.50% 2.87% 15 1
Slide 24: Performance versus FNMA Fixed Rate Coupon Cohort
Performance versus FNMA Fixed Rate Coupon Cohort Mar CPR Feb CPR 40 40 35 35 30 30 25 25 CPR CPR 20 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 Jan CPR Quarterly CPR Percentage Vs. Cohort 40 120% 35 100% P
Slide 25: 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% 2.34% 2.20% 2.00% 1.80% 1.60% 1.40% 1.30% 1.20% 0.98% 1.00% 0.80% 0.65% 0.60% 0.99% 0.40% 0.20% 0.00% ORC Prepay Ratio Average -1 Standard Deviation +1 Standard Deviati
Slide 26: 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 Mar 31, 2022 Total Outstanding % of Weighted Average Longest 11.0 Counterparty Balances Total Maturity in Days Maturity J.P. Morgan
Slide 27: Hedge Positions
Orchid Island Capital Hedge Positions Treasury Futures Swap Agreements ($ in thousands) ($ in thousands) Average Net Average As of 3/31/2022 Weighted Weighted Notional Average Fixed Pay Contract Notional Receive Estimated Maturity Average Entry Average Open Equity (1) Amount Rate Amount Rate Fair Va
Slide 28: Appendix
Appendix 28 S-ORCHIDISLAND
Slide 29: 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
Slide 30: Historical Portfolio Breakdown
Appendix 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 30
Slide 31: Securitized Products Returns March 2022
Securitized Products Returns March 2022 2022 and 2021 returns summary – sorted by 2022 total return 2022 and 2021 returns summary – sorted by 2022 excess return 2022 (As of 3/31/22) 2021 3/31/2022 2022 (As of 3/31/2022) 2021 3/31/2022 Total Excess Return (vs. Total Excess Return Current Spread / Tot
Slide 32: Securitized Products Returns March 2022
Securitized Products Returns March 2022 Securitized products total and excess returns versus swaps/Libor Total Returns Excess Returns vs. Swaps/Libor Total Returns Excess Returns vs. Swaps/Libor Dur 3/22 QTD YTD 2021 3/22 QTD YTD 2021 Mod Dur 21-Dec QTD YTD 2020 21-Dec QTD YTD 2020 Agency MBS 5.4 -2
Orchid Island Capital — Q1 2022 Earnings Presentation on 6ix