Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q4 2025 Earnings Presentation
42 slides from Orchid Island Capital's earnings presentation, Jan 30, 2026
Slide 1: Q4 2025 Earnings Supplemental Materials
8 Q4 2025 Earnings Supplemental Materials January 30, 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 4-8 Market Developments 9 - 15 Portfolio Characteristics & Hedge Positions 16 - 26 Appendix 27 - 42 3
Slide 4: Financial Results
Financial Results 4 S-ORCHIDISLAND
Slide 5: Financial Highlights for the Quarter Ended December 31, 2025
Financial Highlights for the Quarter Ended December 31, 2025 Net Income (Loss)1 Book Value 1 Q4 25 Q3 25 Q4 25 Q3 25 $0.62 $0.53 $7.54 $7.33 Total Return 2 Dividend Declared 1 Q4 25 Q3 25 Q4 25 Q3 25 7.8% 6.7% $0.36 $ 0.36 1. Data is on a per share basis 2. Equal to (a) the sum of dividends declared
Slide 6: Portfolio Highlights for the Quarter Ended December 31, 2025
Portfolio Highlights for the Quarter Ended December 31, 2025 Average MBS Balances Economic Leverage Ratio 1 (in millions) Q4 25 Q3 25 Q4 25 Q3 25 $9,492 $ 7,675 7.4 7.4 Speeds Liquidity 2 (3mo. Portfolio CPR) Q4 25 Q3 25 Q4 25 Q3 25 15.7 10.1 57.7% 57.1% 1. The economic leverage ratio is calculated
Slide 7: Financial Results for the Quarter Ended December 31, 2025
Orchid Island Capital Financial Results for the Quarter Ended December 31, 2025 Income Statement Balance Sheet ($ in thousands, except for per share data) ($ in thousands, except for per share data) Three Months Ended December 31, 31-Dec-25 31-Dec-24 2025 2024 ASSETS: Interest income $ 132,188 $ 71,
Slide 8: Financial Results for the Year Ended December 31, 2025
Orchid Island Capital Financial Results for the Year Ended December 31, 2025 Income Statement ($ in thousands, except for per share data) Year Ended December 31, 2025 2024 Interest income $ 414,001 $ 241,577 Interest expense (305,732) (236,281) Net interest (expense) income 108,269 5,296 Realized ga
Slide 9: Market Developments
Market Developments 9 SORCHIDISLAND
Slide 10: 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 4.5% 4.5% 3Mo 30Yr 1Mo 6Mo 3Mo Yield (%) Yield (%) 4.0% 4.0% 1Yr 10Yr 6Mo 7Yr 1Yr 30Yr 5Yr 3.5% 3.5% 09/30/25 7Yr 10Yr 3Yr 09/30/25 2Yr 12/31/25 5Yr 3Yr 12/31/25 01/23/26 2Yr 01/23/26 3.0% 3.0% 3.0%
Slide 11: 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 01/23/26: 80 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 12: Swaption Implied Volatility
Swaption Implied Volatility 3m x 10Y Normal Vol 120 110 100 90 80 70 60 Dec-24 Mar-25 Jun-25 Sep-25 Dec-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 12
Slide 13: Swap Spreads
Swap Spreads Swap Spread by Tenor 0.00 7/1/2025 8/1/2025 9/1/2025 10/1/2025 11/1/2025 12/1/2025 1/1/2026 -10.00 Hedge Weight by DV01 3.0% 2.2% 6.4% -20.00 -30.00 88.4% Weighted average maturity of 4 years, 4 months -40.00 SOFR Futures Treasury Futures Swaps TBA Shorts *DV01 for Orchid hedge portfoli
Slide 14: 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 - 1,581 Mortgage Rates (0-pt) - 6.38% Refi Index vs.
Slide 15: U.S. Economy
U.S. Economy U.S. GDP vs Money Supply 35.0 30.0 25.0 20.0 Tillions ($) 15.0 10.0 5.0 0.0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 U.S. Money Supply - M2 U.S. GDP - Nominal Dollars Source: Bloomberg Data 15
Slide 16: Portfolio Characteristics & Hedge Positions
Portfolio Characteristics & Hedge Positions 16
Slide 17: Investment Portfolio
Investment Portfolio The year 2025 ended with interest rates range bound and implied volatility in rate options steadily declining. Agency RMBS spreads continually tightened into year end. The potential for Fannie Mae and Freddie Mac to accelerate their purchases of Agency RMBS caused spreads to tig
Slide 18: Opportunistic Portfolio Growth
Opportunistic Portfolio Growth 8,000 140 7,000 130 6,000 120 5,000 110 4,000 100 3,000 90 2,000 80 1,000 70 - 60 1/1/2025 2/1/2025 3/1/2025 4/1/2025 5/1/2025 6/1/2025 7/1/2025 8/1/2025 9/1/2025 10/1/2025 11/1/2025 12/1/2025 1/1/2026 Net MBS Purchases ($ Millions) MS Current Coupon ZV Spread (RHS) So
Slide 19: Investment Portfolio Pass-Through Holdings
Investment Portfolio Pass-Through Holdings Lower coupon securities outperformed early in the fourth quarter of 2025 and were replaced with higher coupon, specified pools with attractive call protection characteristics acquired at attractive valuations. Over the course of 2025, shareholders’ equity a
Slide 20: Investment Portfolio Funding Costs as of December 31, 2025
Investment Portfolio Funding Costs as of December 31, 2025 Funding spreads in the repo market were far less elevated around December 31, 2025 than the third quarter and earlier in 2025. The Federal Reserve’s introduction of its Reserve Management Purchases and the transformation of the Standing Repu
Slide 21: Hedging Positions
Hedging Positions Orchid has hedge positions equal to approximately 69% of our repo funding liability with continued emphasis on interest rate swaps and a longer duration bias. The continued migration of the pass-through portfolio into higher coupon, lower duration assets hedged with slightly longer
Slide 22: 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 23: 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 24: 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 25: Investment Portfolio Prepayment Experience
Investment Portfolio Prepayment Experience Orchid’s higher coupon holdings continued to increase during the fourth quarter. The coupon profile of the portfolio continued to migrate into higher coupon securities with call protection. Mortgage rates available to borrowers declined during the quarter a
Slide 26: Q4 Wrap-up and Outlook
Orchid Island Capital – Q4 Wrap-up and Outlook As the year turned from 2025 to 2026, the Agency RMBS market transitioned from trading at spread levels far above historical norms to spread levels in line with these same norms and may continue tightening. The cause is debatable – years of excessive fi
Slide 27: Appendix
Appendix 27 S-ORCHIDISLAND
Slide 28: ACM 10 Year Treasury Term Premia
ACM 10 Year Treasury Term Premia 4.00% 3.00% 2.00% 01/21/26: 0.55% 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 28
Slide 29: 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 29
Slide 30: 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 $3,000 01/07/26: $2,706.6 $2,800 $2,600 High: $2,718 08/01/22 $2,400 $ billions $2,200 $2,000 $1,800 01/07/26: $2,039.0 $1,600 $1,400 $1,200 Jan-20 Apr-20 Jul-20 Oct-20 Jan-
Slide 31: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component
Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q4 2025 Returns 7% 4.85% 5% 2.65% 3% 1.70% 1.57% 1.25% 0.91% 1.34% 1.12% 1.10% 0.98% 1.31% 0.83% 1% 0.13% -1% -3% -5% YTD 2025 Returns as of 12/31/25 20% 17.86% 16% 13.93% 12% 9.45% 8.58% 7.91% 8.62% 7.75% 7.30% 7.77% 7.01%
Slide 32: Leverage Ratio History
Orchid Island Capital Leverage Ratio History 11.0 10.0 Leverage Ratio 9.0 7.4 8.0 7.0 7.4 6.0 5.0 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Dec-25 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 33: 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 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 35: MBS Portfolio Characteristics as of September 30, 2025
Orchid Island Capital MBS Portfolio Characteristics as of September 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 15yr TBA 5.0 250,000,000 252,714,850 2.94% 101.09 5.00% 5.84% 5
Slide 36: MBS Portfolio Characteristics as of December 31, 2024
Orchid Island Capital MBS Portfolio Characteristics as of December 31, 2024 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 50,000,000 49,742,190 0.94% 99.48 5.00% 5.85% 6 170
Slide 37: Orchid Credit Counterparties
Orchid Credit Counterparties As of December 31, 2025 Total Outstanding Balances Weighted Average Counterparty % of Total Longest Maturity ($ in thousands) Maturity in Days Citigroup Global Markets Inc 527,566 5.22% 27 2/25/2026 ABN AMRO Bank N.V. 507,961 5.02% 33 3/2/2026 South Street Securities, LL
Slide 38: 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 39: 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 and 2024 on both a GAAP and economic basis.
Slide 40: Securitized Products Returns December 2025
Securitized Products Returns December 2025 Last 12 months from November 2024 return summary – sorted by total returns Last 12 months from November 2024 returns summary – sorted by excess return Last 12 Mo. (As of 12/31/25) 2024 12/31/2025 Last 12 Mo. (As of 12/31/25) 2024 12/31/2025 Excess Return Ex
Slide 41: Securitized Products Returns December 2025
Securitized Products Returns December 2025 Securitized products total and excess returns versus swaps Source: BofA Global Research - Securitized Products Returns for December 2025/ Securitized Products Strategy / 02 January 2026 41
Slide 42: Dividend Tax Characterization
Orchid Island Capital Dividend Tax Characterization Distribution Rate Per Total Ordinary Total Capital Gain Nondividend Record Date Payment Date Share Dividends Qualified Dividend Distribution Distributions Section 199A Dividend Form 1099 - DIV Box 1a Box 1b Box 2a Box 3 Box 5 12/29/2023 1/29/2024 $
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