Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q2 2021 Earnings Presentation
33 slides from Orchid Island Capital's earnings presentation, Jul 30, 2021
Slide 1: Q2 2021 Earnings Supplemental Materials
8 Q2 2021 Earnings Supplemental Materials June 30, 2021 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 June 30, 2021 4–7 Market Developments 8 – 16 Financial Results 17 – 21 Portfolio Characteristics, Credit Counterparties & Hedge 22 – 28 Positions Appendix 29 – 33 3
Slide 4: Financial Highlights for the Quarter Ended June 30, 2021
Financial Highlights for the Quarter Ended June 30, 2021 • Net loss per share of $0.17 • Net earnings per share of $0.24, excluding realized and unrealized gains/(losses) on RMBS and derivative instruments, including net interest expense on interest rate swaps (See page 30 for reconciliation of this
Slide 5: Peer Stock Price Performance as of June 30, 2021
Peer Stock Price Performance as of June 30, 2021 ORC Total Peer ORC Spread Over / (Under) Time Period Rate of Return(1) Average(1)(2) Peer Average(3) Year To Date 6.7% 12.6% (5.9)% One Year Total Return 27.3% 45.4% (18.1)% Two Year Total Return 12.1% 2.6% 9.5% Three Year Total Return 9.2% (2.2)% 11.
Slide 6: Q1 2021 Peer Book Value Performance
Q1 2021 Peer Book Value Performance ORC Total Peer ORC Spread Over / (Under) Peer Time Period Rate of Return(1) Average(1)(2) Average(3) One Year Total Return 22.1% 21.1% 1.0% Two Year Total Return (2.2)% (7.4)% 5.2% Three Year Total Return (5.6)% (8.2)% 2.6% Four Year Total Return (6.7)% (2.9)% (3.
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 3.0% 3.0% 2.5% 30Yr 2.5% 2.0% 2.0% 30Yr 10Yr 10Yr Yield (%) Yield (%) 7Yr 7Yr 1.5% 1.5% 5Yr 1.0% 5Yr 1.0% 03/31/21 3Yr 03/31/21 06/30/21 2Yr 06/30/21 0.5% 07/23/21 0.5% 6Mo 07/23/21 6mo 3Yr 2Yr 1Yr 0.0% 1YR 0.0%
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 Q2 2021 2 Year Look Back 10-Year U.S. Treasury Note 10-Year U.S. Treasury Note 2.00% 2.50% 2.00% 1.80% 1.50% 1.60% 1.00% -54 bps Change 1.40% -20 bps Change 0.50% 1.20% 0.00% Mar-21 Apr-21 May-21 Jun-21 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 D
Slide 10: 5-Year Treasury Note and 30-Year 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% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% Feb-13 Source: Bloomberg Data Feb-13 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 High: 3.96
Slide 11: Mortgage Market Update: TBA & Roll vs Specified Pool
Mortgage Market Update: TBA & Roll vs Specified Pool 102 FNCL Change 300 '85k Max' Specified Pool Payup over TBA 275 250 225 101 200 Payup (ticks) 175 150 100 125 100 75 99 50 25 0 98 Mar-21 Apr-21 May-21 Jun-21 FNCL 2.0 FNCL 2.5 FNCL 3.0 FNCL 3.5 FNCL 4.0 FN 85k 2.0 FN 85k 2.5 FN 85k 3.0 FN 85k 3.5
Slide 12: Swaption Implied Volatility
Swaption Implied Volatility 3m x 10Y Normal Vol 100 95 90 85 80 75 70 65 60 55 50 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 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 LOAS & Specified Pool Pay-up 140 200 120 180 160 100 140 LOAS / Pay-up 80 120 LOAS 60 100 40 80 60 20 40 0 20 -20 0 -40 -20 30Y 3s UMBS/FNMA OAS to Libor 30Y 3.5s UMBS/FNMA OAS to Libor 30Y 3s UMBS/FNMA OAS to Libor Specified Pool Pa
Slide 14: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q2 2021
Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q2 2021 Q2 2021 Returns 9% 8.53% 8% 7% 6% 5% 4.12% 4% 3.54% 2.33% 3.25% 3% 1.41% 2.75% 2% 1.74% 1.86% 1.72% 1.83% 1% 0.33% 0.34% 0% YTD 2021 Returns 18% 16% 15.20% 14% 12% 10% 8% 6% 3.62% 4% 1.06% 1.73% 2% 0.18% 0.76% 0% -2%
Slide 15: Refinancing Activity
Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 5,500 250 4.3 4,500 4.0 200 Mortgage Rate (%) Refi Index 3,500 3.7 bps 150 3.4 2,500 3.1 100 1,500 2.8 500 2.5 50 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Aggregate Refi Index Mortgage Rates (
Slide 16: Financial Results
Financial Results 16 S-ORCHIDISLAND
Slide 17: Financial Results for the Three Months Ended June 30, 2021
Orchid Island Capital Financial Results for the Three Months Ended June 30, 2021 Income Statement MBS Portfolio Returns by Sector Net Income Excluding Realized and Structured Security Portfolio (1) Realized and Unrealized Total Interest- Inverse Unrealized Gains Gains/(Losses) Pass-Through Only Inte
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% 4.50% 4.07% 4.18% 4.15% 4.25% 3.96% 4.11% 3.95% 3.91% 4.05% 3.62% 3.79% 4.00% 3.62% 3.57% 3.57% 3.66% 3.63% 3.48% 3.42% 3.49% 3.29% 3.25% 3.18% 3.50% 3.04% 2.78
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 $0.62 $0.71 $0.63 $0.67 $0.62 $0.50 $0.56 $0.67 $0.29 $0.74 $0.49 $0.24 $0.69 $0.41 $0.50 $0.63 $0.62 $0.31 $0.42 $0.66 $0.63 $0.22 $0.56 $0.53 $0.33 $0.30 $0.41 $0.33 $0.36
Slide 20: Peer Dividend Performance
Peer Dividend Performance 20% Annualized Dividend / Beg BV 15% 10% 5% 0% ORC Peer Average Annualized Dividend / Beg Stock Price 25% 20% 15% 10% 5% 0% ORC Peer Average Source: Company Press Releases, Bloomberg Data 20
Slide 21: Capital Allocation & MBS Portfolio Activity for Three Months Ended June 30, 2021
Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended June 30, 2021 Capital Allocation Portfolio Activity ($ in thousands) ($ in thousands) Structured Security Portfolio Structured Security Portfolio Pass- Interest- Inverse Through Only Interest Only Pass-Through Interest-Onl
Slide 22: Portfolio Characteristics, Credit Counterparties & Hedge Positions
Portfolio Characteristics, Credit Counterparties & Hedge Positions 22
Slide 23: MBS Portfolio Characteristics as of June 30, 2021
Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2021 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 2.5 $ 231,273,951 $ 244,657,238 5.24% $ 105.79 2.50% 2.87% 6 17
Slide 24: Portfolio High Quality Specs Allocation
Portfolio High Quality Specs Allocation Percent of PT Portfolio (by MV) Allocated to High Quality Specified Pools 90% 6,000 80% 5,000 70% 4,000 60% 3,000 50% 2,000 40% 1,000 30% 0 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 High Quality Sp
Slide 25: Performance versus FNMA Fixed Rate Coupon Cohort
Performance versus FNMA Fixed Rate Coupon Cohort 45 June CPR 45 May CPR 40 40 35 35 30 30 25 25 CPR CPR 20 20 15 15 10 10 5 5 0 0 15yr Total 20yr 2.0 30yr 2.5 30yr 3.0 30yr 3.5 30yr 4.0 30yr 4.5 15yr Total 20yr 2.0 30yr 2.5 30yr 3.0 30yr 3.5 30yr 4.0 30yr 4.5 ORC Cohort ORC Cohort 50 Apr CPR 100% Qu
Slide 26: 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% 2.20% 2.00% 1.80% 1.60% 1.32% 1.46% 1.40% 1.20% 1.00% 0.98% 1.22% 0.80% 0.63% 0.60% 0.40% 0.20% 0.00% ORC Prepay Ratio Average -1 Standard Deviation +1 Standard Deviati
Slide 27: 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 6/30/2021 Weighted 11.0 Average Dollar Amount maturity in Longest Counterparty of Borrowings % of Total Days Maturity 9.9 10.0 9.7 M
Slide 28: Hedge Positions
Orchid Island Capital Hedge Positions Eurodollar Futures Swap Agreements ($ in thousands) ($ in thousands) Eurodollar Futures Contract Weighted Weighted Average Net Average As of 06/30/2021 Notional Average Fixed Contracts (Short Notional Average Entry Average Effective Open Equity(1) Receive Estima
Slide 29: Appendix
Appendix 29 S-ORCHIDISLAND
Slide 30: Earnings Per Share Support Data
Orchid Island Capital Earnings Per Share Support Data Realized and Net Earnings Less Realized and Net Earnings Less Weighted Average Net Income Per Unrealized Gains Realized and Quarter Net Income (GAAP) Unrealized Gains and Realized and Unrealized Shares Outstanding Share and Losses Per Unrealized
Slide 31: ORC Historical Portfolio Breakdown
ORC Historical Portfolio Breakdown ORC Historical Portfolio Breakdown 5,000 4,500 4,000 3,500 Market Value (in Millions of Dollars) 3,000 2,500 2,000 1,500 1,000 500 0 15-Year Fixed Rate RMBS 20-Year Fixed Rate RMBS 30-Year Fixed Rate RMBS CMO TBA Deriv Source: Company Press Releases 31
Slide 32: Securitized Products Returns June 2021
Securitized Products Returns June 2021 Source: Securitized Products Returns for June 2021/ Securitized Products Strategy / 02 July 2021 32
Slide 33: Securitized Products Returns June 2021
Securitized Products Returns June 2021 Source: Securitized Products Returns for June 2021/ Securitized Products Strategy / 02 July 2021 33
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