Orchid Island Capital, Inc. · NYSE:ORC

Orchid Island Capital — Q1 2021 Earnings Presentation

32 slides from Orchid Island Capital's earnings presentation, Apr 30, 2021

  1. Slide 1: Q1 2021 Earnings Supplemental Materials

    8 Q1 2021 Earnings Supplemental Materials April 30, 2021 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 March 31, 2021 4–6  Market Developments 7 – 15  Financial Results 16 – 20  Portfolio Characteristics, Credit Counterparties & Hedge 21 – 27 Positions  Appendix 28 – 32 3

  4. Slide 4: Financial Highlights for the Quarter Ended March 31, 2021

    Financial Highlights for the Quarter Ended March 31, 2021 • Net loss per share of $0.34 • Net earnings per share of $0.26, 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

  5. Slide 5: Peer Stock Price Performance as of March 31, 2021

    Peer Stock Price Performance as of March 31, 2021 ORC Total Peer ORC Spread Over / (Under) Time Period Rate of Return(1) Average(1)(2) Peer Average(3) Year To Date 19.2% 8.6% 10.5% One Year Total Return 135.8% 76.5% 59.3% Two Year Total Return 25.6% (7.7)% 33.4% Three Year Total Return 29.0% 8.2% 20

  6. Slide 6: Q4 2020 Peer Book Value Performance

    Q4 2020 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 (0.3)% (13.2)% 12.9% Two Year Total Return 5.4% (4.0)% 9.4% Three Year Total Return (4.9)% (7.5)% 2.6% Four Year Total Return (1.4)% 3.4% (4.

  7. Slide 7: Market Developments

    Market Developments 7 S-ORCHIDISLAND

  8. 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% 2.5% 2.5% 2.0% 2.0% 1.5% Yield (%) Yield (%) 30Yr 1.5% 30Yr 1.0% 1.0% 10Yr 12/31/20 12/31/20 10Yr 03/31/21 7Yr 0.5% 03/31/21 0.5% 6mo 7Yr 04/23/21 6Mo 5Yr 5Yr 04/23/21 1YR 3Yr 3Yr 1Mo 0.0% 1Mo2Yr 0.0% 1Yr 2Y

  9. 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 2021 2 Year Look Back 1.90% 10-Year U.S. Treasury Note 3.00% 10-Year U.S. Treasury Note +83 bps change 1.70% 2.50% -66 bps Change 1.50% 2.00% 1.30% 1.50% 1.10% 1.00% 0.90% 0.70% 0.50% 0.50% 0.00% Dec-20 Jan-21 Feb-21 Mar-21 Mar-19 Jun-19 Sep-1

  10. 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 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 High: 3.96

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

    Mortgage Market Update: TBA & Roll vs Specified Pool FNCL Change Wells Fargo Production '85k Max' Specified Pool Payup over TBA 102 300 275 101 250 225 100 200 Payup (ticks) 175 99 150 125 98 100 75 97 50 25 96 0 95 Dec-20 Jan-21 Feb-21 Mar-21 FN 85k Max 3.0 FN 85k Max 3.5 FN 85k Max 4.0 FNCL 2.0 FN

  12. Slide 12: Swaption Implied Volatility

    Swaption Implied Volatility 3m x 10Y Normal Vol 100 95 90 85 80 75 70 65 60 55 50 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 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 3.5 LOAS & Specified Pool Pay-up 140 240 220 120 200 100 180 80 160 140 LOAS / Pay-up 60 120 LOAS 40 100 80 20 60 0 40 20 -20 0 -40 -20 -40 -60 -60 -80 -80 30Y 3s UMBS/FNMA OAS to Libor 30Y 3.5s UMBS/FNMA OAS to Libor 30Y 3.5s UMBS/FNMA

  14. Slide 14: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q1 2021

    Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q1 2021 Q1 2021 Returns 8% 5.77% 6% 4% 2% 0.85% 0.00% 0% -0.35% -0.16% -1.10% -1.47% -2% -2.32% -2.86% -3.37% -3.23% -4% -3.62% -4.25% -4.65% -6% Source: Bloomberg Data 14

  15. Slide 15: Refinancing Activity

    Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 5,500 4.0 250 Mortgage Rate (%) 4,500 3.7 200 Refi Index 3,500 3.4 bps 150 2,500 3.1 100 1,500 2.8 500 2.5 50 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Aggregate Refi Index Mortgage Rates (0-pt

  16. Slide 16: Financial Results

    Financial Results 16 S-ORCHIDISLAND

  17. Slide 17: Financial Results for the Three Months Ended March 31, 2021

    Orchid Island Capital Financial Results for the Three Months Ended March 31, 2021 Income Statement MBS Portfolio Returns by Sector Net Income Realized and Structured Security Portfolio Excluding Realized Unrealized Total(1) and Unrealized Gains/(Losses) Pass- Interest- Inverse Gains and Losses Throu

  18. 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

  19. 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 $0.67 $0.29 $0.74 $0.56 $0.49 $0.24 $0.69 $0.62 $0.41 $0.50 $0.63 $0.63 $0.31 $0.42 $0.66 $0.22 $0.56 $0.53 $0.33 $0.30 $0.41 $0.33 $0.36

  20. Slide 20: Capital Allocation & MBS Portfolio Activity for the Three Months Ended March 31, 2021

    Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended March 31, 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-On

  21. Slide 21: Portfolio Characteristics, Credit Counterparties & Hedge Positions

    Portfolio Characteristics, Credit Counterparties & Hedge Positions 21

  22. Slide 22: MBS Portfolio Characteristics as of March 31, 2021

    Orchid Island Capital MBS Portfolio Characteristics as of March 31, 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 2.5 236,588,719 249,067,691 5.74% 105.27 2.50% 2.87% 3 173 2.5

  23. Slide 23: 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 High Quality Spec (lef

  24. Slide 24: Performance versus FNMA Fixed Rate Coupon Cohort

    Performance versus FNMA Fixed Rate Coupon Cohort 60 Mar CPR 60 Feb CPR 50 50 40 40 CPR CPR 30 30 20 20 10 10 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 60 Jan CPR 100% Quarterly CPR Perce

  25. 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% 2.20% 2.00% 1.80% 1.74% 1.60% 1.40% 1.32% 1.20% 1.16% 1.00% 0.97% 0.80% 0.63% 0.60% 0.40% 0.20% 0.00% Mar-13 Jun-13 Sep-13 Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar

  26. 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 March 31, 2021 Dollar Weighted 11.0 Amount of % of Average maturity Longest Counterparty Borrowings Total in Days Maturity Wells Far

  27. Slide 27: Hedge Positions

    Orchid Island Capital Hedge Positions Eurodollar Futures Swaption Agreements Option Underlying Swap ($ in thousands) Eurodollar ($ in thousands) WAVG Receive Weighted As of 03/31/2021 Futures Weighted Weighted Notional Fixed Pay Contract Notional Cost(3) Fair Value Months to Rate Avg Term Contracts

  28. Slide 28: Appendix

    Appendix 28 S-ORCHIDISLAND

  29. Slide 29: Earnings Per Share Support Data

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

  30. Slide 30: ORC Historical Portfolio Breakdown

    ORC Historical Portfolio Breakdown ORC Historical Portfolio Breakdown 5,000 4,500 4,000 Market Value (in Millions of Dollars) 3,500 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 30

  31. Slide 31: Securitized Products Returns March 2021

    Securitized Products Returns March 2021 Source: Securitized Products Returns for March 2021/ Securitized Products Strategy / 02 April 2021 31

  32. Slide 32: Securitized Products Returns March 2021

    Securitized Products Returns March 2021 Source: Securitized Products Returns for March 2021/ Securitized Products Strategy / 02 April 2021 32

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