Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q1 2025 Earnings Presentation
36 slides from Orchid Island Capital's earnings presentation, Apr 25, 2025
Slide 1: Q1 2025 Earnings Supplemental Materials
8 Q1 2025 Earnings Supplemental Materials April 25, 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 4-7 Market Developments 8 - 14 Portfolio Characteristics & Hedge Positions 15 - 24 Appendix 25 - 36 3
Slide 4: Financial Results
Financial Results 4 S-ORCHIDISLAND
Slide 5: Financial Highlights for the Quarter Ended March 31, 2025
Financial Highlights for the Quarter Ended March 31, 2025 Net Income (Loss)1 Book Value 1 Q1 25 Q4 24 Q1 25 Q4 24 $0.18 $0.07 $7.94 $8.09 Total Return 2 Dividend Declared 1 Q1 25 Q4 24 Q1 25 Q4 24 2.60% 0.60% $0.36 $0.36 1. Data is on a per share basis 2. Equal to (a) the sum of dividends declared a
Slide 6: Portfolio Highlights for the Quarter Ended March 31, 2025
Portfolio Highlights for the Quarter Ended March 31, 2025 Average MBS Balances Economic Leverage Ratio 1 (in millions) Q1 25 Q4 24 Q1 25 Q4 24 $5,996 $ 5,348 7.8 7.3 Speeds Liquidity 2 (3mo. Portfolio CPR) Q1 25 Q4 24 Q1 25 Q4 24 7.8 10.5 52.2% 52.9 % 1. The economic leverage ratio is calculated by
Slide 7: Orchid Island Capital Financial Results for the Quarter Ended March 31, 2025
Orchid Island Capital Financial Results for the Quarter Ended March 31, 2025 Income Statement Balance Sheet ($ in thousands, except for per share data) ($ in thousands, except for per share data) Three Months Ended March 31, 31-Mar-25 31-Dec-24 2025 2024 ASSETS: Interest income $ 81,090 $ 48,871 Mor
Slide 8: Market Developments
Market Developments 8 S-ORCHIDISLAND
Slide 9: U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve
U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve 5.0% US Treasury Curve 5.0% SOFR Swap Curve 30Yr 1Mo 2Yr 3Yr 3Mo 5Yr 7Yr 10Yr 6Mo 1Yr 4.5% 4.5% 1Yr 6Mo 12/31/24 2Yr 3Yr 12/31/24 5Yr 03/31/25 Yield (%) 03/31/25 Yield (%) 04/17/25 7Yr 10Yr 04/17/25 30Yr 4.0% 4.0% 3Mo 1Mo 3.5% 3.5% 3.0% 3-Month Tre
Slide 10: 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 04/17/25: 139 bps 50 0 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Jan-2020 Jan-20
Slide 11: Swaption Implied Volatility
Swaption Implied Volatility 125 3m x 10Y Normal Vol 120 115 110 105 100 95 90 85 Mar-24 Jun-24 Sep-24 Dec-24 Mar-25 3M x 10Y USD Normal Annual RFR Vol (BPS/ANNUM) Swaption Implied Volatility (MOVE Index) 200 180 160 140 120 100 80 60 40 20 Source: Citi Velocity, Bloomberg Data 11
Slide 12: Swap Spreads
Swap Spreads Swap Spread by Tenor Swap Spread DTD Change by Tenor -10.00 8.00 12/31/2024 1/31/2025 2/28/2025 3/31/2025 4.00 -20.00 0.00 12/31/2024 1/31/2025 2/28/2025 3/31/2025 -4.00 -30.00 -8.00 2yr Swap DTD Change 5yr Swap DTD Change 7yr Swap DTD Change 10yr Swap DTD Change -40.00 Hedge Weight by
Slide 13: 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 - 961 Mortgage Rates (0-pt) - 6.86% Refi Index vs. P
Slide 14: U.S. Economy
U.S. Economy U.S. GDP vs Money Supply 35.0 30.0 25.0 20.0 Tillions ($) 15.0 10.0 5.0 0.0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 U.S. Money Supply - M2 U.S. GDP - Nominal Dollars Source: Bloomberg Data 14
Slide 15: Portfolio Characteristics & Hedge Positions
Portfolio Characteristics & Hedge Positions 15
Slide 16: Investment Portfolio
Investment Portfolio Market conditions from the fourth quarter of 2024 carried over to the first quarter of 2025, at least until late March. The economy remained stable, the labor market steady and inflation remained stubbornly above the Fed’s 2% target. Communications from the Fed to the market mad
Slide 17: Investment Portfolio Pass-Through Holdings
Investment Portfolio Pass-Through Holdings We shifted Orchid’s MBS portfolio towards a more up-in-coupon bias. We have used the proceeds from our capital raising, paydowns and sales of lower coupon securities to fund acquisitions exclusively in the higher coupons. We have increased the weighted aver
Slide 18: Investment Portfolio Funding Costs as of March 31, 2025
Investment Portfolio Funding Costs as of March 31, 2025 Interest rate cuts by the Federal Reserve in 2024 lowered Orchid’s unhedged funding costs while hedged funding costs, or our economic cost of funds, remains in the prevailing range of the last two years. Funding spreads to Fed funds over year-e
Slide 19: Hedging Positions
Hedging Positions Orchid has hedge positions equal to approximately 74% of our repo funding liability with less emphasis on interest rate swaps but maintained the longer duration bias. The migration of the pass-through portfolio into higher coupon, lower duration assets hedged with predominantly lon
Slide 20: Hedging Positions
Hedging Positions Interest Rate Futures Swap Agreements ($ 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 21: 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 22: 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 23: Investment Portfolio Prepayment Experience
Investment Portfolio Prepayment Experience Orchid’s higher coupon holdings increased during the first quarter but with interest rates fairly stable over the quarter prepayment rates remained fairly low, even after the seasonal trough in January/February. Our discount holdings continued to benefit fr
Slide 24: Orchid Island Capital – Q1 Wrap-up and Outlook
Orchid Island Capital – Q1 Wrap-up and Outlook Prevailing market conditions did not change from early in the fourth quarter of 2024 through late in the first quarter of 2025. The economy was strong, the labor market resilient and inflation stubbornly still above the Fed’s 2% target. We adjusted Orch
Slide 25: Appendix
Appendix 25 S-ORCHIDISLAND
Slide 26: 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 04/02/25: 2670.2 2,800 2,600 High: 2,718 08/01/22 2,400 2,200 2,000 04/02/25: 2189.0 1,800 1,600 1,400 1,200 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-
Slide 27: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component
Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q1 2025 Returns 5% 4.17% 3.06% 2.92% 2.78% 2.78% 2.57% 2.63% 2.31% 3% 1.53% 1.60% 1.00% 1% -1% -0.22% -3% -5% -4.28% Year Ended 12/31/2024 Returns 28% 25.00% 24% 20% 14.90% 16% 12% 8.19% 8% 5.02% 4.68% 4% 1.20% 1.70% 1.25% 2
Slide 28: Nationstar Portfolio Impact
Nationstar Portfolio Impact Rocket Companies announced the purchase of Nationstar Mortgage LLC (Mr. Cooper) on March 31, 2025. Rocket Companies, which is known for faster than average prepayment speeds, could potentially impact prepayment speeds of Nationstar serviced mortgages. The actual impact an
Slide 29: Orchid Island Capital Leverage Ratio History
Orchid Island Capital Leverage Ratio History 11.0 10.0 Leverage Ratio 9.0 7.8 8.0 7.0 7.5 6.0 5.0 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Mar-23 Mar-24 Mar-25 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Sep-21 Sep-22 Sep-23 Sep-24 Adjusted Leverage (1) Economic Leverage (2) 1. The adju
Slide 30: MBS Portfolio Characteristics as of March 31, 2025
Orchid Island Capital MBS Portfolio Characteristics as of March 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 5.0 TBA 200,000,000 200,773,420 2.89% 100.39 5.00% 5.85% 8 168
Slide 31: 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 32: Orchid Credit Counterparties
Orchid Credit Counterparties ($ in thousands) As of March 31, 2025 Weighted Total Average Counterparty Outstanding % of Total Longest Maturity Maturity in Balances Days J.P. Morgan Securities LLC 360,622 5.62% 44 5/21/2025 Wells Fargo Bank, N.A. 357,342 5.57% 20 5/13/2025 MUFG Securities Canada, Ltd
Slide 33: 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 34: 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 to date and 2024 on both a GAAP and economi
Slide 35: Securitized Products Returns March 2025
Securitized Products Returns March 2025 Last 12 months from March 2024 return summary – sorted by total returns Last 12 months from March 2024 returns summary – sorted by excess return Last 12 Mo. (As of 3/31/25) 2024 3/31/2025 Last 12 Mo. (As of 3/31/25) 2024 3/31/2025 Excess Return Excess Return (
Slide 36: Securitized Products Returns March 2025
Securitized Products Returns March 2025 Securitized products total and excess returns versus swaps Source: BofA Global Research - Securitized Products Returns for March 2025/ Securitized Products Strategy / 01 April 2025 36
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