Orchid Island Capital, Inc. · NYSE:ORC

Orchid Island Capital — Q3 2021 Earnings Presentation

33 slides from Orchid Island Capital's earnings presentation, Oct 29, 2021

  1. Slide 1: Q3 2021 Earnings Supplemental Materials

    8 Q3 2021 Earnings Supplemental Materials October 29, 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 September 30, 2021 4–6  Market Developments 7 – 15  Financial Results 16 – 21  Portfolio Characteristics, Credit Counterparties & Hedge 22 – 28 Positions  Appendix 29 – 33 3

  4. Slide 4: Financial Highlights for the Quarter Ended September 30, 2021

    Financial Highlights for the Quarter Ended September 30, 2021 • Net income per share of $0.20 • Net earnings per share of $0.22, excluding realized and unrealized gains/(losses) on RMBS and derivative instruments, including net interest expense on interest rate swaps (See page 30 for reconciliation

  5. Slide 5: Peer Stock Price Performance as of September 30, 2021

    Peer Stock Price Performance as of September 30, 2021 ORC Total Peer ORC Spread Over / (Under) Time Period Rate of Return(1) Average(1)(2) Peer Average(3) Year To Date 4.5% 4.7% (0.2)% One Year Total Return 12.9% 28.8% (15.9)% Two Year Total Return 16.7% 4.3% 12.4% Three Year Total Return 7.4% (7.5)

  6. Slide 6: Q2 2021 Peer Book Value Performance

    Q2 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 4.7% 5.9% (1.2)% Two Year Total Return (3.6)% (10.2)% 6.6% Three Year Total Return (6.7)% (12.9)% 6.2% Four Year Total Return (6.5)% (10.7)%

  7. Slide 7: Market Developments

    Market Developments 7 SORGHIDISLAND

  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 2.5% 30Yr 2.5% 20Yr 30Yr 2.0% 2.0% 20Yr 10Yr 10Yr 7Yr 7Yr 1.5% 1.5% Yield (%) Yield (%) 5Yr 1.0% 1.0% 5Yr 03/31/21 03/31/21 06/30/21 06/30/21 09/30/21 2Yr 09/30/21 0.5% 0.5% 3Yr 6mo 6Mo 3Yr 3Mo 1Yr 0.0% 1YR 2Yr 0

  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 Q3 2021 2 Year Look Back 10-Year U.S. Treasury Note 10-Year U.S. Treasury Note 1.80% 2.50% 1.70% 2.00% 1.60% 1.50% +2 bps Change 1.50% 1.40% 1.00% 1.30% -18 bps Change 1.20% 0.50% 1.10% 1.00% 0.00% Jun-21 Jul-21 Aug-21 Sep-21 Sep-19 Dec-19 Mar-20

  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% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% Mar-13 Mar-13 Source: Bloomberg Data Jun-13 Jun-13 Sep-13 Sep-13 Dec-13 Dec-13 High: 2.538 11/20/13 Mar-14 Mar-14 Jun-14 Jun-14 Sep-14 Sep-14 High: 3.963% 12/31/13 Dec-14 Dec-14 Mar-15 Mar-15 Jun

  11. 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 101.5 300 275 101.0 250 225 100.5 200 Payup (ticks) 175 100.0 150 125 99.5 100 75 50 99.0 25 0 98.5 Jun-21 Jul-21 Aug-21 Sep-21 FNCL 2.0 FNCL 2.5 FNCL 3.0 FNCL 3.5 FNCL 4.0 FN 85k 2.0 FN 85k 2.5

  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 Sep-20 Dec-20 Mar-21 Jun-21 Sep-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 3.0 LOAS & Specified Pool Pay-up 220 220 200 200 180 180 160 160 140 140 LOAS / Pay-up 120 120 LOAS 100 100 80 80 60 60 40 40 20 20 0 0 -20 -20 -40 -40 -60 -60 30Y 3s UMBS/FNMA OAS to Libor Specified Pool Payup, FN3.0 LLB 30Y 3s UMBS/FNM

  14. Slide 14: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q3 2021

    Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q3 2021 Q3 2021 Returns 2.0% 1.75% 1.5% 1.0% 0.88% 0.58% 0.5% 0.05% 0.10% 0.08% 0.05% 0.00% 0.10% 0.0% -0.03% -0.10% -0.5% -0.27% -1.0% -1.5% -1.65% -2.0% 20% Q3 YTD 2021 Returns 15.91% 15% 10% 4.53% 5% 3.51% 0.23% 0.79% 0%

  15. Slide 15: Refinancing Activity

    Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 5,500 250 4.3 4,500 Mortgage Rate (%) 4.0 200 Refi Index 3,500 3.7 bps 150 3.4 2,500 3.1 100 1,500 2.8 500 2.5 50 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Aggregate Refi Index Mortgage Rates (

  16. Slide 16: Financial Results

    Financial Results 16 S-ORCHIDISLAND

  17. Slide 17: Orchid Island Capital Financial Results for the Three Months Ended September 30, 2021

    Orchid Island Capital Financial Results for the Three Months Ended September 30, 2021 Income Statement MBS Portfolio Returns by Sector Net Income Realized and Structured Security Portfolio Excluding Realized Unrealized Total(1) and Unrealized Pass- Interest- Inverse Gains/(Losses) Gains and Losses T

  18. Slide 18: Orchid 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% 3.49% 3.29% 3.25% 3.42% 3.50% 3.18% 3.04% 2.78

  19. Slide 19: Orchid Earnings Per Share (EPS) 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 $0.42 $0.49 $0.24 $0.69 $0.62 $0.41 $0.24 $0.50 $0.66 $0.63 $0.63 $0.22 $0.31 $0.30 $0.56 $0.53 $0.33 $0.26 $0.41

  20. Slide 20: Peer Dividend Performance

    Peer Dividend Performance(1) Annualized Dividend / Beg BV 20% 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

  21. Slide 21: Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended September 30, 2021

    Orchid Capital Allocation & MBS Portfolio Activity for the Three Months Ended September 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 Interes

  22. Slide 22: Portfolio Characteristics, Credit Counterparties & Hedge Positions

    Portfolio Characteristics, Credit Counterparties & Hedge Positions 22

  23. Slide 23: Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2021

    Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2021 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 $ 223,524,465 $ 235,988,019 4.21% $ 105.58 2.50% 2.87%

  24. 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 Sep-21 High Qua

  25. Slide 25: Performance versus FNMA Fixed Rate Coupon Cohort

    Performance versus FNMA Fixed Rate Coupon Cohort Sep CPR 40 Aug CPR 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 Jul CPR Quarterly CPR Per

  26. 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% 1.49% 1.40% 1.32% 1.20% 1.00% 0.98% 0.94% 0.80% 0.63% 0.60% 0.40% 0.20% 0.00% Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Sep-21 Mar

  27. Slide 27: Orchid 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 September 30, 2021 11.0 Total Outstanding Weighted Average Counterparty % of Total Longest Maturity Balances Maturity in Days 9.9 10

  28. Slide 28: Orchid Island Capital Hedge Positions

    Orchid Island Capital Hedge Positions Eurodollar Futures Swap Agreements ($ in thousands) ($ in thousands) As of 09/30/2021 Eurodollar Futures Weighted Weighted Average Net Average Contract Notional Notional Average Fixed Pay Contracts (Short Average Entry Average Open Equity(1) Receive Estimated Ma

  29. Slide 29: Appendix

    Appendix 29 S-ORCHIDISLAND

  30. Slide 30: Orchid Island Capital Earnings Per Share Support Data

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

  31. Slide 31: ORC Historical Portfolio Breakdown

    ORC Historical Portfolio Breakdown ORC Historical Portfolio Breakdown 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 31

  32. Slide 32: Securitized Products Returns September 2021

    Securitized Products Returns September 2021 2021 year-to-date and 2020 returns summary – sorted by 2021 total return 2021 year-to-date and 2020 returns summary – sorted by 2021 excess return 2021 YTD (As of 9/30/21) 2020 9/30/2021 2021 YTD (As of 9/30/21) 2020 9/30/2021 Total Excess Return (vs. Tota

  33. Slide 33: Securitized Products Returns September 2021

    Securitized Products Returns September 2021 Securitized products total and excess returns versus swaps/Libor Total Returns Excess Returns vs. Swaps/Libor Total Returns Excess Returns vs. Swaps/Libor Mod Dur 21-Sep QTD YTD 2020 21-Sep QTD YTD 2020 Mod Dur 21-Sep QTD YTD 2020 21-Sep QTD YTD 2020 Agenc

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