Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q3 2025 Earnings Presentation
37 slides from Orchid Island Capital's earnings presentation, Oct 24, 2025
Slide 1: Q3 2025 Earnings Supplemental Materials
8 Q3 2025 Earnings Supplemental Materials October 24, 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 - 37 3
Slide 4: Financial Results
Financial Results 4 S-ORCHIDISLAND
Slide 5: Financial Highlights for the Quarter Ended September 30, 2025
Financial Highlights for the Quarter Ended September 30, 2025 Net Income (Loss)1 Book Value 1 Q3 25 Q2 25 Q3 25 Q2 25 $0.53 $(0.29) $7.33 $7.21 Total Return 2 Dividend Declared 1 Q3 25 Q2 25 Q3 25 Q2 25 6.7% (4.7)% $0.36 $ 0.36 1. Data is on a per share basis 2. Equal to (a) the sum of dividends dec
Slide 6: Portfolio Highlights for the Quarter Ended September 30, 2025
Portfolio Highlights for the Quarter Ended September 30, 2025 Average MBS Balances Economic Leverage Ratio 1 (in millions) Q3 25 Q2 25 Q3 25 Q2 25 $7,675 $ 6,866 7.4 7.3 Speeds Liquidity 2 (3mo. Portfolio CPR) Q3 25 Q2 25 Q3 25 Q2 25 10.1 10.1 57.1% 54.0% 1. The economic leverage ratio is calculated
Slide 7: Orchid Island Capital Financial Results for the Quarter Ended September 30, 2025
Orchid Island Capital Financial Results for the Quarter Ended September 30, 2025 Income Statement Balance Sheet ($ in thousands, except for per share data) ($ in thousands, except for per share data) Three Months Ended September 30, 30-Sep-25 31-Dec-24 2025 2024 ASSETS: Interest income $ 108,434 $ 6
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% U.S. Treasury Curve 5.0% SOFR Swap Curve 30Yr 1Mo 4.5% 4.5% 3Mo 1Mo 6Mo 3Mo 1Yr 30Yr Yield (%) Yield (%) 4.0% 4.0% 6Mo 10Yr 7Yr 1Yr 3.5% 3.5% 5Yr 06/30/25 10Yr 06/30/25 3Yr 09/30/25 7Yr 09/30/25 2Yr 5Yr 10/17/25 10/17/25 2Yr 3Yr 3.0% 3.0% 3.0%
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 05/26/23: 200 bps 200 12/13/22: 190 bps 10/17/25: 100 bps 150 03/19/20: 165 bps 100 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 3m x 10Y Normal Vol 120 110 100 90 80 70 Sep-24 Dec-24 Mar-25 Jun-25 Sep-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 11
Slide 12: Swap Spreads
Swap Spreads Swap Spread by Tenor 0.00 4/1/2025 5/1/2025 6/1/2025 7/1/2025 8/1/2025 9/1/2025 10/1/2025 -10.00 Hedge Weight by DV01 3.0% 2.6% -20.00 21.3% -30.00 73.1% -40.00 Weighted average maturity of 5 years, 5 months SOFR Futures Treasury Futures Swaps TBA Shorts -50.00 *DV01 for Orchid hedge po
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 - 1,168 Mortgage Rates (0-pt) - 6.57% Refi Index vs.
Slide 14: U.S. Economy
U.S. Economy U.S. GDP vs Money Supply 35.0 30.0 25.0 20.0 Tillions ($) 15.0 10.0 5.0 0.0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 U.S. Money Supply - M2 U.S. GDP - Nominal Dollars Source: Bloomberg Data 14
Slide 15: Portfolio Characteristics & Hedge Positions
Portfolio Characteristics & Hedge Positions 15
Slide 16: Investment Portfolio
Investment Portfolio For levered RMBS investors, the third quarter of 2025 provided supportive market conditions. Interest rate volatility was low, and implied volatility in the swaptions market declined towards multi-year lows over the course of the quarter. The labor market data released during th
Slide 17: Investment Portfolio Pass-Through Holdings
Investment Portfolio Pass-Through Holdings The weighted average coupon of Orchid’s pass-through portfolio continued to drift higher as portfolio additions were all in the 5.0% through 6.5% coupons. However, additions to the portfolio in the third quarter were concentrated in the 5.5% and 6.0% coupon
Slide 18: Investment Portfolio Funding Costs as of September 30, 2025
Investment Portfolio Funding Costs as of September 30, 2025 Funding spreads in the repo market continue to be elevated around month/quarter/year end. The Federal Reserve has signaled they will end quantitative tightening in the coming months, and this should prevent reserve levels from becoming too
Slide 19: Hedging Positions
Hedging Positions Orchid has hedge positions equal to approximately 70% of our repo funding liability with continued emphasis on interest rate swaps and a longer duration bias. The continued migration of the pass-through portfolio into higher coupon, lower duration assets hedged with predominantly l
Slide 20: Hedging Positions
Hedging Positions Interest Rate Futures Swap Agreements ($ 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 continued to increase during the third quarter. We deployed the proceeds of our capital raising in higher coupon securities with call protection at modest premiums to TBA securities. As interest rates decreased anticipated pr
Slide 24: Orchid Island Capital – Q3 Wrap-up and Outlook
Orchid Island Capital – Q3 Wrap-up and Outlook The third quarter of 2025 may prove to be a pivotal period. The labor market showed clear signs of weakness and the Federal Reserve pivoted away from their inflation mandate and towards addressing the risk to their full employment mandate. The impact of
Slide 25: Appendix
Appendix 25 S-ORCHIDISLAND
Slide 26: ACM 10 Year Treasury Term Premia
ACM 10 Year Treasury Term Premia 4.00% 3.00% 2.00% 10/16/25: 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 -1.00% -2.00% Source: Bloomberg Data 26
Slide 27: Current Coupon Mortgage Spreads
Current Coupon Mortgage Spreads 200 160 120 7 Yr Swap Spread 10 Yr U.S. Treasury Spread 80 Sep-2022 Sep-2023 Sep-2024 Sep-2025 Source: Bloomberg Data 27
Slide 28: Commercial Bank & Federal Reserve MBS Holdings
Commercial Bank & Federal Reserve MBS Holdings Commercial Banks & Federal Reserve Holdings of MBS $3,200 10/01/25: $2,703.6 High: $2,987 02/01/22 $3,000 $2,800 $2,600 High: $2,718 08/01/22 $2,400 $ billions $2,200 $2,000 $1,800 10/01/25: $2,086.0 $1,600 $1,400 $1,200 Jan-20 Apr-20 Jul-20 Oct-20 Jan-
Slide 29: Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component
Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Q3 2025 Returns 9% 8.11% 7% 5% 3.58% 2.60% 3.00% 2.53% 3.08% 2.43% 2.23% 2.03% 2.10% 3% 1.64% 1.51% 1.75% 1% -1% -3% -5% YTD 2025 Returns as of 09/30/25 16% 14.81% 12% 8.39% 8.66% 8% 6.76% 6.71% 6.88% 6.87% 7.22% 6.32% 6.13%
Slide 30: Leverage Ratio
Orchid Island Capital Leverage Ratio History 11.0 10.0 7.4 Leverage Ratio 9.0 8.0 7.0 7.4 6.0 5.0 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Mar-23 Mar-24 Mar-25 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Sep-21 Sep-22 Sep-23 Sep-24 Sep-25 Adjusted Leverage (1) Economic Leverage (2) 1. The adju
Slide 31: Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2025
Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2025 Percent of Current Int Rate Sensitivity Int Rate Sensitivity Type Face FMV Portfolio Price CPN GWAC AGE WA Mat 1m CPR 3m CPR (-50 BPS) (+50 BPS) Fixed Rate MBS 15yr TBA 5.0 250,000,000 252,714,850 2.94% 101.09 5.00% 5.84% 5
Slide 32: Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2025
Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2025 Percent of Current Int Rate Sensitivity Int Rate Sensitivity Type Face FMV Portfolio Price CPN GWAC AGE WA Mat 1m CPR 3m CPR (-50 BPS) (+50 BPS) Fixed Rate MBS 30yr 3.0 855,064,947 755,429,547 10.80% 88.35 3.00% 3.48% 52 300 6.3
Slide 33: Orchid Credit Counterparties
Orchid Credit Counterparties ($ in thousands) As of September 30, 2025 Weighted Total Average Counterparty Outstanding % of Total Longest Maturity Maturity in Balances Days J.P. Morgan Securities LLC 511,662 6.39% 20 10/23/2025 Citigroup Global Markets Inc 437,979 5.47% 34 12/1/2025 DV Securities, L
Slide 34: 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 35: 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 36: Securitized Products Returns September 2025
Securitized Products Returns September 2025 Last 12 months from September 2024 return summary – sorted by total returns Last 12 months from September 2024 returns summary – sorted by excess return Last 12 Mo. (As of 9/30/25) 2024 9/30/2025 Last 12 Mo. (As of 9/30/25) 2024 9/30/2025 Excess Return Exc
Slide 37: Securitized Products Returns September 2025
Securitized Products Returns September 2025 Securitized products total and excess returns versus swaps Source: BofA Global Research - Securitized Products Returns for September 2025/ Securitized Products Strategy / 01 October 2025 37
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