Orchid Island Capital, Inc. · NYSE:ORC
Orchid Island Capital — Q3 2026 Earnings Presentation
38 slides from Orchid Island Capital's earnings presentation, Oct 23, 2026
Slide 1: Q3 2026 Earnings Supplemental Materials
8 Q3 2026 Earnings Supplemental Materials October 23, 2026 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 - 38 3
Slide 4: Financial Results
Financial Results 4 S-ORCHIDISLAND
Slide 5: Financial Highlights for the Quarter Ended September 30, 2026
Financial Highlights for the Quarter Ended September 30, 2026 Net Income (Loss)1 Book Value 1 Q3 26 Q2 26 Q3 26 Q2 26 $(0.90) $0.44 $6.02 $7. 22 Total Return 2 Dividend Declared 1 Q3 26 Q2 26 Q3 26 Q2 26 (12.5)% 6.2% $0.30 $ 0.30 1. Data is on a per share basis 2. Equal to (a) the sum of dividends d
Slide 6: Portfolio Highlights for the Quarter Ended September 30, 2026
Portfolio Highlights for the Quarter Ended September 30, 2026 Average MBS Balances Economic Leverage Ratio 1, 2 (in millions) Q3 26 Q2 26 Q3 26 Q2 26 $11,104 $ 11, 439 8.6 7.3 Speeds Liquidity 3 (3mo. Portfolio CPR) Q3 26 Q2 26 Q3 26 Q2 26 8.4 10.9 44.0% 53.7% 1. The economic leverage ratio is calcu
Slide 7: Financial Results for the Quarter Ended September 30, 2026
Orchid Island Capital Financial Results for the Quarter Ended September 30, 2026 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-26 31-Dec-25 2026 2025 ASSETS: Interest income $ 164,120 $ 1
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 6.0% U.S. Treasury Curve 6.0% SOFR Swap Curve 5.5% 5.5% 30Yr 30Yr 5.0% 5.0% Yield (%) Yield (%) 7Yr 10Yr 3Yr 5Yr 4.5% 2Yr 4.5% 5Yr 7Yr 1Yr 1Yr 2Yr 3Yr 10Yr 4.0% 6Mo 4.0% 06/30/26 06/30/26 3Mo 6Mo 1Mo 09/30/26 09/30/26 10/16/26 3Mo 10/16/26 3.5% 3.5
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 50 10/16/26: 116 bps 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 110 3m x 10Y Normal Vol 100 90 80 70 60 Sep-25 Dec-25 Mar-26 Jun-26 Sep-26 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 -10.00 6/30/2026 7/31/2026 8/31/2026 9/30/2026 -15.00 Hedge Weight by DV01 0.5% 4.2% -20.00 27.0% -25.00 68.3% -30.00 Weighted average maturity of 4 years, 8 months SOFR Futures Treasury Futures Swaps TBA Shorts -35.00 *DV01 for Orchid hedge portfolio as of 9/30/202
Slide 13: Refinancing Activity
Refinancing Activity Refi Index vs. Mortgage Rates Primary – Secondary Spreads 4,000 8.5 250 7.5 3,000 200 Mortgage Rate (%) 6.5 bps Refi Index 2,000 5.5 150 4.5 1,000 100 3.5 50 0 2.5 Aggregate Refi Index - 516 Mortgage Rates (0-pt) - 7.46% Refi Index vs. Percent In-The-Money (“ITM”) 2,000 20 16 Re
Slide 14: U.S. Economy
U.S. Economy U.S. GDP vs Money Supply 35.0 30.0 25.0 20.0 Tillions ($) 15.0 10.0 5.0 0.0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 U.S. Money Supply - M2 U.S. GDP - Nominal Dollars Source: Bloomberg Data 14
Slide 15: Portfolio Characteristics & Hedge Positions
Portfolio Characteristics & Hedge Positions 15
Slide 16: Investment Portfolio
Investment Portfolio A confluence of factors led interest rates in the US – and across most developed markets in Europe and Asia – to rise to multi- decade highs during the third quarter of 2026. Implied interest rate volatility increased as well to levels last seen when the Iran war commenced. The
Slide 17: Investment Portfolio Pass-Through Holdings
Investment Portfolio Pass-Through Holdings As a result of mark-to-market declines, prepayments received during the quarter not being reinvested and modest asset sales, the portfolio decreased in size by approximately 6.7%, although the coupon allocation remained essentially unchanged. Prevailing mor
Slide 18: Investment Portfolio Funding Costs as of September 30, 2026
Investment Portfolio Funding Costs as of September 30, 2026 The Fed raised the funds rate range by 25 basis points during the quarter, and market pricing implies they will raise rates again over the next year. However, with the Fed’s Reserve Management Purchase program in place and near-record balan
Slide 19: Hedging Positions
Hedging Positions Orchid has hedge positions equal to approximately 99% of our repo funding liability with continued emphasis on interest rate swaps. The notional balance of our hedges increased from 91% at the end of the second quarter of 2026. The duration of our hedges was also increased, particu
Slide 20: Hedging Positions
Hedging Positions Interest Rate Futures Swap Agreements ($ 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 toward 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 Prepayment rates declined further during the third quarter of 2026. With prevailing mortgage rates now in the mid-7% range and the typical seasonal slowdown upon us, speeds are likely to slow further over the course of the fourth quarter of 2026 and first q
Slide 24: Q3 Wrap-up and Outlook
Orchid Island Capital – Q3 Wrap-up and Outlook The third quarter of 2026 provided challenging market conditions akin to the 2022/2023 period, if not worse. Interest rates increased to levels last seen in the early 2000s driven by many factors and, as a result, are unlikely to retreat in the near ter
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% 10/15/26: 0.748% 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 2026 -1.00% -2.00% Source: Bloomberg Data 26
Slide 27: Current Coupon Mortgage Spreads
Current Coupon Mortgage Spreads 190 150 110 7 Yr Swap Spread 10 Yr U.S. Treasury Spread 70 Dec-2022 Dec-2023 Dec-2024 Dec-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 High: $2,987 02/01/22 $3,000 $2,800 $2,600 High: $2,718 08/01/22 10/07/26: $2,689 $2,400 $ billions $2,200 $2,000 $1,800 10/07/26: $1,898 $1,600 $1,400 $1,200 Bank Holdings Fed Holdings Note: Dat
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 2026 Returns 4% 2.33% 2% 0% -2% -0.80% -1.82% -1.82% -4% -3.04% -3.03% -3.23% -3.03% -3.51% -3.94% -3.71% -4.26% -6% -6.35% -8% YTD 2026 Returns as of 09/30/26 14% 12.73% 12% 10% 8% 6% 4% 2% 1.13% 0.26% 0.10% 0% -2% -1.06
Slide 30: Leverage Ratio
Orchid Island Capital Leverage Ratio History 11.0 10.0 8.8 Leverage Ratio 9.0 8.0 7.0 8.6 6.0 5.0 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Mar-23 Mar-24 Mar-25 Mar-26 Sep-16 Sep-17 Sep-18 Sep-19 Sep-20 Sep-21 Sep-22 Sep-23 Sep-24 Sep-25 Sep-26 Adjusted Leverage (1) Economic Leverage (2)(3) 1. The a
Slide 31: Stockholders' Equity vs Expenses
Stockholders’ Equity vs Expenses Stockholders' Equity $1,600 $1,400 $1,200 Annual Growth Rate: 15.0% $1,000 million $ $800 $600 $400 $200 $- 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 Expenses $30 Annual Growth Rate: 11.9% $25 $20 million $ $15 $10 $5 $- 2015 2016 2017 2018 2019 202
Slide 32: Expense Ratio History
Orchid Island Capital Expense Ratio History 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Jun-23 Dec-23 Jun-24 Dec-24 Jun-25 Dec-25 Jun-26 ORC 1. The expense ratio is calculated as the annualized expenses divided by stockholders’ equity Source: Company Press Rel
Slide 33: MBS Portfolio Characteristics as of September 30, 2026
Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2026 Percent of Current Int Rate Sensitivity Int Rate Sensitivity Type Face FMV Portfolio Price CPN GWAC AGE WA Mat 1m CPR 3m CPR (-50 BPS) (+50 BPS) Fixed Rate MBS 15yr TBA 5.5 100,000,000 98,523,440 0.92% 98.52 5.50% 6.23% 16
Slide 34: MBS Portfolio Characteristics as of June 30, 2026
Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2026 Percent of Current Int Rate Sensitivity Int Rate Sensitivity Type Face FMV Portfolio Price CPN GWAC AGE WA Mat 1m CPR 3m CPR (-50 BPS) (+50 BPS) Fixed Rate MBS 30yr 3.0 315,784,509 280,604,876 2.43% 88.86 3.00% 3.52% 62 291 8.1%
Slide 35: Orchid Credit Counterparties
Orchid Credit Counterparties As of September 30, 2026 Total Outstanding Balances Weighted Average Counterparty % of Total Longest Maturity ($ in thousands) Maturity in Days Citigroup Global Markets Inc 466,497 4.50% 20 10/21/2026 Hidden Road Partners Civ US LLC 455,496 4.40% 47 11/16/2026 ABN AMRO B
Slide 36: 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 37: 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 2026 and 2025 on both a GAAP and economic basis.
Slide 38: Securitized Products Returns September 2026
Securitized Products Returns September 2026 Last 12 months from September 2025 return summary – sorted by total returns Last 12 months from September 2025 returns summary – sorted by excess return Last 12 Mo. (As of 09/30/26) 2025 9/30/2026 Last 12 Mo. (As of 09/30/26) 2025 9/30/2026 Excess Return E
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