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8 Q4 2024 Earnings Supplemental Materials January 31, 2025 1
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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, followed by or that include the words “may,” “could,” “would,” “should,” “believe,” “expect,” “anticipate,” “plan,” “estimate,” “target,” “project,” “intend” and similar expressions. These statements include, among others, statements regarding our portfolio and targeted assets, expected performance, dividends, anticipated returns on our investments, interest rates, the mortgage backed securities markets, financing and hedging investment opportunities, funding costs, book value, interest rate sensitivity, the economy, inflation, capital raising and actual or anticipated actions of the Federal Reserve (the “Fed”), and the impact of those actual or anticipated actions on the Company. The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. Some of these factors are described under the caption ‘‘Risk Factors’’ in our Annual Report on Form 10-K. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward looking statements, whether as a result of new information, future events or otherwise. 2
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Table of Contents Topic Point Financial Results 4 - 8 Market Developments 9 - 14 Portfolio Characteristics & Hedge Positions 15 - 24 Appendix 25 - 35 3 Slide(s)
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4 Financial Results
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5 Financial Highlights for the Quarter Ended December 31, 2024 Net Income (Loss)1 Book Value 1 Dividend Declared 1Total Return 2 Q4 24 Q3 24 Q4 24 Q3 24 Q4 24 Q3 24 Q4 24 Q3 24 $8.09 $8.40$0.07 $0.24 $0.36 $0.360.60% 2.10% 1. Data is on a per share basis 2. Equal to (a) the sum of dividends declared and paid during the quarter and changes in book value during the quarter, divided by (b) book value at the beginning of the quarter Source: Company Press Releases
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6 Portfolio Highlights for the Quarter Ended December 31, 2024 Average MBS Balances (in millions) Economic Leverage Ratio 1 Liquidity 2Speeds (3mo. Portfolio CPR) Q4 24 Q3 24 Q4 24 Q3 24 Q4 24 Q3 24 Q4 24 Q3 24 Source: Company Press Releases 7.3 7.6$5,348 $4,984 52.9 % 49.8 %10.5 8.8 1. The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity 2. Liquidity is calculated as the percentage of unrestricted cash, cash equivalents, unpledged RMBS and unpledged U.S. Treasury securities to stockholders’ equity
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7 Financial Highlights for the Year Ended December 31, 2024 Net Income (Loss)1 Book Value 1 Dividend Declared 1Total Return 2 24 23 24 23 24 23 24 23 $8.09 $9.10$0.57 $(0.89) $1.44 $1.804.73% (8.63)% 1. Data is on a per share basis 2. Equal to (a) the sum of dividends declared and paid during the quarter and changes in book value during the quarter, divided by (b) book value at the beginning of the quarter Source: Company Press Releases
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Orchid Island Capital Financial Results for the Year Ended December 31, 2024 8Source: Company Financials Income Statement ($ in thousands, except for per share data) Balance Sheet ($ in thousands, except for per share data) Years Ended December 31, 20232024 177,569 $241,577 $Interest income (201,918)(236,281)Interest expense (24,349) 5,296Net interest (expense) income (22,642)(4,602)Realized gains (losses) on mortgage-backed securities (18,941)(79,842)Unrealized gains (losses) on mortgage-backed securities and U.S. Treasury securities 45,237133,554 Gains (losses) on derivative and other hedging instruments (20,695)54,406Net portfolio income (loss) 18,53116,744 Expenses (39,226)$37,662 $Net Income (loss) 17122Other comprehensive income (39,209)37,784Comprehensive net income (loss) (0.89)$0.57$Basic and diluted net income (loss) per share 44,649,039 65,449,149 Weighted Average Shares Outstanding 1.80 $1.44 $Dividends Declared Per Common Share 31-Dec-2331-Dec-24 ASSETS: 3,894,012$5,253,310$Mortgage-backed securities 148,820100,551U.S. Treasury securities 200,289335,053Cash, cash equivalents and restricted cash 14,95123,044Accrued interest receivable 6,4209,277Derivative assets, at fair value 455392Other assets 4,264,947$5,721,627$Total Assets LIABILITIES AND STOCKHOLDERS' EQUITY 3,705,649$5,025,543$Repurchase agreements 60,454-Payable for investment securities and TBA transactions 6,2229,940Dividends payable 12,694332Derivative liabilities, at fair value 7,93910,750Accrued interest payable 1,0131,167Due to affiliates 1,0315,395Other liabilities 3,795,0025,053,127Total Liabilities 469,945668,500Total Stockholders' Equity 4,264,947$5,721,627$Total Liabilities and Stockholders' Equity 51,636,07482,622,464Common shares outstanding 9.10$8.09$Book value per share
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Market Developments 9
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1Mo 3Mo 6Mo 1Yr 2Yr 3Yr 5Yr 7Yr 10Yr 30Yr 3.0% 3.5% 4.0% 4.5% 5.0% 09/30/24 12/31/24 01/24/25 1Mo 3Mo 6Mo 1Yr 2Yr 3Yr 5Yr 7Yr 10Yr 30Yr 3.0% 3.5% 4.0% 4.5% 5.0% 09/30/24 12/31/24 01/24/25 U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve Yield (%) 10Source: Bloomberg Data Yield (%) US Treasury Curve SOFR Swap Curve High: 2.972% 09/05/13 Low: -1.868% 05/03/23 01/24/25: 0.312% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Sep-20 Mar-21 Sep-21 Mar-22 Sep-22 Mar-23 Sep-23 Mar-24 Sep-24 Yield (%) 3-Month Treasury Bill vs 10-Year Treasury Note Yield Spread
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-6 -4 -2 0 2 4 6 Roll Close in ticks (1/32) 1 Year FNCL Roll 30Y 3s UMBS/FNMA 30Y 4s UMBS/FNMA 30Y 5s UMBS/FNMA 30Y 6s UMBS/FNMA 92.0 94.0 96.0 98.0 100.0 FNCL Change FNCL 3.0 FNCL 4.0 FNCL 5.0 FNCL 6.0 10-Year U.S. Treasury Note vs MBS Current Coupon 11Source: Bloomberg Data 2010 – Current: 10Yr Treasury Note/Current Coupon Spread 03/19/20: 165 bps 12/13/22: 190 bps 05/26/23: 200 bps 01/24/25: 125 bps 0 50 100 150 200 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Jan-2020 Jan-2021 Jan-2022 Jan-2023 Jan-2024 Jan-202 5
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Swaption Implied Volatility 12Source: Citi Velocity, Bloomberg Data 80 90 100 110 120 Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 3m x 10Y Normal Vol 3M x 10Y USD Normal Annual Vol (BPS/ANNUM) 20 40 60 80 100 120 140 160 180 200 Swaption Implied Volatility (MOVE Index)
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13 Refinancing Activity Refi Index vs. Mortgage Rates Refi Index vs. Percent In-The-Money (“ITM”) Primary – Secondary Spreads Source: Wells Fargo Securities bps 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 0 1,000 2,000 3,000 4,000 5,000 6,000 7,000 Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 Jul-22 Oct-22 Jan-23 Apr-23 Jul-23 Oct-23 Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 Mortgage Rate (%) Refi Index Aggregate Refi Index - 395 Mortgage Rates (0-pt) - 7.18% 0 10 20 30 40 50 60 70 80 0 1,000 2,000 3,000 4,000 5,000 6,000 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 Jul-22 Oct-22 Jan-23 Apr-23 Jul-23 Oct-23 Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 %ITM Refi Index Pcnt ITM (All 30-yr) - 1.1% Aggregate Refi Index - 395 50 100 150 200 250 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 Jul-22 Oct-22 Jan-23 Apr-23 Jul-23 Oct-23 Jan-24 Apr-24 Jul-24 Oct-24 Jan-25
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0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 Tillions ($) U.S. GDP vs Money Supply U.S. Money Supply - M2 U.S. GDP - Nominal Dollars 14 U.S. Economy Source: Bloomberg Data
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15 Portfolio Characteristics & Hedge Positions
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The combination of 100 basis points of easing by the Federal Reserve and longer maturity U.S. Treasury security rates increasing 80 or more basis points caused the U.S. Treasury security yield curve to finally dis-invert, ending the longest period of inversion to ever occur. This was a result of the market expectation that the economy will remain quite strong, the labor market resilient, inflation stubbornly still above 2% and federal deficits elevated. Orchid raised approximately $36 million via its ATM program during the fourth quarter and used the proceeds to continue to migrate the portfolio into higher coupon securities while maintaining lower leverage and a defensive bias. 16 Investment Portfolio Targeted assets: • Orchid Island Capital’s portfolio consists entirely of highly liquid Agency fixed rate pass through securities, interest only securities, and inverse interest-only securities • Agency pass throughs are generally fixed rate 30-year and 15-year securities in specified pools or TBA form • Orchid retains ample access to financing sources in excess of needs via the repurchase agreement funding market • Orchid self clears all security buys and sells and manages all margin activity related to the funding of assets and hedging our interest rate exposure Source: Company Press Releases Developments During the Quarter: • Continued to increase the weighted average coupon of the fixed rate MBS portfolio from 4.94% to 5.03% at September 30, 2024 and December 31, 2024, respectively. • Realized yield1 on portfolio decreased from 5.43% to 5.38% at September 30, 2024 and December 31, 2024, respectively. • Inclusive of hedge instruments, economic net interest spread 2 for the quarter was 2.57% from 2.47% for third quarter of 2024. • Increased allocation to 30yr 5.0%, 5.5%, and 6.5% by $38m, $130m, and $60m, respectively. 1. Defined as GAAP interest income divided by average of the beginning and ending balance of the MBS portfolio 2. See appendix for calculations and re conciliation to net interest income
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We continued to position Orchid’s MBS portfolio with a barbell strategy but increased the 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 average coupon from 4.94% on September 30, 2024, to 5.03% on December 31, 2024, while still retaining discount securities with more favorable convexity characteristics in the event of another rally in long end rates. 17 Investment Portfolio Pass-Through Holdings *The above excludes U.S. Treasury Notes valued at $100.6 million as of 12/31/2024 Source: Company Press Releases 0 200 400 600 800 1000 1200 1400 3.0% 3.5% 4.0% 4.5% 5. 0% 5.5% 6.0% 6.5% 7.0% Portfolio Holdings 06/30/2024 30-Year Fixed Rate RMBS 15-Year Fixed Rate RMBS TBA Deriv 0 200 400 600 800 1000 1200 1400 3.0% 3.5% 4.0% 4.5% 5. 0% 5.5% 6.0% 6.5% 7.0% Portfolio Holdings 09/30/2024 30-Year Fixed Rate RMBS 15-Year Fixed Rate RMBS TBA Deriv 0 200 400 600 800 1000 1200 1400 3.0% 3.5% 4.0% 4.5% 5. 0% 5.5% 6.0% 6.5% 7.0% Portfolio Holdings 12/31/2024 30-Year Fixed Rate RMBS 15-Year Fixed Rate RMBS TBA Deriv
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Interest RateAmount ($ in thousands)Term 4.66%$4,656,303Repo Funding ≤30 days 4.66%$369,240Repo Funding >30 days 4.66%$5,025,543Total 2.78%$(3,516,800)Swaps (Pay Fixed vs. Receive SOFR) 3.89%Blended Cost of Funds 18 Investment Portfolio Funding Costs as of December 31, 2024 • Average repo rate for the quarter ended December 31, 2024, was 4.98% compared to 5.62% for the quarter ended September 30, 2024 • Repurchase obligation weighted average maturity as of December 31, 2024, was 26 days compared to 25 days as of September 30, 2024 • Orchid’s average economic cost of funds1, inclusive of interest rate swaps, swaptions, and U.S. Treasury future short positions was 2.81% for the quarter ended December 31, 2024, vs 2.96% for the quarter ended September 30, 2024 • Orchid’s adjusted leverage ratio was 7.5 to 1 as of December 31, 2024, vs 8.0 to 1 as of September 30, 2024 (adjusted leverage ratio is calculated as repurchase agreement balance divided by shareholders equity)Source: Company Press Releases Interest rate cuts by the Federal Reserve at their last three meetings in 2024 have 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 quarter and year-end have been elevated, partially offsetting the benefit to us of rate cuts by the Federal Reserve. Agency Repurchase Agreements 1. See appendix for calculations and reconciliations 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23 Dec-23 Mar-24 Jun-24 Sep-24 Dec-24 Avg 1M SOFR Cost of funds Economic Cost of Funds
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Mark to Market Gain (Loss) / Share* Mark to Market Gain (Loss) ($ in thousands) Hedge Period Average End Notional ($ in thousands) $1.77$140,620Jun-30$(3,516,800)Interest Rate Swaps $0.13$10,538Mar-25$(438,500)Short Future Positions --N/A-Swaptions & Rate Derivatives $0.12$9,254Jan-25$(200,000)Short TBAs $2.02$160,412$(4,155,300)Totals 19 Hedging Positions • Total notional balance of hedge positions (excluding short TBAs) of $(3,955.3) million • Interest rate swaps with a notional balance of $(3,516.8) million at December 31, 2024 • Covered 70% of our repo funding liability • Weighted average pay fix rate of 2.78% • Short TBA positions of $(200.0) million (FNCL 3.0) • U.S. Treasury future short position of $(438.5) million at December 31, 2024 • As of December 31, 2024, there are no swaption positions in Orchid Island’s portfolio Hedge Positions – Summary Metrics Orchid has hedge positions equal to approximately 79% of our repo funding liability (excluding TBA shorts) with a greater emphasis on interest rate swaps and a slightly longer duration. The migration of the pass-through portfolio into higher coupons has also reduced the interest rate sensitivity of the portfolio. *Weighted average shares for the period ended 12/31/2024 was 79,590,498 Three Months Ended December 31, 2024 Source: Company Press Releases
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20 Hedging Positions TBA Positions Net Carrying Value Market Value Cost Basis Notional Amount (Short) ($ in thousands) As of December 31, 2024 4,703 (169,703)(174,406)(200,000)FNCL 3.0 1/25 4,703 $(169,703)$(174,406)$(200,000)$ As of September 30, 2024 2,168 (269,027)(271,195)(300,000)FNCL 3.0 10/24 2,168 $(269,027)$(271,195)$(300,000)$ Swap Agreements Weighted Avg Maturity (Years) Net Estimated Fair Value Average Receive Rate Average Fixed Pay Rate Notional Amount ($ in thousands) As of December 31, 2024 3.4121,862 4.58%1.69%1,450,000 $Expiration > 1 to ≤ 5 years 7.078,124 4.52%3.55%2,066,800 Expiration > 5 years 5.5199,986 $4.54%2.78%3,516,800 $ As of September 30, 2024 3.6100,100 5.41%1.69%1,450,000 $Expiration > 1 to ≤ 5 years 7.2(4,285)5.35%3.55%2,036,800 Expiration > 5 years 5.795,815 $5.38%2.78%3,486,800 $ Interest Rate Futures Open Equity(1)Weighted Average Effective Rate Weighted Average Entry Rate Contract Notional Amount ($ in thousands) (Short Position)As of December 31, 2024 1,890 4.37%4.22%(312,500)Mar 2025 5-year T-Note(2) 1,119 4.49%4.30%(93,500)Mar 2025 10-year T-Note(2) 914 4.58%4.25%(32,500)Mar 2025 10-year Ultra(2) 3,922 (438,500)$ (Short Position)As of September 30, 2024 (2,056)3.57%3.75%(455,900)3-Month SOFR Future(3) (88)4.23%3.73%(12,500)Dec 2024 10-year T-Note(2) (2,144)(468,400)$ Source: Company Press Releases 1. Open equity represents the cumulative gains (losse s) recorded on open futures positions from inception. 2. 5-year T-Note futures contracts, 10-year T-Note futures contracts, and 10-year Ultra futures contracts were valued at prices of $106.30, $108.75, and $111.31 as of December 31, 2024. 3. 3-Month SOFR futures expire every 3 mont hs starting December 2024 and ending March 2027.
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Interest Rate Sensitivities ORC Portfolio Allocation5 Bear Flattener4 Bull Steepener4 +50 bps3-50 bps3Effective Convexity2 Effective Duration2 OAS 2Current Price 1 ($) Coupon 18%-3.593.62-3.493.39-0.656.8867.7084.903.0 3%-3.353.33-3.132.99-0.766.1266.7588.453.5 9%-3.183.11-2.892.69-0.965.5862.1591.414.0 5%-2.952.86-2.602.40-0.935.0063.0694.064.5 10%-2.762.58-2.362.11-1.144.4969.1596.485.0 7%-2.472.19-2.001.70-1.273.7280.6498.635.5 23%-2.151.79-1.661.34-1.303.0287.79100.486.0 16%-1.811.43-1.321.04-1.142.3793.71102.106.5 6%-1.441.16-1.000.80-0.781.7889.77103.687.0 21 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 of December 31, 2024. 1. TBA prices at 12/31/24 2. Per YieldBook 3. Parallel 50bp interest rate shifts 4. Represents YieldBook’s defaul t scenario Bull Steepener (+50) and Bear Flattener (-50) 5. Table excludes TBA long positions and interest only securities Source: Yieldbook
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Model 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 positions the portfolio has a very modest sensitivity to interest rates. 22 Investment Portfolio Interest Rate Sensitivity +50 bps ($) -50 bps ($) Dollar Duration (per .01% change in yield) Market Value /Notional Agency RMBS Assets (817)74215$49,74215-year MBS (115,041)105,0952,201$5,237,81230-year MBS 14(30)(0)$15,498IO/IIO Securities (115,844)89,0032,216$5,303,053Total RMBS Assets 97,430(100,441)(1,979)$4,155,300Hedge Position (18,414)(11,438)237Net Duration Gap (2.75%)(1.71%)Duration Gap / Total Equity1 Source: Company Press Releases ($ in thousands) 1. Total equity of $668.5 million at 12/31/24
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As longer maturity interest rates rose during the fourth quarter prepayment rates for Orchid’s Agency RMBS portfolio generally slowed, even for our higher coupon securities. Our discount holdings continued to benefit from the effects of seasoning. 23 Investment Portfolio Prepayment Experience Q4 20242Q3 20242December 2024November 2024October 2024WALA1Securities (by coupon) 30-year MBS 6.5%6.3%6.2%6.2%7.1%453.0 6.5%8.5%5.9%6.2%7.4%583.5 6.1%5.3%5.7%3.9%8.8%714.0 8.5%6.7%12.1%5.6%7.7%304.5 5.3%6.8%4.9%5.6%5.4%255.0 4.0%5.6%5.2%1.8%5.0%155.5 11.3%8.9%8.8%8.1%16.9%126.0 16.0%11.7%9.0%15.3%23.7%116.5 31.3%21.7%21.1%33.7%39.0%147.0 IO/IIO 9.1%1.2%1.2%0.7%25.3%1193.0 6.8%7.3%0.4%0.6%19.5%873.745 6.7%6.9%7.0%5.5%7.6%1274.0 7.5%7.5%9.3%6.7%6.6%1744.5 9.2%5.4%2.8%14.2%10.6%1745.0 10.2%8.6%8.1%9.1%13.5%Total Prepayment Speeds (CPR) Source: Bloomberg Data 1. Weighted average loan age in months as of 12/31/2024 2. Calculated as the average of 1-month CPR during the quarter
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24 Orchid Island Capital – Q4 Wrap-up and Outlook Looking back: • During the fourth quarter, interest rates across the U.S. Treasury security yield curve rose significantly but Agency MBS only widened modestly. • The up-in-coupon bias to our portfolio coupled with a corresponding longer duration bias to our hedges outperformed during the quarter given the increase in long term rates and lower prepayments anticipated for higher coupons. Looking forward: • Albeit to a lesser extent than the past several quarters, the market continues to overestimate weakness in the economy as well as the extent and timing of additional Fed rate cuts. • With the Republican sweep in the U.S. national elections last fall and an incoming administration with a strong pro-growth agenda, we do not anticipate the upward pressure on longer-term rates caused by fiscal deficits to subside or for the economy to weaken. • We remain comfortable with our portfolio positioning and hedge structure given this outlook. • With funding costs declining and our weighted average portfolio coupon/yield continuing to rise, Orchid believes that it stands well positioned to continue to support the current dividend/yield. The wait for the Federal Reserve to start easing monetary policy is over. However, while the Fed lowered the target range for Fed funds by 100 basis points in just three meetings, further cuts may not be a certainty. The economy remains strong, the labor market resilient, inflation stubbornly still above the 2% target and fiscal deficits unsustainably high. Accordingly, we continue to position Orchid’s MBS portfolio using a barbell strategy in terms of our coupon selection, with an up-in-coupon bias and leverage at the lower end of our typical range.
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Appendix 25
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26Source: Federal Reserve Commercial Bank & Federal Reserve MBS Holdings Note: Data include the following types of institutions in t he fifty states and the District of Columbia: domestically chartered commercial banks; U.S. branches and agencies of fo reign banks; and Edge Act and agreement corporations. Data exclude International Banking Facilities. Weekly levels are Wednesday values; monthly levels are pro rata averages of Wedn esday values. The data for domestically chartered commercial banks and U.S. branches and agencies of foreign banks are estimated by benchmarking weekly data prov ided by a sample of banks to quarter-end reports of condition (C all Reports). Large domestically chartered commercial banks are defined as the top 25 domestically chartered commercial banks, ranked by domestic assets as of the previous commercial bank Call Report to which the H.8 release data have been benchmarked. Small domestically chartered commercial banks are defined as all domestically chartered commercial banks not included in the top 25. The data for large and small domestically chartered banks are adjusted to remove the estimated effects of mergers and panel shifts between these two bank groups. (See www.federalreserve.gov/releases/h8/about.htm for more information on how these data were constructed.) High: 2,987 02/01/22 01/15/25: 2643.4 High: 2,718 08/01/22 01/15/25: 2233.2 1,200 1,400 1,600 1,800 2,000 2,200 2,400 2,600 2,800 3,000 3,200 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 Jul-22 Oct-22 Jan-23 Apr-23 Jul-23 Oct-23 Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 Commercial Banks & Federal Reserve Holdings of MBS Bank Holdings Fed Holdings
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27 Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Source: Bloomberg Data 5.02% 1.20% 0.58% 4.68% 1.70% 1.25% 2.13% 1.05% 1.87% 1.84% 8.19% 14.90% 25.00% 0% 4% 8% 12% 16% 20% 24% 28% YTD 2024 Returns as of 12/31/24 -0.05% -3.16% -3.14% -1.48% -2.74% -3.06% -3.03% -1.22% -3.39% -2.87% 0.18% 1.73% 2.39% -5% -3% -1% 1% 3% Q4 2024 Returns
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Orchid Island Capital Leverage Ratio History 28Source: Company Press Releases 1. The adjusted leverage ratio is calculated by dividing endi ng repurchase agreement liabilities by ending stockholders’ equity 2. The economic leverage ratio is calculated by dividing ending tota l liabilities adjusted for net notional TBA positions by ending stockholders’ equity 7.5 7.3 5.0 6.0 7.0 8.0 9.0 10.0 11.0 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Jun-23 Dec-23 Jun-24 Dec-24 Leverage Ratio Adjusted Leverage (1) Economic Leverage (2)
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Orchid Island Capital MBS Portfolio Characteristics as of December 31, 2024 29Source: Company Press Releases Note: Above table excludes Treasury Notes valued at $100.6 million. The Treasury Notes were purchased to post as collateral for hedge positions. (1) Modeled results from Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially. (2) See slide 19 for additional hedge detail Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) 3m CPR1m CPRWA MatAGEGWACCPN Current Price Percent of PortfolioFMVFaceType Fixed Rate MBS (816,767)741,656 17065.85%5.00%99.480.94%49,742,19050,000,00015yr 5.0 TBA (816,767)741,656 17065.85%5.00%99.480.94%49,742,19050,000,00015yr Total (29,973,315)29,548,661 6.5%6.2%308453.47%3.00%86.2617.83%945,376,1351,095,966,56630yr 3.0 (4,558,832)4,508,680 6.6%5.9%289584.04%3.50%90.072.99%158,323,973175,770,35930yr 3.5 (13,432,329)12,738,248 5.3%5.7%282714.64%4.00%91.839.11%483,035,971526,005,51330yr 4.0 (6,971,344)6,479,663 8.5%12.1%326305.44%4.50%94.555.45%289,216,115305,898,11530yr 4.5 (12,912,745)11,854,829 5.6%4.9%330255.94%5.00%96.9010.49%556,504,515574,297,36030yr 5.0 (8,617,269)7,676,601 3.9%5.2%342156.45%5.50%99.417.46%395,366,630397,697,70530yr 5.5 (22,443,381)19,253,690 11.6%8.8%343126.98%6.00%101.3722.97%1,218,206,0451,201,764,05030yr 6.0 (12,404,126)10,019,802 17.3%9.0%346117.43%6.50%102.8916.33%866,182,372841,820,17330yr 6.5 (3,728,242)3,015,324 32.2%21.1%339147.94%7.00%104.346.14%325,600,981312,054,65730yr 7.0 (115,041,584)105,095,498 10.59%8.14%326285.84%5.03%96.4498.77%5,237,812,7365,431,274,49730yr Total (115,858,351)105,837,15410.59%8.14%325285.84%5.03%96.4799.71%5,287,554,9265,481,274,497Total Pass-Through MBS Structured MBS (3,470)3,791 9.3%9.0%781564.57%4.00%9.190.01%643,3566,998,386IO 20yr 4.0 (1,759)1,532 9.8%1.2%2301193.64%3.00%14.070.01%365,6672,598,910IO 30yr 3.0 86,312 (130,309)6.6%6.8%2271244.60%4.00%18.690.25%13,341,78071,388,240IO 30yr 4.0 (1,141)(392)7.5%9.3%1731744.99%4.50%19.320.01%603,7043,125,341IO 30yr 4.5 774 (2,257)9.3%2.8%1731745.37%5.00%21.090.01%353,2521,674,678IO 30yr 5.0 80,716 (127,636)7.0%6.8%2121294.60%4.01%17.840.29%15,307,75985,785,555IO Total (66,417)97,302 7.3%0.4%261874.40%0.00%0.860.00%189,81221,970,921IIO 30yr 4.0 14,299 (30,334)7.0%5.5%2221214.56%3.19%14.380.29%15,497,571107,756,476Total Structured MBS Mortgage Assets (115,844,052)$105,806,820 $10.52%8.09%323305.81%4.99%100%5,303,052,498$5,589,030,973$Total Mortgage Assets Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Notional Balance Hedge 6,173,668 (6,369,658)Mar-2025(312,500,000)5-Year Treasury Future 2,877,910 (2,966,009)Mar-2025(93,500,000)10-Year Treasury Future 1,362,447 (1,429,033)Mar-2025(32,500,000)10-Year Ultra Treasury Future 81,039,370 (83,890,324)Jun-2030(3,516,800,000)Swaps 5,976,969 (5,785,892)Jan-2025(200,000,000)TBA Short 97,430,364 (100,440,916)(4,155,300,000)$Hedge Total (18,413,688)$5,365,904 $Rate Shock Grand Total
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Int Rate Sensitivity (+50 BPS) 1 Int Rate Sensitivity (-50 BPS) 13m CPR1m CPRWA MatAGEGWACCPN Current Price Percent of PortfolioFMVFaceType Fixed Rate MBS (37,050,492)36,155,793 6.4%4.9%312423.46%3.00%90.7921.91%1,192,648,9711,313,569,06430yr 3.0 (4,728,316)4,630,795 8.6%7.3%293554.04%3.50%94.623.13%170,463,081180,158,66430yr 3.5 (12,733,013)11,714,828 4.6%3.2%285684.64%4.00%96.389.47%515,427,338534,811,61430yr 4.0 (6,191,249)5,377,378 6.8%5.5%330275.44%4.50%98.735.66%308,236,164312,191,65730yr 4.5 (9,531,040)7,904,536 7.0%7.9%330255.93%5.00%100.249.53%518,746,407517,496,64130yr 5.0 (4,474,806)3,498,480 5.8%3.3%338186.43%5.50%102.304.87%265,083,169259,122,70130yr 5.5 (16,401,520)12,336,3319.5%11.7%34796.98%6.00%103.2023.66%1,287,953,7151,248,052,20530yr 6.0 (7,020,016)5,417,741 11.9%15.8%34897.43%6.50%103.8514.81%806,064,868776,146,31530yr 6.5 (2,776,949)2,290,761 22.7%22.4%343117.94%7.00%104.676.66%362,444,708346,281,82530yr 7.0 (100,907,401)89,326,6438.83%9.26%327275.72%4.94%98.8999.71%5,427,068,4205,487,830,68530yr Total (100,907,401)89,326,6438.83%9.26%327275.72%4.94%98.8999.71%5,427,068,4205,487,830,685Total Pass-Through MBS Structured MBS (3,618)3,191 11.5%11.0%811534.57%4.00%9.350.01%693,4247,414,412IO 20yr 4.0 (98)(1,896)1.2%0.9%2341163.64%3.00%13.980.01%376,1042,690,302IO 30yr 3.0 301,717 (424,469)6.3%5.8%2301214.60%4.00%18.090.25%13,338,74473,719,134IO 30yr 4.0 6,853 (11,129)7.8%8.6%1761714.99%4.50%19.260.01%619,6533,217,673IO 30yr 4.5 7,280 (9,629)4.4%1.1%1771715.37%5.00%20.450.01%354,4111,733,128IO 30yr 5.0 312,134 (443,932)6.6%6.1%2141264.60%4.01%17.330.28%15,382,33788,774,650IO Total (99,033)120,943 5.7%0.6%264844.40%0.00%1.500.01%352,75923,449,701IIO 30yr 4.0 213,101 (322,988)6.4%4.9%2251174.55%3.17%14.020.289%15,735,095112,224,351Total Structured MBS Mortgage Assets (100,694,300)$89,003,654 $8.77%9.17%325295.70%4.90%100%5,442,803,515$5,600,055,036$Total Mortgage Assets Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Average Notional Balance Hedge 5,698,750 (5,698,750)Oct-2025(455,900,000)3-Month SOFR Futures 396,646 (410,391)Dec-2024(12,500,000)10-Year Treasury Future 88,056,908 (91,274,193)Jun-2030(3,486,800,000)Swaps 8,827,081 (8,387,080)Oct-2024(300,000,000)TBA Short 102,979,385 (105,770,415)(4,255,200,000)$Hedge Total 2,285,085 $(16,766,760)$Rate Shock Grand Total Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2024 30Source: Company Press Releases Note: Above table excludes Treasury Bills valued at $99.5 million. The bills were purchased to post as collateral for hedge positions. (1) Modeled results from Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially. (2) See slide 19 for additional hedge detail
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Orchid Credit Counterparties 31Source: Company Press Releases ($ in thousands) As of December 31, 2024 Longest Maturity Weighted Average Maturity in Days % of Total Total Outstanding Balances Counterparty 1/21/2025217.17%360,113Merrill Lynch, Pierce, Fenner & Smith 1/17/2025176.68%335,584ABN AMRO Bank N.V. 1/21/2025215.32%267,565RBC Capital Markets, LLC 1/8/202585.06%254,445Cantor Fitzgerald & Co 1/28/2025285.01%251,638DV Securities, LLC Repo 1/13/2025134.94%248,084MUFG Securities Canada, Ltd. 1/21/2025134.87%244,546Mitsubishi UFJ Securities (USA), Inc. 1/27/202584.81%241,633J.P. Morgan Securities LLC 1/23/2025234.64%232,972Daiwa Securities America Inc. 1/27/2025274.62%232,011Goldman, Sachs & Co 1/17/2025174.53%227,854Wells Fargo Bank, N.A. 1/27/2025274.51%226,627Citigroup Global Markets Inc 1/21/2025214.21%211,474Marex Capital Markets Inc. 2/12/2025244.20%210,826ASL Capital Markets Inc. 1/30/2025304.15%208,713ING Financial Markets LLC 1/21/2025213.82%192,117The Bank of Nova Scotia 1/21/2025213.80%191,010Bank of Montreal 1/24/2025223.66%184,014South Street Securities, LLC 5/19/20251393.52%176,902Mirae Asset Securities (USA) Inc. 3/20/2025793.25%163,116Clear Street LLC 1/17/2025173.01%151,169StoneX Financial Inc. 1/17/2025171.80%90,417Banco Santander SA 1/17/2025171.41%70,878Nomura Securities International, Inc. 1/16/2025160.58%29,149Lucid Prime Fund, LLC 1/23/2025230.45%22,686Wells Fargo Securities, LLC 5/19/202526100.0%5,025,543$Total / Weighted Average
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Gains (Losses) on Derivative Instruments 32Source: Company Financials 1. Reflects the effect of derivative instrument hedges for only the period presented. 2. Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP interest expense. 3. Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income. 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 GAAP for each quarter of 2024 to date and 2023.
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Economic Net Interest Spread 33Source: Company Financials 1. Portfolio yields and costs of borrowings presented in the t ables above are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances. 2. Economic interest expense and economic net interest income pres ented in the tables above includes the effect of our derivative instrument hedges for only the periods presented. 3. Represents interest cost of our borrowi ngs and the effect of derivative instrument hedges attributed to the period divided by average RMBS. 4. Economic net interest spread is calculat ed by subtracting average economic cost of funds from realized yield on average RMBS. 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 2024 to date and 2023 on both a GAAP and economic basis.
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34 Securitized Products Returns December 2024 Last 12 months from December 2023 return summary – sorte d by total returns Last 12 months from December 2023 returns summary – sorted by excess return 12/31/20242023Last 12 Mo. (As of 12/31/24) Current Spread / Price Excess Return (vs. Swaps/Libor) Total Return Excess Return (vs. Swaps/Libor)Total ReturnSector 25376N/A55.1%N/A25.9%NDX 100 12912N/A26.3%N/A25.0%S&P 500 57519.3%25.1%15.2%20.6%CLO 20/30 BB 941-5.5%-1.1%14.4%17.6%CMBS BBB NA10.9%16.0%11.5%15.0%SP down in credit indicator 28511.8%17.3%8.2%13.3%CLO 2 0/3.0 BBB 19515.1%20.7%7.5%12.7%CRT Bl 1908.9%14.4%4.6%9.6%CLO 20/3.0 A 13510.6%16.0%4.4%9.4%CRT M2/0ld M3 NA7.7%l3.1%4.0%9.0%Leveraged Loans 1615.2%10.6%4.0%8.9%CLO 2 0/3.0 Total 1705.7%10.9%3.8%8.7%CLO 2.0/3.0AA 1005.7%11.0%3.4%8.4%CRT Ml 2928.6%l3.5%5.2%8.2%HY Corporate 2051.4%6.7%3.4%8.0%Legacy RMBS 1203.3%8.6%2.7%7.6%CLO 2 0/3.0 AAA NA2.8%7.8%3.3%7.1%SP return indicator 382.3%7.6%2.1%7.0%Floating ABS NA1.8%6.7%3.3%6.0%SP AAA indicator 811.5%6.3%2.0%5.9%Fixed ABS 1440.3%4.7%3.6%5.9%CMBS 370.8%5.1%1.3%3.0%Agency CMBS 824.6%8.4%2.6%2.8%IGCorporate 420.7%5.0%-0.1%1.3%Agency MBS 00.1%3.9%0.0%0.5%US Treasury 12/31/20242023Last 12 Mo. (As of 12/31/24) Current Spread / Price Excess Return (vs. Swaps/Libor) Total Return Excess Return (vs. Swaps/Libor) Total ReturnSector 25376N/A55.1%N/A25.9%NDX l 00 12912N/A26.3%N/A25.0%S&P 500 57519.3%25.1%15.2%20.6%CLO 20/3.0 BB 941-5.5%-1.1%14.4%17.6%CMBS BBB NA10.9%16.0%11.5%15.0%SP down in credit indicator 28511.8%17.3%8.2%13.3%CLO 2.0/3.0 BBB 19515.1%20.7%7.5%12.7%CRTBl 2928.6%13.5%5.2%8.2%HY Corporate 1908.9%14.4%4.6%9.6%CLO 2.0/3.0A 13510.6%16.0%4.4%9.4%CRT M2/0ld M3 NA7.7%l3.1%4.0%9.0%Leveraged Loans 1615.2%10.6%4.0%8.9%CLO 2.0/3.0 Total 1705.7%10.9%3.8%8.7%CLO 2.0/3.0 AA 1440.3%4.7%3.6%5.9%CMBS 1005.7%11.0%3.4%8.4%CRT Ml 2051.4%6.7%3.4%8.0%Legacy RMBS NA1.8%6.7%3.3%6.0%SP AAA indicator NA2.8%7.8%3.3%7.1%SP return indicator 1203.3%8.6%2.7%7.6%CLO 2.0/3.0 AAA 824.6%8.4%2.6%2.8%IGCorporate 382.3%7.6%2.1%7.0%Floating ABS 811.5%6.3%2.0%5.9%Fixed ABS 370.8%5.1%1.3%3.0%Agency CMBS 00.1%3.9%0.0%0.5%US Treasury 420.7%5.0%-0.1%1.3%Agency MBS Source: BofA Global Research - Securitized Products Returns for December 2024/ Securitized Products Strategy / 02 January 2025
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Securitized Products Returns December 2024 35 Source: BofA Global Research - Securitized Products Returns for December 2024/ Securitized Products Strategy / 02 January 2025 Securitized products total and excess returns versus swaps