Slides
Page 1
8Q1 2025 Earnings Supplemental MaterialsApril 25, 2025 1
Page 2
DisclaimersForward-Looking InformationThis 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 ofmany 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
Page 3
Table of ContentsTopic PointFinancial Results 4 - 7Market Developments 8 - 14Portfolio Characteristics & Hedge Positions 15 - 24Appendix 25 - 363 Slide(s)
Page 4
4Financial Results
Page 5
5 Financial Highlights for the Quarter Ended March 31, 2025Net Income (Loss)1 Book Value1Dividend Declared1Total Return2Q1 25Q4 24Q1 25Q4 24Q1 25Q4 24Q1 25Q4 24$7.94$8.09$0.18 $0.07$0.36$0.362.60% 0.60%1. Data is on a per share basis2. 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 quarterSource: Company Press Releases
Page 6
6 Portfolio Highlights for the Quarter Ended March 31, 2025Average MBS Balances(in millions)Economic Leverage Ratio1Liquidity2Speeds(3mo. Portfolio CPR)Q1 25Q4 24Q1 25Q4 24Q1 25Q4 24Q1 25Q4 24Source: Company Press Releases 7.87.3$5,996 $ 5,34852.2% 52.9 %7.8 10.51. The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity2. Liquidity is calculated as the percentage of unrestricted cash, cash equivalents, unpledged RMBS and unpledged U.S. Treasury securities to stockholders’ equity
Page 7
Orchid Island Capital Financial Results for the Quarter Ended March 31, 2025 7Source: Company Financials Income Statement($ in thousands, except for per share data)Balance Sheet($ in thousands, except for per share data)Three Months Ended March 31,2024202548,871 $81,090 $Interest income(51,361)(61,377)Interest expense(2,490) 19,713Net interest (expense) income-(1,298)Realized gains (losses) on mortgage-backed securities(61,895)77,592Unrealized gains (losses) on mortgage-backed securities and U.S. Treasury securities87,899(74,659) Gains (losses) on derivative and other hedging instruments2351421,348Net portfolio income (loss)3,7384,226 Expenses19,776$17,122 $Net Income (loss)(47)250Other comprehensive income19,72917,372Comprehensive net income (loss)0.38$0.18$Basic and diluted net income (loss) per share51,604,135 95,174,719 Weighted Average Shares Outstanding0.36 $0.36 $Dividends Declared Per Common Share31-Dec-2431-Mar-25ASSETS:5,253,310$6,738,094$Mortgage-backed securities100,551125,543U.S. Treasury securities335,053400,092Cash, cash equivalents and restricted cash23,04431,518Accrued interest receivable9,2776,710Derivative assets, at fair value-1,466Receivable for investment securities and TBA transactions392861Other assets5,721,627$7,304,284$Total AssetsLIABILITIES AND STOCKHOLDERS' EQUITY5,025,543$6,418,641$Repurchase agreements-23Payable for investment securities and TBA transactions9,94012,960Dividends payable332-Derivative liabilities, at fair value10,75013,293Accrued interest payable1,1671,349Due to affiliates5,3952,138Other liabilities5,053,1276,448,404Total Liabilities668,500855,880Total Stockholders' Equity5,721,627$7,304,284$Total Liabilities and Stockholders' Equity82,622,464107,786,614Common shares outstanding8.09$7.94$Book value per share
Page 8
Market Developments8
Page 9
1Mo3Mo6Mo1Yr2Yr3Yr5Yr7Yr10Yr30Yr3.5%4.0%4.5%5.0%12/31/2403/31/2504/17/25U.S. Treasury, U.S. Dollar Swap, Yield Spread CurveYield (%)9Source: Bloomberg Data Yield (%)US Treasury Curve SOFR Swap Curve1Mo3Mo6Mo1Yr2Yr3Yr5Yr7Yr10Yr30Yr3.5%4.0%4.5%5.0%12/31/2403/31/2504/17/25High: 2.972% 09/05/13Low: -1.868% 05/03/2304/17/25: 0.007%-2.0%-1.0%0.0%1.0%2.0%3.0%Mar-13Sep-13Mar-14Sep-14Mar-15Sep-15Mar-16Sep-16Mar-17Sep-17Mar-18Sep-18Mar-19Sep-19Mar-20Sep-20Mar-21Sep-21Mar-22Sep-22Mar-23Sep-23Mar-24Sep-24Mar-25 Yield (%)3-Month Treasury Bill vs 10-Year Treasury Note Yield Spread
Page 10
-6-4-20246Roll Close in ticks (1/32)1 Year FNCL Roll30Y 3s UMBS/FNMA30Y 4s UMBS/FNMA30Y 5s UMBS/FNMA30Y 6s UMBS/FNMA98.0100.0102.0104.0FNCL ChangeFNCL 3.0FNCL 4.0FNCL 5.0FNCL 6.0 10-Year U.S. Treasury Note vs MBS Current Coupon 10Source: Bloomberg Data 2010 – Current: 10Yr Treasury Note/Current Coupon Spread03/19/20: 165 bps12/13/22: 190 bps05/26/23: 200 bps04/17/25: 139 bps050100150200Jan-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-2025
Page 11
Swaption Implied Volatility 11Source: Citi Velocity, Bloomberg Data20406080100120140160180200Swaption Implied Volatility (MOVE Index)859095100105110115120125Mar-24 Jun-24 Sep-24 Dec-24 Mar-253m x 10Y Normal Vol3M x 10Y USD Normal Annual RFR Vol (BPS/ANNUM)
Page 12
12Source: Bloomberg Data, Company Press Releases Swap Spreads -70.00-60.00-50.00-40.00-30.00-20.00-10.0012/31/2024 1/31/2025 2/28/2025 3/31/2025Swap Spread by Tenor USSFCT02 BGN CurncyUSSFCT05 BGN CurncyUSSFCT07 BGN CurncyUSSFCT10 BGN Curncy-8.00-4.000.004.008.0012/31/20241/31/20252/28/20253/31/2025Swap Spread DTD Change by Tenor2yr Swap DTD Change5yr Swap DTD Change7yr Swap DTD Change10yr Swap DTD Change0.9%17.0%82.1%Hedge Weight by DV01*SOFR FuturesTreasury FuturesSwaps*DV01 for Orchid hedge portfolio as of 03/31/2025
Page 13
13 Refinancing ActivityRefi Index vs. Mortgage RatesRefi Index vs. Percent In-The-Money (“ITM”)Primary – Secondary Spreads Source: Wells Fargo Securities bps2.53.03.54.04.55.05.56.06.57.07.58.08.501,0002,0003,0004,0005,0006,0007,000 Mortgage Rate (%) Refi IndexAggregate Refi Index - 961Mortgage Rates (0-pt) - 6.86%0102030405060708001,0002,0003,0004,0005,0006,000 %ITM Refi IndexPcnt ITM (All 30-yr) - 3.0%Aggregate Refi Index - 96150100150200250
Page 14
14 U.S. Economy Source: Bloomberg Data0.05.010.015.020.025.030.035.02009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025Tillions ($)U.S. GDP vs Money Supply U.S. Money Supply - M2U.S. GDP - Nominal Dollars
Page 15
15Portfolio Characteristics & Hedge Positions
Page 16
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 made it clear they were in no hurry to loosen monetary policy. Orchid raised approximately $206 million of capital via its ATM program during the first 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 PortfolioTargeted 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 exposureSource: Company Press Releases Developments During the Quarter:•Continued to increase the weighted average coupon of the fixed rate MBS portfolio from 5.03% to 5.32% at December 31, 2024 and March 31, 2025, respectively•Realized yield1on portfolio increased from 5.38% to 5.41% at December 31, 2024 and March 31, 2025, respectively•Inclusive of hedge instruments, economic net interest spread2for the quarter was 2.58% from 2.57% for the fourth quarter of 2024•Increased allocation to 30yr 5.5%, 6.0%, and 6.5% by $306m, $915m, and $458m, respectively1. Defined as GAAP interest income divided by average of the beginning and ending balance of the MBS portfolio2. See appendix for calculations and reconciliation to net interest income
Page 17
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 average coupon from 5.03% on December 31, 2024, to 5.32% on March 31, 2025, 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 and Bills valued at $125.5 million as of 03/31/2025Source: Company Press Releases02004006008001000120014003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 09/30/202430-Year Fixed Rate RMBS15-Year Fixed Rate RMBSTBADeriv02004006008001000120014003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 12/31/202430-Year Fixed Rate RMBS15-Year Fixed Rate RMBSTBADeriv050010001500200025003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 03/31/202530-Year Fixed Rate RMBS15-Year Fixed Rate RMBSTBADeriv
Page 18
Interest RateAmount ($ in thousands)Term4.46%$3,068,225Repo Funding ≤30 days4.46%$3,350,416Repo Funding >30 days4.46%$6,418,641Total3.29%$(3,516,800)Swaps (Pay Fixed vs. Receive SOFR)4.05%Blended Cost of Funds18 Investment Portfolio Funding Costs as of March 31, 2025•The weighted average repo rate at March 31, 2025, was 4.46% compared to 4.66% as of December 31, 2024•Repurchase obligation weighted average maturity as of March 31, 2025, was 40 days compared to 26 days as of December 31, 2024•Orchid’s average economic cost of funds1, inclusive of interest rate swaps, swaptions, and U.S. Treasury future short positions was 2.83% for the quarter ended March 31, 2025, vs 2.81% for the quarter ended December 31, 2024•Orchid’s adjusted leverage ratio was 7.5 to 1 as of March 31, 2025, vs 7.5 to 1 as of December 31, 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 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-end were elevated, but far less so at quarter end allowing Orchid to more fully realize the benefit of the rate cuts by the Federal Reserve.Agency Repurchase Agreements1. See appendix for calculations and reconciliations0.00%1.00%2.00%3.00%4.00%5.00%6.00%Dec-19Mar-20Jun-20Sep-20Dec-20Mar-21Jun-21Sep-21Dec-21Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Jun-24Sep-24Dec-24Mar-25Avg 1M SOFRCost of fundsEconomic Cost of Funds
Page 19
Mark to Market Gain (Loss) / Share*Mark to Market Gain (Loss) ($ in thousands)Hedge Period Average EndNotional($ in thousands)$(0.66)$(62,843)Mar-31$(3,909,300)Interest Rate Swaps$(0.16)$(14,942)Aug-25$(823,500)Short Future Positions$(0.82)$(77,785)$(4,732,800)Totals19 Hedging Positions•Total notional balance of hedge positions of $(4,732.8) million•Interest rate swaps with a notional balance of $(3,909.3) million at March 31, 2025•Covered 61% of our repo funding liability•Weighted average pay fix rate of 3.29%•SOFR and U.S. Treasury future short position of $(823.5) million at March 31, 2025•As of March 31, 2025, there are no short TBA or swaption positions in Orchid Island’s portfolioHedge Positions – Summary MetricsOrchid has hedge positions equal to approximately 74% of our repo funding liability with less emphasis on interest rate swapsbut maintained the longer duration bias. The migration of the pass-through portfolio into higher coupon, lower duration assets hedged with predominantly longer duration hedges has led to a lower notional balance of our hedges in relation to our repo liability. *Weighted average shares for the period ended 03/31/2025 was 95,175,719Three Months Ended March 31, 2025Source: Company Press Releases
Page 20
20 Hedging PositionsTBA Positions Net Carrying ValueMarket ValueCost BasisNotional Amount (Short)($ in thousands)As of March 31, 2025As of December 31, 20244,703 (169,703)(174,406)(200,000)FNCL 3.0 1/254,703 $(169,703)$(174,406)$(200,000)$ Swap AgreementsWeighted Avg Maturity (Years)Net Estimated Fair ValueAverage Receive RateAverage Fixed Pay RateNotional Amount($ in thousands)As of March 31, 20253.854,564 4.41%2.62%1,345,000 $Expiration > 1 to ≤ 5 years7.122,125 4.43%3.64%2,564,300 Expiration > 5 years6.076,689 $4.42%3.29%3,909,300 $As of December 31, 20243.4121,862 4.58%1.69%1,450,000 $Expiration > 1 to ≤ 5 years7.078,124 4.52%3.55%2,066,800 Expiration > 5 years5.5199,986 $4.54%2.78%3,516,800 $Interest Rate FuturesOpen Equity(1)Weighted Average Effective RateWeighted Average Entry RateContract Notional Amount($ in thousands)(Short Position)As of March 31, 2025(180)3.60%3.68%(115,000)3-Month SOFR Future(3)(3,371)3.94%4.16%(377,500)Jun 2025 5-year T-Note(2)(1,692)4.09%4.23%(193,500)Jun 2025 10-year T-Note(2)(1,611)4.24%4.37%(137,500)Jun 2025 10-year Ultra(2)(6,854)(823,500)$(Short Position)As of December 31, 20241,8904.37%4.22%(312,500)Mar 2025 5-year T-Note1,1194.49%4.30%(93,500)Mar 2025 10-year T-Note9144.58%4.25%(32,500)Mar 2025 10-year Ultra3,922(438,500)$Source: Company Press Releases1. Open equity represents the cumulative gains (losses) 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 $108.16, $111.22, and $114.13 as of March 31, 2025.3. 3-Month SOFR futures expire every 3 months starting September 2025 and ending June 2027.
Page 21
Interest Rate SensitivitiesORC Portfolio Allocation5Bear Flattener4Bull Steepener4+50 bps3-50 bps3Effective Convexity2Effective Duration2OAS 2Current Price 1 ($)Coupon12%-3.563.63-3.493.40-0.416.9165.7386.743.0 2%-3.353.35-3.173.01-0.686.2159.4990.273.5 7%-3.083.00-2.792.56-0.965.3656.9793.294.0 4%-2.852.68-2.492.23-1.104.7561.2595.724.5 8%-2.592.27-2.191.83-1.464.0466.3898.035.0 10%-2.271.87-1.841.44-1.613.2974.4099.905.5 32%-1.941.48-1.471.09-1.592.5485.61101.526.0 20%-1.491.05-1.030.71-1.321.7182.62103.116.5 5%-1.210.98-0.800.63-0.701.4078.44104.587.021 Current Agency Conventional 30-year Fixed Rate Risk MetricsBelow 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 March 31, 2025. 1. TBA prices at 03/31/252. Per YieldBook3. Parallel 50bp interest rate shifts4. Represents YieldBook’s default scenario Bull Steepener (+50) and Bear Flattener (-50)5. Table excludes TBA long positions and interest only securitiesSource: Yieldbook
Page 22
Model Interest Rate SensitivityOrchid’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 /NotionalAgency RMBS Assets(3,014)2,59256$200,77315-year MBS(128,614)110,9662, 396$6,723,01130-year MBS36(103)(2)$15,084IO/IIO Securities(131,592)113,4552,450$6,938,868Total RMBS Assets121,048(125,228)(2,463)$4,732,800Hedge Position(10,544)(11,773)(13)Net Duration Gap(1.58%)(1.76%)Duration Gap / Total Equity1Source: Company Press Releases ($ in thousands)1. Total equity of $668.5 million at 03/31/25
Page 23
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 tobenefit from the effects of seasoning. 23 Investment Portfolio Prepayment ExperienceQ1 20252Q4 20242March 2025February 2025January 2025WALA1Securities (by coupon)30-year MBS5.9%6.5%6.0%6.0%5.8%493.0 5.7%6.5%7.6%4.1%5.4%613.5 3.2%6.1%3.9%2.9%2.8%384.0 9.7%8.5%15.9%8.3%4.9%334.5 5.8%5.3%3.4%6.5%7.4%285.0 4.8%4.0%6.5%3.3%4.6%125.5 7.8%11.3%8.1%9.2%6.0%96.0 8.9%16.0%12.9%8.1%5.7%126.5 21.5%31.3%28.4%17.3%18.8%177.0IO/IIO8.1%9.1%22.7%1.0%0.7%1223.0 2.9%6.8%7.8%0.4%0.5%903.7454.3%6.7%3.5%4.4%5.1%1304.0 7.5%7.5%7.8%6.5%8.3%1774.5 15.3%9.2%1.4%7.9%36.5%1775.0 7.5%10.2%9.0%7.3%6.2%Total Prepayment Speeds (CPR) Source: Bloomberg Data1. Weighted average loan age in months as of 03/31/20252. Calculated as the average of 1-month CPR during the quarter
Page 24
24 Orchid Island Capital – Q1 Wrap-up and OutlookLooking back:•The up-in-coupon bias to our portfolio coupled with a corresponding longer duration bias to our hedges performed well during the quarter given generally range bound interest rates and low volatility.•The conducive market conditions also benefited Orchid’s stock price, and we were able to raise over $200 million of new capital that was slightly accretive to book value and deploy the proceeds into assets with attractive potential returns.Looking forward:•The administration’s tariff regime introduced early in the quarter has introduced significant market volatility and leaves the outlook for the economy, interest rates, volatility and the MBS market uncertain.•The MBS market has performed poorly in the second quarter to date, book value has declined, and we have had to reduce the portfolio to maintain appropriate levels of leverage and liquidity.•To the extent the administration is successful in revising trade terms across the globe, market participants expect the short-term impact to put upward pressure on inflation and downward pressure on growth. Such an outcome is likely to increase longer-term interest rates and potentially lower short rates if the Fed were to ease monetary policy.•We are comfortable with Orchid’s current portfolio positioning if this were to occur. 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 Orchid’s MBS portfolio to a more up-in-coupon bias versus the previous barbell strategy, hedged with predominantly longer duration instruments and leverage at the lower end of our typical range. Market conditions changed abruptly early in the second quarter when the administration introduced a substantial tariff regime that was intended to realign global trade patterns with the potential to alter inflation and growth levels in the near term.
Page 25
Appendix25
Page 26
26Source: Federal Reserve Commercial Bank & Federal Reserve MBS Holdings Note: Data include the following types of institutions in the fifty states and the District of Columbia: domestically chartered commercial banks; U.S. branches and agencies of foreign banks; and Edge Act and agreement corporations. Data exclude International Banking Facilities. Weekly levels are Wednesday values; monthly levels are pro rata averages of Wednesday values. The data for domestically chartered commercial banks and U.S. branches and agencies of foreign banks are estimated by benchmarking weekly data provided by a sample of banks to quarter-end reports of condition (Call 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. (Seewww.federalreserve.gov/releases/h8/about.htmfor more information on how these data were constructed.) High: 2,987 02/01/2204/02/25: 2670.2High: 2,718 08/01/2204/02/25: 2189.01,2001,4001,6001,8002,0002,2002,4002,6002,8003,0003,200Jan-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 Apr-25Commercial Banks & Federal Reserve Holdings of MBS Bank HoldingsFed Holdings
Page 27
27 Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Source: Bloomberg Data5.02%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%Year Ended 12/31/2024 Returns1.53%3.06%2.92%2.57%2.63%2.78%2.31%-0.22%2.78%4.17%1.00%1.60%-4.28%-5%-3%-1%1%3%5%Q1 2025 Returns
Page 28
28 Nationstar Portfolio Impact•Total face value of portfolio of $6,769 million at 03/31/25•Nationstar serviced mortgages with coupons of 5.5% and below represent face value of $241.3 million (3.6% of portfolio) at 03/31/25•TBA values for these coupons were under par at 03/31/25•Increases in prepayment speed would represent a discount accretion for bond values below par•Nationstar serviced mortgages with coupons of 6.0% and above represent face value of $420.2 million (6.2% of portfolio) at 03/31/25•TBA values for these coupons were above par at 03/31/25•Increases in prepayment speed would represent a premium lost for bond values above par•Not inclusive of TBA long positions, IIO’s or interest only securitiesFace Value in Portfolio Serviced by Nationstar Mortgage LLC by CouponRocket 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 and timing of this announced deal are yet to be seen.Portfolio Composition at March 31, 2025Source: Company Press ReleasesTotal7.06.56.05.55.04.54.03.53.0(in millions)661.519.5149.9250.956.931.55.336.727.783.2Nationstar Mortgage LLC6,768.9293.81272.12080.5695.9562.8297.9518.4172.3875.2Total9.8%6.6%11.8%12.1%8.2%5.6%1.8%7.1%16.1%9.5%
Page 29
Orchid Island Capital Leverage Ratio History 29Source: Company Press Releases1. The adjusted leverage ratio is calculated by dividing ending repurchase agreement liabilities by ending stockholders’ equity2. The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders’ equity7.57.85.06.07.08.09.010.011.0Mar-15Sep-15Mar-16Sep-16Mar-17Sep-17Mar-18Sep-18Mar-19Sep-19Mar-20Sep-20Mar-21Sep-21Mar-22Sep-22Mar-23Sep-23Mar-24Sep-24Mar-25 Leverage RatioAdjusted Leverage (1)Economic Leverage (2)
Page 30
Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) 3m CPR1m CPRWA MatAGEGWACCPNCurrent PricePercent of PortfolioFMVFaceTypeFixed Rate MBS(3,013,609)2,591,985 16885.85%5.00%100.392.89%200,773,420200,000,00015yr 5.0 TBA(3,013,609)2,591,985 16885.85%5.00%100.392.89%200,773,420200,000,00015yr Total(23,362,256)23,160,517 6.0%6.0%303493.48%3.00%88.3211.14%772,956,855875,220,25030yr 3.0(4,481,160)4,443,238 5.7%7.6%286614.04%3.50%91.692.28%158,014,264172,340,07430yr 3.5(13,042,038)12,251,489 3.2%3.9%317384.78%4.00%93.516.99%484,743,244518,378,16230yr 4.0(6,591,590)6,048,248 9.9%15.9%323335.44%4.50%96.064.12%286,165,253297,917,05430yr 4.5(12,181,359)10,803,255 5.9%3.4%327285.94%5.00%98.467.99%554,075,678562,764,08930yr 5.0(14,581,482)12,294,660 5.0%6.5%344126.47%5.50%100.7910.11%701,378,030695,902,19830yr 5.5(35,067,440)27,622,826 8.4%8.1%34796.96%6.00%102.5330.74%2,133,047,0362,080,486,55030yr 6.0(16,298,190)11,992,093 9.2%12.9%344127.44%6.50%104.0719.08%1,323,905,6351,272,141,61330yr 6.5(3,009,192)2,349,393 22.5%28.4%336177.94%7.00%105.094.45%308,724,645293,776,03930yr 7.0(128,614,707)110,965,720 7.84%9.07%333226.20%5.33%99.3296.89%6,723,010,6416,768,926,03030yr Total(131,628,316)113,557,7057.84%9.07%329216.19%5.32%99.3599.78%6,923,784,0616,968,926,030Total Pass-Through MBSStructured MBS(3,326)3,237 9.8%11.6%751584.57%4.00%8.860.01%585,4536,605,235IO 20yr 4.0(1,966)796 8.8%22.7%2281223.64%3.00%13.840.01%355,4842,569,085IO 30yr 3.0114,163 (202,964)3.8%2.7%2241274.60%4.00%18.660.19%12,990,20469,603,992IO 30yr 4.0(71)(3,086)7.6%7.8%1701774.99%4.50%19.430.01%587,8633,025,571IO 30yr 4.51,932 (4,478)16.8%1.4%1701775.37%5.00%20.990.00%331,4261,579,219IO 30yr 5.0110,733 (206,494)4.8%4.2%2091324.59%4.01%17.810.21%14,850,43083,383,102IO Total(74,522)103,978 3.0%7.8%258904.40%0.00%1.090.00%233,44321,342,977IIO 30yr 4.036,211 (102,516)4.5%4.9%2191234.55%3.19%14.400.22%15,083,873104,726,080Total Structured MBSMortgage Assets(131,592,105)$113,455,188 $7.78%9.01%327236.16%5.29%100%6,938,867,934$7,073,652,109$Total Mortgage AssetsInt Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Notional Balance Hedge1,150,000 (1,150,000)Aug-2026(115,000,000)3-Month SOFR Futures7,755,686 (7,873,196)Jun-2025(377,500,000)5-Year Treasury Future6,049,065 (6,139,350)Jun-2025(193,500,000)10-Year Treasury Future5,884,035 (6,162,190)Jun-2025(137,500,000)10-Year Ultra Treasury Future100,209,800 (103,903,084)Mar-2031(3,909,300,000)Swaps121,048,586 (125,227,819)(4,732,800,000)$Hedge Total(10,543,519)$(11,772,631)$Rate Shock Grand Total Orchid Island Capital MBS Portfolio Characteristics as of March 31, 2025 30Source: Company Press ReleasesNote: Above table excludes U.S. Treasury Notes and Bills valued at $125.5 million. The U.S. Treasury Notes and 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 20 for additional hedge detail
Page 31
Orchid Island Capital MBS Portfolio Characteristics as of December 31, 2024 31Source: Company Press ReleasesNote: Above table excludes U.S. Treasury Notes valued at $100.6 million. The U.S. 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 20 for additional hedge detail Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) 3m CPR1m CPRWA MatAGEGWACCPNCurrent PricePercent of PortfolioFMVFaceTypeFixed 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 MBSStructured 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 3.086,312 (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 4.5774 (2,257)9.3%2.8%1731745.37%5.00%21.090.01%353,2521,674,678IO 30yr 5.080,716 (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 4.014,299 (30,334)7.0%5.5%2221214.56%3.19%14.380.29%15,497,571107,756,476Total Structured MBSMortgage 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 AssetsInt Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Notional Balance Hedge6,173,668 (6,369,658)Mar-2025(312,500,000)5-Year Treasury Future2,877,910 (2,966,009)Mar-2025(93,500,000)10-Year Treasury Future1,362,447 (1,429,033)Mar-2025(32,500,000)10-Year Ultra Treasury Future81,039,370 (83,890,324)Jun-2030(3,516,800,000)Swaps5,976,969 (5,785,892)Jan-2025(200,000,000)TBA Short97,430,364 (100,440,916)(4,155,300,000)$Hedge Total(18,413,688)$5,365,904 $Rate Shock Grand Total
Page 32
Orchid Credit Counterparties 32Source: Company Press Releases ($ in thousands)As of March 31, 2025Longest MaturityWeighted Average Maturity in Days% of TotalTotal Outstanding Balances Counterparty5/21/2025445.62%360,622J.P. Morgan Securities LLC5/13/2025205.57%357,342Wells Fargo Bank, N.A.4/22/2025145.29%339,814MUFG Securities Canada, Ltd.6/13/2025315.25%337,229Merrill Lynch, Pierce, Fenner & Smith5/13/2025255.22%335,085ABN AMRO Bank N.V.4/28/2025274.94%316,891Citigroup Global Markets Inc6/23/2025824.92%315,802RBC Capital Markets, LLC9/15/2025944.70%301,984Mirae Asset Securities (USA) Inc.5/20/2025404.65%298,418Clear Street LLC5/28/2025564.64%297,854DV Securities, LLC Repo5/22/2025414.63%297,090Cantor Fitzgerald & Co5/21/2025434.61%295,968ASL Capital Markets Inc.5/28/2025514.54%291,477StoneX Financial Inc.5/21/2025314.34%278,700Daiwa Securities America Inc.6/13/2025314.23%271,723South Street Securities, LLC4/28/2025284.21%269,917Goldman, Sachs & Co5/29/2025574.19%268,736Marex Capital Markets Inc.5/8/2025333.98%255,390ING Financial Markets LLC4/25/2025233.69%236,865Bank of Montreal6/12/2025713.13%201,119Mitsubishi UFJ Securities (USA), Inc.4/21/2025212.99%191,609The Bank of Nova Scotia4/17/2025172.18%140,103Banco Santander SA5/12/2025301.91%122,879Nomura Securities International, Inc.4/16/2025160.56%36,024Lucid Prime Fund, LLC9/15/202540100.0%6,418,641$Total / Weighted Average
Page 33
Gains (Losses) on Derivative Instruments 33Source: Company Financials1. 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 2025 to date and 2024.
Page 34
Economic Net Interest Spread 34Source: Company Financials1. Portfolio yields and costs of borrowings presented in the tables 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 presented in the tables above includes the effect of our derivative instrument hedges for only the periods presented.3. Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.4. Economic net interest spread is calculated 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 2025 to date and 2024 on both a GAAP and economic basis.
Page 35
35 Securitized Products Returns March 2025Last 12 months from March 2024 return summary – sorted by total returnsLast 12 months from March 2024 returns summary – sorted by excess return3/31/20252024Last 12 Mo. (As of 3/31/25)Current Spread / PriceExcess Return (vs. Swaps/Libor)Total ReturnExcess Return (vs. Swaps/Libor)Total ReturnSector62515.2%20.6%9.3%14.2%CLO 2.0/3.0 BB86714.4%17.6%5.5%11.2%CMBS BBBNA12.0%16.1%6.4%10.8%SP down in credit indicator3008.2%13.3%5.7%10.5%CLO 2.0/3.0 BBB2163.4%8.0%4.9%9.8%Legacy RMBS2004.6%9.6%3.8%8.3%CLO 2.0/3.0 A12360N/A25.0%N/A8.3%S&P 5001704.0%8.9%3.3%7.7%CLO 2.0/3.0 Total3555.2%8.2%1.9%7.6%HY Corporate2007.5%12.7%2.7%7.4%CRTBl1803.8%8.7%2.6%7.3%CLO 2.0/3.0 AANA3.3%7.3%2.2%7.0%SP return indicator1252.7%7.6%2.4%7.0%CLO 2.0/3.0 AAANA4.0%9.0%2.2%6.9%Leveraged Loans1403.6%5.9%1.3%6.7%CMBS1203.4%8.4%1.8%6.5%CRT Ml23328N/A25.9%N/A6.4%NDX 1001704.4%9.4%1.7%6.3%CRT M2/0ld M3NA3.3%6.2%1.4%6.3%SP AAA indicator972.0%5.9%0.8%6.3%Fixed ABS302.1%7.0%1.6%6.2%Floating ABS381.3%3.0%0.6%5.9%Agency CMBS47-0.1%1.3%0.3%5.5%Agency MBS972.6%2.8%0.7%5.3%IG Corporate00.0%0.5%0.0%4.5%US Treasury 3/31/20252024Last 12 Mo. (As of 3/31/25)Current Spread / PriceExcess Return (vs. Swaps/Libor)Total ReturnExcess Return (vs. Swaps/Libor)Total ReturnSector12360N/A25.0%N/A8.3%S&P 50023328N/A25.9%N/A6.4%NDX l 0062515.2%20.6%9.3%14.2%CLO 2.0/3.0 BBNA12.0%16.1%6.4%10.8%SP down in credit indicator3008.2%13.3%5.7%10.5%CLO 2.0/3.0 BBB86714.4%17.6%5.5%11.2%CMBS BBB2163.4%8.0%4.9%9.8%Legacy RMBS2004.6%9.6%3.8%8.3%CLO 2.0/3.0A1704.0%8.9%3.3%7.7%CLO 2.0/3.0 Total2007.5%12.7%2.7%7.4%CRTBl1803.8%8.7%2.6%7.3%CLO 2.0/3.0AA1252.7%7.6%2.4%7.0%CLO 2.0/3.0 AAANA3.3%7.3%2.2%7.0%SP return indicatorNA4.0%9.0%2.2%6.9%Leveraged Loans3555.2%8.2%1.9%7.6%HY Corporate1203.4%8.4%1.8%6.5%CRT Ml1704.4%9.4%1.7%6.3%CRT M2/0ld M3302.1%7.0%1.6%6.2%Floating ABSNA3.3%6.2%1.4%6.3%SP AAA indicator1403.6%5.9%1.3%6.7%CMBS972.0%5.9%0.8%6.3%Fixed ABS972.6%2.8%0.7%5.3%IG Corporate381.3%3.0%0.6%5.9%Agency CMBS47-0.1%1.3%0.3%5.5%Agency MBS00.0%0.5%0.0%4.5%US TreasurySource: BofA Global Research - Securitized Products Returns for March 2025/ Securitized Products Strategy / 01 April 2025
Page 36
Securitized Products Returns March 2025 36Source: BofA Global Research - Securitized Products Returns for March 2025/ Securitized Products Strategy / 01 April 2025 Securitized products total and excess returns versus swaps