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8Q3 2026 Earnings Supplemental MaterialsOctober 23, 2026 1
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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, anticipated returns on our investments, interest rates, the mortgage backed securities markets, financing and hedging opportunities, funding costs, interest rate sensitivity, prepayments, the economy, inflation, Iran War, 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 ContentsTopic PointFinancial Results 4 - 7Market Developments 8 - 14Portfolio Characteristics & Hedge Positions 15 - 24Appendix 25 - 383 Slide(s)
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4Financial Results
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5 Financial Highlights for the Quarter Ended September 30, 2026Net Income (Loss)1 Book Value1Dividend Declared1Total Return2Q3 26Q2 26Q3 26Q2 26Q3 26Q2 26Q3 26Q2 26$6.02$7. 22$(0.90) $0.44$0.30$ 0.30(12.5)% 6.2%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
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6 Portfolio Highlights for the Quarter Ended September 30, 2026Average MBS Balances(in millions)Economic Leverage Ratio1, 2Liquidity3Speeds(3mo. Portfolio CPR)Q3 26Q2 26Q3 26Q2 26Q3 26Q2 26Q3 26Q2 26Source: Company Press Releases 7.3$11,104 $ 11, 43944.0% 53.7%10.91. The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity2. The economic leverage ratio excludes amounts related to a reverse repurchase agreement in place at 9/30/20263. Liquidity is calculated as the percentage of unrestricted cash, cash equivalents, unpledged RMBS and unpledged U.S. Treasury securities to stockholders’ equity8.48.6
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Orchid Island Capital Financial Results for the Quarter Ended September 30, 2026 7Source: Company Financials Income Statement($ in thousands, except for per share data)Balance Sheet($ in thousands, except for per share data)Three Months Ended September 30,20252026108,434$164,120$Interest income(81,515)(104,986)Interest expense26,91959,134Net interest (expense) income--Realized gains (losses) on mortgage-backed securities59,372(567,087)Unrealized gains (losses) on mortgage-backed securities(8,772)335,368Gains (losses) on derivative and other hedging instruments77,519(172,585)Net portfolio income (loss)5,4416,335Expenses72,078$(178,920)$Net Income (loss)94(280)Other comprehensive income72,172(179,200)Comprehensive net income (loss)0.53$(0.90)$Basic and diluted net income (loss) per share136,368,958198,454,916Weighted Average Shares Outstanding0.36 $0.30 $Dividends Declared Per Common Share31-Dec-2530-Sep-26ASSETS:10,628,658$10,667,068$Mortgage-backed securities135,133207,861U.S. Treasury securities665,865462,423Cash and cash equivalents58,696151,545Restricted cash49,12753,076Accrued interest receivable9,25320,703Derivative assets, at fair value128,613460,471Reverse repurchase agreements--Receivables for investment securities and TBA transactions648860Other assets11,675,993$12,024,007$Total AssetsLIABILITIES AND STOCKHOLDERS' EQUITY10,115,466$10,361,717$Repurchase agreements1,519-Payable for investment securities and TBA transactions21,86519,491Dividends payable1,8461,180Derivative liabilities, at fair value31,39719,491Accrued interest payable1,6611,667Due to affiliates128,724435,692Obligation to return securities borrowed under reverse repurchase agreements, at fair value1,56712,933Other liabilities10,304,04510,852,171Total Liabilities1,371,9481,171,836Total Stockholders' Equity11,675,993$12,024,007$Total Liabilities and Stockholders' Equity181,985,900194,661,864Common shares outstanding7.54$6.02$Book value per share
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Market Developments8
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1Mo3Mo6Mo1Yr2Yr3Yr5Yr7Yr10Yr30Yr3.5%4.0%4.5%5.0%5.5%6.0%06/30/2609/30/2610/16/261Mo3Mo6Mo1Yr2Yr3Yr5Yr7Yr10Yr30Yr3.5%4.0%4.5%5.0%5.5%6.0%06/30/2609/30/2610/16/26U.S. Treasury, U.S. Dollar Swap, Yield Spread CurveYield (%)9Source: Bloomberg Data Yield (%)U.S. Treasury Curve SOFR Swap CurveHigh: 2.294% 05/06/22 Low: -1.868% 05/03/2310/16/26: 0.910%-2.0%-1.0%0.0%1.0%2.0%3.0%Sep-16Mar-17Sep-17Mar-18Sep-18Mar-19Sep-19Mar-20Sep-20Mar-21Sep-21Mar-22Sep-22Mar-23Sep-23Mar-24Sep-24Mar-25Sep-25Mar-26Sep-26 Yield (%)3-Month Treasury Bill vs 10-Year Treasury Note Yield Spread
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-2024681012Roll Close in ticks (1/32)1 Year FNCL Roll30Y 3s UMBS/FNMA30Y 4s UMBS/FNMA30Y 5s UMBS/FNMA30Y 6s UMBS/FNMA93.094.095.096.097.098.099.0100.0101.0FNCL 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 bps10/16/26: 116 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 Jan-2026
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Swaption Implied Volatility 11Source: Citi Velocity, Bloomberg Data20406080100120140160180200Swaption Implied Volatility (MOVE Index)60708090100110Sep-25 Dec-25 Mar-26 Jun-26 Sep-263m x 10Y Normal Vol3M x 10Y USD Normal Annual RFR Vol (BPS/ANNUM)
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12Source: Bloomberg Data, Company Press Releases Swap Spreads *DV01 for Orchid hedge portfolio as of 9/30/2026Weighted average maturity of 4 years, 8 months-45.00-40.00-35.00-30.00-25.00-20.00-15.00-10.006/30/2026 7/31/2026 8/31/2026 9/30/2026Swap Spread by Tenor USSFCT02 BGN CurncyUSSFCT05 BGN CurncyUSSFCT07 BGN CurncyUSSFCT10 BGN Curncy0.5%27.0%68.3%4.2%Hedge Weight by DV01SOFR FuturesTreasury FuturesSwapsTBA Shorts
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13 Refinancing ActivityRefi Index vs. Mortgage RatesRefi Index vs. Percent In-The-Money (“ITM”)Primary – Secondary Spreads Source: Wells Fargo Securities bps2.53.54.55.56.57.58.501,0002,0003,0004,000 Mortgage Rate (%) Refi IndexAggregate Refi Index - 516Mortgage Rates (0-pt) - 7.46%04812162001,0002,000Jan-23 Jul-23 Jan-24 Jul-24 Jan-25 Jul-25 Jan-26 Jul-26 %ITM Refi IndexPcnt ITM (All 30-yr) - 0.2%Aggregate Refi Index - 51650100150200250
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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 2025 2026Tillions ($)U.S. GDP vs Money Supply U.S. Money Supply - M2U.S. GDP - Nominal Dollars
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15Portfolio Characteristics & Hedge Positions
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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 rate sell-off triggered widespread selling/deleveraging, causing Agency RMBS spreads to widen materially. The Agency RMBS sector generated negative absolute and excess returns versus comparable duration swaps for the quarter. To counter the sell-off, we did not reinvest paydowns for all three months, sold approximately $380mm of pools and adjusted the notional amount and duration of our hedges. We were able to maintain ample liquidity. The current economic leverage ratio is 8.6, but hedge coverage is sufficient to maintain a near-flat model sensitivity to shocks, with a duration gap of 0.17 yrs. Hedge coverage via swaps are in place to protect against additional Fed interest rate hikes. 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 ReleasesDevelopments During the Quarter:•The weighted average coupon of the fixed-rate MBS portfolio was unchanged at 5.54% versus 5.54% at June 30, 2026•Realized yield1on portfolio increased from 5.74% to 5.91% at June 30, 2026 and September 30, 2026, respectively•Inclusive of hedge instruments, economic net interest spread2for the third quarter of 2026 was 2.54% from 2.41% for the second quarter of 2026•Allocation among 30yr RMBS coupons essentially unchanged from the end of the second quarter to the end of the third quarter with balances slightly lower.1. 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
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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 mortgage rates moved even higher and markets are pricing additional Fed interest rate hikes. The performance of specified pools was quite poor versus TBAs during the third quarter, although TBA roll performance was volatile – typically driven by technical factors. The portfolio remains concentrated in production coupons in the form of modest call-protected securities. 17 Investment Portfolio Pass-Through Holdings *The above excludes U.S. Treasury Notes and Bills valued at $207.9 million as of 9/30/2026Source: Company Press Releases$0$500$1,000$1,500$2,000$2,500$3,000$3,500$4,0003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 03/31/202630-Year Fixed Rate RMBS15-Year TBADeriv$0$500$1,000$1,500$2,000$2,500$3,000$3,500$4,0003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 06/30/202630-Year Fixed Rate RMBS15-Year TBADeriv$0$500$1,000$1,500$2,000$2,500$3,000$3,500$4,0003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 09/30/202630-Year Fixed Rate RMBS15-Year TBADeriv
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Interest RateAmount ($ in thousands)Term3.98%9,611,523Repo Funding ≤30 days4.09%750,194Repo Funding >30 days3.99%10,361,717Total3.63%7,864,200Swaps (Pay Fixed vs. Receive SOFR)3.83%Blended Cost of Funds18 Investment Portfolio Funding Costs as of September 30, 2026•The weighted average repo rate at September 30, 2026 was 3.99% compared to 3.77% as of June 30, 2026•Repurchase obligation weighted average maturity as of September 30, 2026 was 26 days compared to 33 days as of June 30, 2026•Orchid’s average economic cost of funds1, inclusive of interest rate swaps, swaptions, and U.S. Treasury future short positions was 3.43% for the quarter ended September 30, 2026 vs 3.33% for the quarter ended June 30, 2026•Orchid’s adjusted leverage ratio was 8.8 to 1 as of September 30, 2026 vs 7.7 to 1 as of June 30, 2026 (adjusted leverage ratio is calculated as repurchase agreement balance divided by stockholders’ equity)Source: Company Press Releases 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 balances at money market funds, the funding markets remained calm over the quarter and funding spreads to SOFR were generally in the high single-digit to low double-digit range. Increases to U.S. Treasury bill issuance resulting from continued budget deficits could pressure spreads higher in the future.Agency Repurchase Agreements1. See appendix for calculations and reconciliations0.00%1.00%2.00%3.00%4.00%5.00%6.00%Avg 1M SOFRCost of fundsEconomic Cost of Funds
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Mark to Market Gain (Loss) / Share*Mark to Market Gain (Loss) ($ in thousands)Hedge Period Average EndNotional($ in thousands)$1.34$266,648Jun-31$(7,864,200)Interest Rate Swaps$0.20$40,836Aug-34$(1,968,600)Short Future Positions$0.05$9,258n/an/aSwaptions & Rate Derivatives$0.11$20,911n/a$(415,000)Short TBAs$1.70$337,652$(10,247,800)Totals19 Hedging Positions•Total notional balance of hedge positions of $(10,247.8) million at September 30, 2026•Interest rate swaps with a notional balance of $(7,864.2) million at September 30, 2026•Covered 76% of our repo funding liability•Weighted average pay fix rate of 3.63%•SOFR, U.S. Treasury, and ERIS swap future short position of $(1,968.6) million at September 30, 2026•Short TBA positions of $(415.0) million at September 30,2026•Orchid had no swaption positions as of September 30, 2026Hedge Positions – Summary MetricsOrchid has hedge positions equal to approximately 99% of our repo funding liability with continued emphasis on interest rate swaps. The notional balance of our hedges increased from 91% at the end of the second quarter of 2026. The duration of our hedges was also increased, particularly with respect to our futures positions as we materially increased our 10-year and 10-yearultra short positions and added a 30-year ultra short position. *Weighted average shares for the quarter ended 9/30/2026 was 198,454,916Three Months Ended September 30, 2026Source: Company Press Releases
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20 Hedging PositionsTBA Positions Net Carrying ValueMarket ValueCost BasisNotional Amount (Short)($ in thousands)As of September 30, 202612,403 (319,152)(331,555)(345,000)FNCL 5.0 10/261,263 (68,453)(69,716)(70,000)FNCL 6.0 11/2613,666 $(387,605)$(401,271)$(415,000)$As of June 30, 2026(1,419)(142,689)(141,270)(145,000)FNCL 5.0 7/26(3,304)(451,868)(448,564)(449,900)FNCL 5.5 7/26(4,723)$(594,557)$(589,835)$(594,900)$ Swap AgreementsWeighted Avg Maturity (Years)Net Estimated Fair ValueAverage Receive RateAverage Fixed Pay RateNotional Amount($ in thousands)As of September 30, 20262.9183,708 3.90%3.47%5,292,800 Expiration > 1 to ≤ 5 years8.3155,020 3.90%3.97%2,571,400 Expiration > 5 years4.7338,728 $3.90%3.63%7,864,200 $As of June 30, 20263.069,557 3.68%3.46%5,292,800 Expiration > 1 to ≤ 5 years8.04,943 3.68%3.92%2,521,400 Expiration > 5 years4.674,499 $3.68%3.61%7,814,200 $Interest Rate FuturesOpen Equity(1)Weighted Average Effective RateWeighted Average Entry RateContract Notional Amount($ in thousands)(Short Position)As of September 30, 20262,599 3.93%3.35%(390,000)3-Month SOFR Future(3)17,763 5.24%4.90%(858,600)Dec 2026 10-year T-Note(2)16,963 5.33%4.95%(560,000)Dec 2026 10-year Ultra(2)1,313 5.75%5.69%(150,000)Dec 2026 30-year Ultra(2)146 4.86%4.52%(10,000)ERIS Swap Futures38,783 $(1,968,600)$(Short Position)As of June 30, 20262,599 3.93%3.35%(390,000)3-Month SOFR Future(3)(1,773)4.31%4.46%(188,600)Jun 2026 10-year T-Note(2)(954)4.43%4.62%(60,000)Jun 2026 10-year Ultra(2)(38)3.91%4.01%(10,000)ERIS Swap Futures(166)$(648,600)$Source: Company Press Releases1. Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.2. 10-year T-Note futures contracts, 10-year Ultra futures contracts, and 30-year Ultra futures contracts were valued at prices of $104.20, $105.00, and $103.59 as of September 30, 2026.3. 3-Month SOFR futures expire every 3 months starting December 2026 and ending June 2027.4. ERIS swap futures are exchange traded futures that replicate the cash flows of an underlying swap position.Underlying SwapOptionSwaptions & Rate DerivativesWeighted Avg Maturity (Years)Receive Rate (SOFR)Fixed Pay RateNotional Amount(4)WAVG Months to ExpirationFair ValueCost(4)($ in thousands)As of September 30, 2026$$$Total / WAVGAs of June 30, 20265.0OvernightN/A1,000,000 5 3,542 4,100 6m5y Payer Spread5.01,000,000 $5 3,542 $4,100 $Total / WAVG
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Interest Rate SensitivitiesORC Portfolio Allocation5Bear Flattener4Bull Steepener4+50 bps3-50 bps3Effective Convexity2Effective Duration2OAS 2Current Price 1 ($)Coupon2.4%-3.563.67-3.443.40-0.146.8452.8181.413.0 0.3%-3.463.56-3.323.22-0.386.5425.8684.633.5 0.4%-3.323.39-3.102.99-0.456.1044.1587.144.0 3.6%-3.183.13-2.902.69-0.835.6050.8689.804.5 18.6%-2.962.90-2.622.41-0.855.0355.1592.615.0 35.6%-2.712.58-2.312.08-0.904.3961.3995.415.5 27.4%-2.432.18-1.971.70-1.033.6962.9598.086.0 11.3%-2.141.76-1.661.34-1.243.0464.08100.616.5 0.5%-1.931.53-1.451.15-1.202.6375.32102.407.0 100%-2.652.49-2.252.01-0.944.2760.26Total Weighted Average21 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 September 30, 2026. 1. TBA prices at 9/30/262. 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
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Model Interest Rate SensitivityOrchid’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 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(1,577)1,43930,345$98,52315-year MBS(240,051)220,1094,615,520$10,655,68530-year MBS(1)(21)(96)$11,383IO/IIO Securities(241,629)221,5274,645,769$10,765,591Total RMBS Assets220,596(225,686)(4,464,801)$10,247,800Hedge Position(21,033)(4,159)0.17 yearsNet Duration Gap(1.79%)(0.35%)Duration Gap / Total Equity1Source: Company Press Releases ($ in thousands)1. Total equity of $1,171.8 million at 9/30/26
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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 quarter of 2027. Given the move in rates during the quarter, the vast majority of Orchid’s portfolio is priced at a discount, and prepayments enhance income via discount accretion. 23 Investment Portfolio Prepayment ExperienceQ3 20262Q2 20262September 2026August 2026July 2026WALA1Securities (by coupon)30-year MBS6.7%6.5%6.4%6.1%7.7%653.0 11.9%3.4%0.8%16.1%18.7%843.5 5.7%11.4%2.2%9.8%5.0%884.0 6.2%6.0%7.8%4.6%6.3%334.5 4.2%5.1%4.4%4.4%3.8%165.0 6.1%6.3%5.9%5.6%6.7%165.5 10.4%14.8%11.2%9.3%10.8%216.0 17.9%23.0%14.7%18.4%20.5%236.5 21.1%30.2%7.7%6.2%49.5%347.0IO/IIO9.2%5.6%10.5%5.7%11.3%1083.7456.9%6.7%7.8%2.9%10.1%1444.0 8.6%9.1%10.3%3.0%12.4%1944.5 2.4%8.5%0.9%4.8%1.4%1955.0 8.4%10.8%8.0%7.7%9.0%Total Prepayment Speeds (CPR) Source: Bloomberg Data1. Weighted average loan age in months as of 9/30/20262. Calculated as the average of 1-month CPR during the quarter
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24 Orchid Island Capital – Q3 Wrap-up and OutlookLooking back:•Extremely difficult market conditions shaped our actions with the portfolio during the quarter. Leverage expansion was mitigatedby modest asset sales and not reinvesting paydowns. Instead, risk was mitigated by extensive increases in the notional balance and duration of the hedge portfolio. Liquidity, while lower, is still ample.•By leaving most of the portfolio intact and with higher interest rates leading to discount pricing of most of the portfolio, we believe the income-generating capacity of the portfolio could be enhanced by potential discount accretion.Looking forward:•We anticipate that rates will remain elevated for the foreseeable future and that the Fed will raise short-term rates again over the near term.•The interest rate market appears to have stabilized for the time being and forced selling/deleveraging appears to have ceased.•Our hedge coverage should mitigate potential additional increases to funding costs. Assuming the funding markets remain stable, our net interest income should be preserved at or near current levels.•Agency RMBS spreads have recovered modestly so far in the fourth quarter.•To the extent the market remains stable, current valuations are supportive for the Agency RMBS sector going forward. 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 term. Orchid was unable to raise additional capital owing to the share price trading well below book value, although we were able to repurchase approximately 6.6 million shares through mid-October at attractive discounts to book value. Leverage is at the high end of our acceptable range, but hedge coverage – both in terms of the notional balance and duration – mitigates this risk. We had less than $400 million of asset sales and therefore did not lock in meaningful losses or book value impairment through forced liquidations.
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Appendix25
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26Source: Bloomberg Data ACM 10 Year Treasury Term Premia10/15/26: 0.748%-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%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
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27Source: Bloomberg Data Current Coupon Mortgage Spreads 70110150190Dec-2022 Dec-2023 Dec-2024 Dec-20257 Yr Swap Spread10 Yr U.S. Treasury Spread
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28Source: 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 02/01/2210/07/26: $2,689High: $2,718 08/01/2210/07/26: $1,898$1,200$1,400$1,600$1,800$2,000$2,200$2,400$2,600$2,800$3,000$3,200$ billionsCommercial Banks & Federal Reserve Holdings of MBS Bank HoldingsFed Holdings
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29 Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Source: Bloomberg Data0.26%-3.31%-2.77%-1.06%-1.57%-2.91%-3.11%-4.18%-3.01%-2.12%0.10%1.13%12.73%-6%-4%-2%0%2%4%6%8%10%12%14%YTD 2026 Returns as of 09/30/26-0.80%-4.26%-3.04%-1.82%-3.03%-3.51%-3.94%-6.35%-3.71%-3.23%-1.82%-3.03%2.33%-8%-6%-4%-2%0%2%4%Q3 2026 Returns
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Orchid Island Capital Leverage Ratio History 30Source: 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’ equity3. The economic leverage ratio excludes amounts related to reverse repurchase agreement(s) in place at 9/30/20268.88.65.06.07.08.09.010.011.0Sep-16Mar-17Sep-17Mar-18Sep-18Mar-19Sep-19Mar-20Sep-20Mar-21Sep-21Mar-22Sep-22Mar-23Sep-23Mar-24Sep-24Mar-25Sep-25Mar-26Sep-26 Leverage RatioAdjusted Leverage (1)Economic Leverage (2)(3)
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31Source: Bloomberg Data Stockholders’ Equity vs ExpensesAnnual Growth Rate: 15.0% $- $200 $400 $600 $800 $1,000 $1,200 $1,400 $1,6002015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026million $Stockholders' EquityAnnual Growth Rate: 11.9% $- $5 $10 $15 $20 $25 $302015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026million $Expenses
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Orchid Island Capital Expense Ratio History 32Source: Company Press Releases1. The expense ratio is calculated as the annualized expenses divided by stockholders’ equity0.0%1.0%2.0%3.0%4.0%5.0%6.0%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-26ORC
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Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) 3m CPR1m CPRWA MatAGEGWACCPNCurrent PricePercent of PortfolioFMVFaceTypeFixed Rate MBS(1,577,360)1,439,427 158166.23%5.50%98.520.92%98,523,440100,000,00015yr TBA 5.5(1,577,360)1,439,427 158166.23%5.50%98.520.92%98,523,440100,000,00015yr Total(7,875,813)7,845,751 6.8%6.4%287653.52%3.00%82.892.37%255,076,145307,710,60130yr 3.0(921,129)915,782 12.4%0.8%256844.30%3.50%85.140.28%30,342,56635,637,84330yr 3.5(1,147,675)1,128,181 5.9%2.2%267884.77%4.00%89.280.38%41,201,22746,150,30030yr 4.0(10,307,947)9,805,865 6.3%7.8%322335.46%4.50%90.653.60%387,971,662427,974,24030yr 4.5(51,078,645)47,552,740 4.3%4.4%340166.00%5.00%92.9918.41%1,982,310,2672,131,841,15130yr 5.0(88,448,135)81,444,981 5.9%5.9%339166.45%5.50%95.9535.22%3,792,066,2663,951,937,81430yr 5.5(58,689,256)52,681,155 10.6%11.2%333216.92%6.00%98.6727.10%2,917,259,8232,956,604,53230yr 6.0(20,745,002)18,000,189 18.3%14.7%331237.39%6.50%101.2311.15%1,200,244,8071,185,660,59830yr 6.5(837,521)734,084 25.5%7.7%318347.91%7.00%102.720.46%49,212,72547,910,85530yr 7.0(240,051,125)220,108,728 8.44%8.01%334216.46%5.53%96.0798.98%10,655,685,48711,091,427,93330yr Total(241,628,485)221,548,1568.44%8.01%333216.46%5.53%96.0999.89%10,754,208,92711,191,427,933Total Pass-Through MBSStructured MBS(753)846 12.0%13.6%591764.56%4.00%7.180.00%309,5294,308,097IO 20yr 4.014,008 (49,320)6.8%7.3%2061444.60%4.00%17.790.10%10,320,24458,003,990IO 30yr 4.0(1,869)733 8.6%10.3%1531944.99%4.50%18.500.00%463,8472,506,830IO 30yr 4.5(717)88 2.4%0.9%1521955.37%5.00%20.030.00%265,6731,326,169IO 30yr 5.010,669 (47,653)7.1%7.7%1941494.63%4.04%17.170.11%11,359,29366,145,086IO Total(11,698)26,494 9.2%10.5%2401084.40%0.15%0.180.00%23,30412,791,868IIO 30yr 4.0(1,028)(21,160)7.4%8.2%2011424.59%3.41%14.420.11%11,382,59878,936,954Total Structured MBSMortgage Assets(241,629,514)$221,526,996 $8.43%8.02%332226.45%5.51%100%10,765,591,525$11,270,364,887$Total Mortgage AssetsInt Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Notional Balance Hedge1,218,750 (1,218,750)Mar-2027(390,000,000)3-Month SOFR Futures25,965,131 (25,898,425)Aug-2033(858,600,000)10-Year Treasury Futures21,631,962 (22,643,411)May-2036(560,000,000)10-Year Ultra Treasury Futures11,999,837 (11,915,577)Nov-2052(150,000,000)30-Year Ultra Treasury Futures161,169 (164,845)Dec-2031(10,000,000)ERIS Swap Futures149,892,613 (154,989,998)Jun-2031(7,864,200,000)Swaps9,726,242 (8,854,602)Oct-2026(415,000,000)TBA Short220,595,703 (225,685,608)(10,247,800,000)$Hedge Total(21,033,811)$(4,158,612)$Rate Shock Grand Total Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2026 33Source: Company Press ReleasesNote: Above table excludes U.S. Treasury Notes and Bills valued at $207.9 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
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Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) 3m CPR1m CPRWA MatAGEGWACCPNCurrent PricePercent of PortfolioFMVFaceTypeFixed Rate MBS(8,496,863)8,376,422 6.5%8.1%291623.52%3.00%88.862.43%280,604,876315,784,50930yr 3.0(1,010,901)992,868 3.7%1.7%260814.30%3.50%91.390.29%33,944,07137,143,88830yr 3.5(1,208,340)1,168,570 11.4%10.2%270854.77%4.00%94.880.39%45,096,91947,531,95630yr 4.0(10,098,253)9,134,954 6.1%7.6%326305.46%4.50%96.783.66%422,712,008436,795,90630yr 4.5(47,401,795)40,359,536 5.2%4.6%344136.00%5.00%98.9118.55%2,140,193,5332,163,688,22030yr 5.0(76,233,812)60,965,419 6.6%6.4%343136.45%5.50%101.3835.41%4,086,306,3764,030,631,73330yr 5.5(43,624,906)31,502,880 15.1%11.0%336186.92%6.00%103.1127.26%3,146,123,6073,051,318,91030yr 6.0(13,756,231)9,259,417 22.8%22.2%334207.39%6.50%104.4511.42%1,317,446,4731,261,375,20830yr 6.5(599,976)458,341 42.4%15.6%321317.91%7.00%105.880.48%55,770,73352,675,96930yr 7.0(202,431,076)162,218,406 10.92%9.20%338186.47%5.54%101.1599.90%11,528,198,59611,396,946,29830yr Total(202,431,076)162,218,40610.92%9.20%338186.47%5.54%101.1599.90%11,528,198,59611,396,946,298Total Pass-Through MBSStructured MBS(1,078)1,208 13.4%11.3%621734.56%4.00%7.410.00%344,0684,644,255IO 20yr 4.091,044 (146,348)6.6%7.6%2091414.60%4.00%18.050.09%10,809,66559,887,609IO 30yr 4.0292 (1,911)9.2%4.5%1561914.99%4.50%18.890.00%487,3932,580,614IO 30yr 4.5617 (1,957)9.0%22.1%1551925.37%5.00%19.350.00%266,9311,379,817IO 30yr 5.090,875 (149,007)7.2%8.1%1961474.62%4.04%17.390.10%11,908,05868,492,295IO Total(27,721)49,903 5.7%3.3%2431054.40%0.21%0.410.00%57,60914,080,408IIO 30yr 4.063,155 (99,104)7.0%7.2%2041394.59%3.39%14.490.10%11,965,66682,572,702Total Structured MBSMortgage Assets(202,367,922)$162,119,302 $10.89%9.18%337196.45%5.52%100%11,540,164,262$11,479,519,000$Total Mortgage AssetsInt Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Notional Balance Hedge1,950,000 (1,950,000)Jan-2027(390,000,000)3-Month SOFR Futures5,854,457 (6,062,483)May-2033(188,600,000)10-Year Treasury Futures2,542,167 (2,627,538)Feb-2036(60,000,000)10-Year Ultra Treasury Futures177,323 (181,614)Sep-2031(10,000,000)ERIS Swap Futures155,615,363 (160,872,426)Feb-2031(7,814,200,000)Swaps5,001,128 (2,736,957)Dec-2031(1,000,000,000)Swaptions10,685,587 (8,005,034)Jul-2026(594,900,000)TBA Short181,826,025 (182,436,053)(10,057,700,000)$Hedge Total(20,541,896)$(20,316,751)$Rate Shock Grand Total Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2026 34Source: Company Press ReleasesNote: Above table excludes U.S. Treasury Notes and Bills valued at $182.9 million. The U.S. Treasury Notes and Bills were purchased to post as collateral for hedge positions. (1) Modeled results from Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.(2) See slide 20 for additional hedge detail
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Orchid Credit Counterparties 35Source: Company Press Releases As of September 30, 2026Longest MaturityWeighted Average Maturity in Days% of TotalTotal Outstanding Balances ($ in thousands)Counterparty10/21/2026204.50%466,497Citigroup Global Markets Inc11/16/2026474.40%455,496Hidden Road Partners Civ US LLC10/19/2026194.32%447,423ABN AMRO Bank N.V.10/23/2026234.23%438,071StoneX Financial Inc.10/29/2026294.21%436,606Marex Capital Markets Inc.10/21/2026204.18%433,149ASL Capital Markets Inc.9/3/20271814.14%428,723South Street Securities, LLC10/16/2026164.09%423,924The Bank of Nova Scotia10/19/2026194.09%423,315J.P. Morgan Securities LLC10/13/2026133.88%402,148Banco Santander SA10/16/2026163.87%400,692Cantor Fitzgerald & Co10/16/2026103.83%396,961DV Securities, LLC Repo10/19/2026193.70%383,783Clear Street LLC10/23/2026213.68%381,829Daiwa Securities America Inc.10/1/202613.59%371,748Wells Fargo Securities, LLC10/1/202613.57%370,088Goldman, Sachs & Co10/26/2026203.35%346,653Brean Capital, LLC10/14/2026143.29%340,561ING Financial Markets LLC10/26/2026163.17%328,157RBC Capital Markets, LLC10/15/2026153.02%313,342TD Securities (USA) LLC10/21/2026212.69%278,527Mirae Asset Securities (USA) Inc.10/30/2026292.68%277,755Morgan Stanley & Co. LLC10/16/2026162.38%246,298MUFG Securities Canada, Ltd.10/19/2026192.18%226,333Mitsubishi UFJ Securities (USA), Inc.10/23/2026182.14%221,428Mesirow Financial, Inc.10/28/2026281.94%201,307Merrill Lynch, Pierce, Fenner & Smith10/14/2026141.93%200,018Nomura Securities International, Inc.10/16/2026161.71%176,921Natixis, New York Branch10/16/2026161.66%171,766Mizuho Securities USA LLC10/26/2026261.65%170,860Bank of Montreal10/26/2026261.45%150,098BNP Paribas Securities Corp.10/15/2026150.28%29,110Lucid Prime Fund, LLC10/14/2026140.21%22,130Canyon Partners, LLC9/3/202726100.0%10,361,717$Total / Weighted Average
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Gains (Losses) on Derivative Instruments 36Source: 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 2026 and 2025.
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Economic Net Interest Spread 37Source: 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 2026 and 2025 on both a GAAP and economic basis.
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38 Securitized Products Returns September 2026Last 12 months from September 2025 return summary – sorted by total returnsLast 12 months from September 2025 returns summary – sorted by excess return9/30/20262025Last 12 Mo. (As of 09/30/26)Current Spread / PriceExcess Return (vs. Swaps/Libor)Total ReturnExcess Return (vs. Swaps/Libor)Total ReturnSector37163N/A21.0%N/A23.6%NDX 10017160N/A17.9%N/A15.7%S&P 5001852.8%6.8%3.2%7.0%CRT B12754.2%8.1%2.9%6.6%CLO 2.0/3.0 BBB1201.8%5.8%2.2%5.9%CRT M11752.9%6.9%2.2%5.9%CLO 2.0/3.0 A1602.2%6.2%2.2%5.9%CRT M2/Old M3NA4.3%8.5%2.5%5.5%SP down in credit indicator1502.5%6.6%1.8%5.5%CLO 2.0/3.0 AA7505.0%9.3%1.6%5.4%CLO 2.0/3.0 BB1672.4%6.1%1.6%5.3%CLO 2.0/3.0 Total1231.9%6.0%1.6%5.1%CLO 2.0/3.0 AAA911.2%5.2%0.9%4.7%Floating ABS1965.7%9.7%2.2%4.6%Legacy RMBSNA2.0%5.9%0.9%4.6%Leveraged LoansNA2.0%6.7%1.5%3.3%SP return indicatorNA1.4%6.2%1.3%3.1%SP AAA indicator7673.6%9.4%2.8%3.0%CMBS BBB800.6%5.7%1.3%2.4%Fixed ABS3122.7%8.5%1.6%1.4%HY Corporate1161.6%7.6%1.5%0.7%CMBS321.3%7.5%1.2%-0.3%Agency CMBS302.6%8.3%1.0%-1.5%Agency MBS01.1%6.2%1.2%-2.0%US Treasury842.5%7.8%1.7%-2.0%IG Corporate 9/30/20262025Last 12 Mo. (As of 09/30/26)Current Spread / PriceExcess Return (vs. Swaps/Libor)Total ReturnExcess Return (vs. Swaps/Libor)Total ReturnSector37163N/A21.0%N/A23.6%NDX 10017160N/A17.9%N/A15.7%S&P 5001852.8%6.8%3.2%7.0%CRT B12754.2%8.1%2.9%6.6%CLO 2.0/3.0 BBB7673.6%9.4%2.8%3.0%CMBS BBBNA4.3%8.5%2.5%5.5%SP down in credit indicator1965.7%9.7%2.2%4.6%Legacy RMBS1752.9%6.9%2.2%5.9%CLO 2.0/3.0 A1201.8%5.8%2.2%5.9%CRT M11602.2%6.2%2.2%5.9%CRT M2/Old M31502.5%6.6%1.8%5.5%CLO 2.0/3.0 AA842.5%7.8%1.7%-2.0%IG Corporate1231.9%6.0%1.6%5.1%CLO 2.0/3.0 AAA7505.0%9.3%1.6%5.4%CLO 2.0/3.0 BB1672.4%6.1%1.6%5.3%CLO 2.0/3.0 Total3122.7%8.5%1.6%1.4%HY CorporateNA2.0%6.7%1.5%3.3%SP return indicator1161.6%7.6%1.5%0.7%CMBS800.6%5.7%1.3%2.4%Fixed ABSNA1.4%6.2%1.3%3.1%SP AAA indicator321.3%7.5%1.2%-0.3%Agency CMBS01.1%6.2%1.2%-2.0%US Treasury302.6%8.3%1.0%-1.5%Agency MBS911.2%5.2%0.9%4.7%Floating ABSNA2.0%5.9%0.9%4.6%Leveraged LoansSource: BofA Global Research - Securitized Products Returns for September 2026/ Securitized Products Strategy / 02 October 2026