Orchid Island Capital : First Quarter Earnings Conference Call

Q1 2024 Earnings Supplemental Materials

April 26, 2024

1

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, anticipated returns on our investments, the mortgage backed securities markets, financing and hedging investment opportunities, funding costs, book value, interest rate sensitivity, the economy, inflation, 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

Table of Contents

Topic Point

• Financial Results
• Market Developments
• Portfolio Characteristics, Credit & Hedge Positions
• Appendix

Slide(s)

4 - 8

9 - 14

15 - 24

25 - 35

3

Financial Results

4

Financial Highlights for the Quarter Ended March 31, 2024

Net Income (Loss)1

Q1 24	Q4 23
$0.38	$0.52

Total Return 2

Q1 24	Q4 23
4.18%	6.05%

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	5

Book Value 1

Q1 24	Q4 23
$9.12	$9.10

Dividend Declared 1

Q1 24	Q4 23
$0.36	$0.36

Portfolio Highlights for the Quarter Ended March 31, 2024

Average MBS Balances

(in millions)

Q1 24	Q4 23
$3,888	$4,207

	Speeds
	(3mo. Portfolio CPR)
Q1 24	Q4 23
6.0	5.5

Economic Leverage Ratio 1

Q1 24	Q4 23
7.0	6.7

Liquidity 2

Q1 24	Q4 23
44.8%	42.6%

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

Source: Company Press Releases

6

Orchid Island Capital Financial Results for the Three Months Ended March 31, 2024

Income Statement

($ in thousands, except for per share data)

		Three Months Ended March 31,
		2024		2023
Interest income	$	48,871	$	38,012
Interest expense		(51,361)		(42,217)
Net interest (expense) income		(2,490)		(4,205)
Gains (Losses) on RMBS and derivative contracts		26,004		12,739
Net portfolio income		23,514		8,534
Expenses		3,738		5,004
Net Income (Loss)	$	19,776	$	3,530
Other comprehensive income		(47)		-
Comprehensive net		19,729		3,530
Basic and diluted net income (loss) per share	$	0.38	$	0.09
Weighted Average Shares Outstanding		52,604,135		38,491,767
Dividends Declared Per Common Share:	$	0.36	$	0.48

Source: Company Financials

7

Balance Sheet

($ in thousands, except for per share data)

		31-Mar-24		31-Dec-23
ASSETS:
Mortgage-backed securities	$	3,881,078	$	3,894,012
U.S. Treasury securities		99,496		148,820
Cash, cash equivalents and restricted cash		203,620		200,289
Accrued interest receivable		15,614		14,951
Derivative assets, at fair value		12,511		6,420
Other assets		2,343		455
Total Assets	$	4,214,662	$	4,264,947
LIABILITIES AND STOCKHOLDERS'
EQUITY
Repurchase agreements	$	3,711,498	$	3,705,649
Payable for investment securities and TBA		395		60,454
transactions
Dividends payable		6,365		6,222
Derivative liabilities, at fair value		80		12,694
Accrued interest payable		12,769		7,939
Due to affiliates		1,007		1,013
Other liabilities		917		1,031
Total Liabilities		3,733,031		3,795,002
Total Stockholders' Equity		481,631		469,945
Total Liabilities and Stockholders' Equity	$	4,214,662	$	4,264,947
Common shares outstanding		52,826,169		51,636,074
Book value per share	$	9.12	$	9.10

Orchid Island Capital Financial Results for the Three Months Ended March 31, 2024

Adjusted Economic Income in Dollars ($ in thousands)

			Q1 2024		Q4 2023		Q3 2023		Q2 2023
Interest income	$	48,871	$	49,539	$	50,107	$	39,911
Plus/(minus) discount accretion/premium amortization due to paydowns			3,037		8,067		7,252		4,886
Less interest expense on repurchase agreement funding			51,361		52,325		58,705		48,671
Gains/(losses) on hedging derivative instruments attributable to current period1			27,587		25,161		24,440		23,482
Less Expenses			3,738		4,064		4,644		4,818
Adjusted economic income			24,396		26,378		18,450		14,790
Dividends declared	$	18,724	$	18,826	$	23,823	$	19,671
Adjusted Economic Income per Share*
			Q1 2024		Q4 2023		Q3 2023		Q2 2023
Interest income	$	0.95	$	0.95	$	1.05	$	0.99
Plus/(minus) discount accretion/premium amortization due to paydowns			0.06		0.15		0.15		0.12
Less interest expense on repurchase agreement funding			1.00		1.00		1.23		1.21
Gains/(losses) on hedging derivative instruments attributable to current period1			0.53		0.48		0.51		0.58
Less Expenses			0.07		0.08		0.10		0.12
Adjusted economic income			0.47		0.50		0.38		0.36
Dividends declared	$	0.36	$	0.36	$	0.48	$	0.48
*Weighted average shares for the period ended 03/31/2024 was 51,604,135
1. See slide 31 for a reconciliation of this non-GAAP financial measure

Source: Company Financials

8

Market Developments

9

U.S. Treasury, U.S. Dollar Swap, Yield Spread Curve

6.0%		US Treasury Curve
1Mo
	10/19/23
5.5%	3Mo	12/31/23

6Mo	03/31/24
04/19/24
5.0%

6.0%	SOFR Swap Curve
1Mo	10/19/23
3Mo	12/31/23
5.5%	03/31/24
6Mo
04/19/24
5.0%

Yield (%)

4.5%				(%)	4.5%
1Yr				Yield
4.0%				4.0%
2Yr	7Yr	10Yr	30Yr		1Yr
3Yr 5Yr

3.5%	3.5%
	2Yr
3.0%	3Yr	5Yr	7Yr	10Yr	30Yr
3.0%

3.0%

2.0%

3-Month Treasury Bill vs 10-Year Treasury Note Yield Spread

(%)

1.0%

04/19/24: -0.783%

Yield

High: 2.972% 09/05/13

0.0%

Low: -1.868% 05/03/23

-1.0%

-2.0%

Aug-13

Aug-14

Aug-15

Aug-16

Aug-17

Aug-18

Aug-19

Aug-20

Aug-21

Aug-22

Aug-23

Feb-13

Feb-14

Feb-15

Feb-16

Feb-17

Feb-18

Feb-19

Feb-20

Feb-21

Feb-22

Feb-23

Feb-24

Source: Bloomberg Data

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