Financial Data and Key Metrics Changes - The book value per share decreased to $11.55 at March 31, 2023, from $11.93 at the end of 2022, reflecting a decline of approximately 3.2% [54] - The company declared and paid a dividend of $0.48 per share during the quarter, with a total of $65.29 in dividends declared since the last IPO [54][68] - The net income per share was reported at $0.09, while the net earnings per share excluding realized and unrealized gains and losses was negative $0.24 [68] Business Line Data and Key Metrics Changes - The company maintained a low coupon bias, focusing on lower coupon mortgages which are expected to perform well in a slowing economy [1][4] - The weighted average coupon of the portfolio increased slightly to 3.56% at the end of Q1 from 3.47% at the end of the previous year, indicating a modest shift in strategy [35] Market Data and Key Metrics Changes - The mortgage market is experiencing significant volatility, with spreads widening and a notable impact from the liquidation of assets from failed banks [17][22] - The anticipated supply from FDIC liquidations is expected to pressure mortgage performance, particularly for lower coupon assets [17][21] Company Strategy and Development Direction - The company intends to maintain its current strategy, anticipating a pivot from the Fed and a subsequent economic downturn, which would favor their low coupon assets [4][24] - The focus remains on capital allocation towards lower coupon mortgages, avoiding higher coupon assets due to their exposure to market volatility [35][36] Management Comments on Operating Environment and Future Outlook - Management expressed concerns about the potential for prolonged high inflation and the risks associated with further bank failures impacting the mortgage market [3][50] - The outlook suggests that mortgage rates are likely to remain high and sticky until there is clear evidence of a Fed pivot [28] Other Important Information - The company has a leverage ratio of approximately 6.5, which is lower than reported due to extensive use of TBA shorts [33] - The company raised capital early in the quarter, selling approximately 2.7 million shares to fund mortgage purchases [34] Q&A Session Summary Question: Update on book value and economic leverage - The book value was down about 2% as of last Friday, with a current leverage figure of approximately 6.5 [9] Question: View on natural turnover in housing - Natural turnover in housing is very low, with existing home sales expected to remain benign due to high prices and rates [25] Question: Opinion on the MSR market - The MSR market is viewed as having more downside than upside, with large banks moving away from it [26] Question: Dividend sustainability - The company aims to maintain the current dividend level but may reconsider if inflation remains high and the economy does not roll over [61]

Financial Performance - Net income for Q1 2023 was $3.5 million, or $0.09 per share, compared to a net loss of $148.7 million, or $4.20 per share, in Q1 2022[138] - Interest income decreased to $38.0 million in Q1 2023 from $41.9 million in Q1 2022, a decline of approximately 9.2%[138] - Interest expense increased significantly to $42.2 million in Q1 2023 from $2.7 million in Q1 2022, reflecting a rise of approximately 1495.7%[138] - Gains on RMBS and derivative contracts were $12.7 million in Q1 2023, a substantial recovery from losses of $183.6 million in Q1 2022, representing a change of $196.3 million[138] - For the three months ended March 31, 2023, the company reported a net interest loss of $4.2 million, compared to a net interest income of $39.2 million for the same period in 2022[161] - The company generated $15.0 million of economic net interest income for the three months ended March 31, 2023, down from $37.6 million in the same period in 2022[162] - Total operating expenses for the three months ended March 31, 2023, were approximately $5.0 million, an increase of $625,000 compared to $4.4 million for the same period in 2022[182] Shareholder Actions - Total shares repurchased from inception of the stock repurchase program through March 31, 2023, amounted to 4,048,613 shares at an aggregate cost of approximately $68.8 million[135] - The company issued 9,742,188 shares under the October 2021 Equity Distribution Agreement for gross proceeds of approximately $151.8 million before its termination in March 2023[130] - The stock repurchase program has been authorized for up to 6,183,601 shares, representing approximately 18% of the company's outstanding shares as of October 2022[134] - The company declared a dividend of $0.16 per share on April 12, 2023, to be paid on May 26, 2023, contributing to a total of $552.568 million in dividends since its IPO[244] Investment Strategy - The company aims to provide attractive risk-adjusted total returns through capital appreciation and regular monthly distributions from its Agency RMBS investments[127] - The company’s investment strategy involves leveraging both traditional pass-through Agency RMBS and structured Agency RMBS to manage interest rate sensitivity and income stability[127] - The company has not elected to designate its derivative holdings for hedge accounting treatment, meaning fluctuations in their value do not impact reported interest expense[147] - The company utilizes futures contracts, interest rate swaps, and swaptions to hedge against interest rate increases, but effectiveness may vary based on prepayment rates[249] Market Conditions - The Agency RMBS market generated a total return of 2.5% for the first quarter of 2023, underperforming comparable duration SOFR swaps by 0.2%[216] - The yield on the 2-year U.S. Treasury note increased from approximately 4.43% on December 31, 2022, to a high of 5.07% on March 8, 2023, before declining to around 3.77% on March 24, 2023[214] - The Mortgage Bankers Association 30-year survey rate averaged 6.45% for the first quarter of 2023, with a high of 6.79% and a low of 6.18%[215] - The Agency RMBS market experienced a return of -1.2% compared to comparable duration SOFR swaps in Q1 2023[238] Liquidity and Borrowings - The company had cash and cash equivalents of $143.2 million as of March 31, 2023, and generated cash flows of $95.6 million from principal and interest payments on its RMBS portfolio[206] - The company had obligations outstanding under repurchase agreements of approximately $3,769.4 million as of March 31, 2023, with a net weighted average borrowing cost of 4.90%[194] - The average outstanding borrowings decreased to $3,573.9 million in Q1 2023 from $5,354.1 million in Q1 2022, contributing to the increase in interest expense despite the lower borrowing volume[171] - As of March 31, 2023, the ending balance of borrowings was $3,769,437, an increase of 11.56% from $3,378,445 on December 31, 2022[196] Risk Factors - The company faces significant liquidity risk, with potential margin calls increasing if the value of pledged Agency RMBS or derivative instruments decreases[264] - Interest rate sensitivity analysis indicates that a 200 basis point increase in interest rates could lead to a decline of 2.41% in market value and 21.39% in book value as of March 31, 2023[259] - Counterparty credit risk is present due to potential losses from counterparties failing to meet obligations under repurchase agreements and derivative contracts[267] - The company faces potential negative impacts on operations if prepayment rates decrease in a rising interest rate environment, leading to extended average life or duration of fixed-rate assets[266] Regulatory Environment - The Fed committed to purchasing $80 billion of U.S. Treasuries and $40 billion of Agency RMBS each month until tapering began in November 2021, ending net asset purchases by March 2022[218] - The LIBOR Act established SOFR as the new benchmark rate for contracts using LIBOR, providing a safe harbor from litigation for claims related to SOFR[223] - The FHFA allowed Enterprises to increase their capital buffers to $25 billion and $20 billion, respectively, from a prior limit of $3 billion each[220] - The final rule published by the FHFA on February 25, 2022, amended the Enterprise capital framework, including a dynamic leverage buffer and a reduction in the risk weight floor from 10% to 5%[220]

Financial Performance - Net loss for the year ended December 31, 2022, was $258.5 million, or $6.90 per share, compared to a net loss of $64.8 million, or $2.67 per share, for 2021[273]. - For the three months ended December 31, 2022, the company reported a net loss of $3,463,000, with a net loss per share of $0.09[280]. - The total economic net interest income for the year ended December 31, 2022, was $62,216,000, reflecting a significant increase compared to the previous year[288]. - The company reported a net interest income of $62,216,000 for the year ended December 31, 2022, which is a significant improvement from the previous year[288]. - Economic net interest income for the year ended December 31, 2022 was $99.8 million, compared to $109.3 million in 2021[294]. - The company experienced a total of $(320,669) thousand in losses for the year ended December 31, 2022, compared to $(177,119) thousand in 2021[314]. Interest Income and Expense - Interest income for 2022 was $144.6 million, an increase from $134.7 million in 2021, while interest expense rose significantly to $61.7 million from $7.1 million in 2021[273]. - The net interest income decreased to $82.9 million in 2022 from $127.6 million in 2021, primarily due to losses on RMBS and derivative contracts totaling $320.7 million in 2022[273]. - The economic interest expense for the year ended December 31, 2022, was reported at $258,453,000, indicating a substantial increase from $64,760,000 in 2021[288]. - Interest expense on borrowings for the year ended December 31, 2022 was $61.7 million, up from $7.1 million in 2021, attributed to a 138 basis points increase in the average cost of funds[292]. - The average cost of funds for the year ended December 31, 2022 was 1.53%, compared to 0.15% in 2021, indicating a significant rise in borrowing costs[296]. Share Issuance and Repurchase - The company issued a total of 634,145 shares under the January 2020 Equity Distribution Agreement for gross proceeds of $19.8 million before its termination in August 2020[262]. - Under the August 2020 Equity Distribution Agreement, the company issued 5,498,730 shares for gross proceeds of approximately $150.0 million, netting about $147.4 million after commissions and fees[263]. - The stock repurchase program has authorized the repurchase of up to 6,183,601 shares, representing approximately 18% of the company's then outstanding shares[270]. - From inception through December 31, 2022, the company repurchased a total of 3,675,572 shares at an aggregate cost of approximately $64.8 million, with a weighted average price of $17.63 per share[271]. - By December 31, 2022, the company had issued a total of 7,052,188 shares under the October 2021 Equity Distribution Agreement for gross proceeds of approximately $119.6 million, netting approximately $117.6 million[352]. Investment Strategy - The company aims to provide attractive risk-adjusted total returns through capital appreciation and regular monthly distributions from its investments in Agency RMBS[259]. - The company operates to qualify as a REIT, generally avoiding U.S. federal income tax by distributing all REIT taxable income to stockholders[260]. - The company’s investment strategy involves allocating capital between traditional pass-through Agency RMBS and structured Agency RMBS to manage income stability and portfolio value[259]. - The company’s strategy includes investing in TBAs, which are forward contracts for the purchase or sale of Agency RMBS, representing off-balance sheet financing[284]. - The company’s structured RMBS strategy has been a core element of its investment approach, with no leverage applied to this portion of the portfolio[344]. Market Conditions and Risks - The Fed raised the Fed Funds target range to 4.50% at the end of 2022, an increase of 125 basis points during the fourth quarter[356]. - The market expects the Fed Funds rate to peak at approximately 5.125% by mid-2023 and remain above 5% throughout the balance of 2023[356]. - The Agency RMBS market returns for 2022 were negative, down 11.9%, but posted positive returns of 2.1% in the fourth quarter[359]. - Foreclosure starts in 2022 increased by 169% from 2021, although they remained 26% lower than pre-pandemic levels in 2019[363]. - The Agency RMBS sector is still trading at spread levels well above pre-pandemic levels, with risks associated with potential inflation re-acceleration[381]. Liquidity and Capital Management - Cash and cash equivalents as of December 31, 2022, were reported at $205,700,000, providing liquidity for operational needs[345]. - As of December 31, 2022, the company had unrestricted cash and cash equivalents of $205.7 million and unpledged securities of approximately $27.4 million available for margin calls and corporate purposes[415]. - The company faces liquidity risk due to financing long-term assets with shorter-term borrowings through repurchase agreements, which could lead to increased margin calls if the value of pledged assets decreases[415]. - The average life or duration of fixed-rate assets may extend if prepayment rates decrease, potentially leading to realized losses if the company is forced to sell assets to maintain liquidity[417]. Derivative Instruments and Hedging - The company utilized various hedging instruments, including Eurodollar and interest rate swaps, to manage interest rate risk effectively[281]. - The company employs a four-step process to determine the fair value of Agency RMBS, ensuring consistency with observed market prices[384]. - The company utilizes derivative instruments such as Fed Funds, T-Note, Eurodollar futures contracts, interest rate swaps, and TBA securities to manage interest rate risk and other exposures[388]. - The company has not elected to designate its derivative holdings for hedge accounting treatment, which affects the presentation of interest expense[282]. Prepayment and Interest Rate Risks - Prepayment risk is significant, as it can lead to a faster return of principal on investments, affecting net interest income due to reinvestment at potentially lower yields[413]. - Changes in the general level of interest rates can significantly impact net interest income and the value of the RMBS investment portfolio[401]. - Increased prepayment rates may negatively affect the value of Agency RMBS, particularly for interest-only securities, while positively impacting principal-only securities[373]. - The effective duration of the RMBS portfolio increased from 3.39 in 2021 to 5.58 in 2022, indicating greater sensitivity to interest rate changes[329].

Financial Data and Key Metrics Changes - The company generated net income per share of $0.95, with a net earnings per share of negative $0.09 when excluding realized and unrealized gains and losses on RMBS derivative instruments [21] - Book value per share increased to $11.93 at December 31, 2022, from $11.42 at September 30, 2022, reflecting a total economic gain of $0.99 per share for the quarter or 8.67% annualized [28][12] - The economic leverage ratio was reported at 6.3 at the end of 2022, which is low relative to historical norms, indicating potential for increased leverage when market conditions improve [80] Business Line Data and Key Metrics Changes - The weighted average coupon increased from 3.3% at the end of Q3 to 3.55% at the end of Q4, indicating a shift towards slightly higher coupon securities while maintaining a lower coupon bias overall [37] - The company added approximately $400 million to its position in lower coupon securities, reflecting a strategic focus on these assets due to their favorable hedging characteristics [39] Market Data and Key Metrics Changes - The mortgage market saw significant volatility, with spreads widening considerably in late 2022 before tightening again in early 2023, indicating a dynamic market environment [32][61] - The company noted that the entire mortgage universe is currently trading at a discount, which is an unprecedented situation that complicates traditional valuation models [68] Company Strategy and Development Direction - The company remains cautiously optimistic about the market, anticipating that a pivot by the Fed could create favorable conditions for mortgage performance [4] - The strategy focuses on maintaining a lower coupon bias while leveraging hedges to mitigate risks associated with rising funding costs, positioning the company to benefit from potential market rallies [41][45] Management's Comments on Operating Environment and Future Outlook - Management highlighted the uncertainty surrounding the timing of the Fed's tightening cycle but expressed confidence in the company's positioning to capitalize on future market improvements [82] - The company expects to benefit from a potential expansion of net interest margin (NIM) and book value performance as market conditions evolve [83] Other Important Information - The company declared and paid a dividend of $0.48 per share in Q4, with a total of $64.97 per share declared since the IPO [28] - The company has a significant amount of dry powder in the form of TBA shorts, which can be unwound to take advantage of market opportunities [40] Q&A Session Summary Question: Thoughts on natural turnover in the market today - Management indicated that natural turnover is in the single digits, with seasoned low loan balance pools potentially prepaying around 8 to 10 [7] Question: Capital allocation preferences between dividends and stock buybacks - Management discussed the balance between dividends and stock buybacks, noting that they consider buybacks when the stock is trading below book value [8][52] Question: Current book value estimate - The current book value estimate is approximately 4% year-to-date, down from a 10% increase at the end of January [12] Question: Logic behind increased TBA short position - The increase in TBA short positions is a strategic move to hedge against potential market downturns and to lock in gains from previous market performance [13][56]

Orchid Island Capital, Inc. (NYSE:ORC) Q3 2022 Results Conference Call October 28, 2022 10:00 AM ET Company Participants Robert Cauley - Chairman, President & Chief Executive Officer Hunter Haas - Chief Financial Officer and Chief Investment Officer and Director Conference Call Participants Jason Steward - JonesTrading Mikhail Goberman - JMP Securities Christopher Nolan - Ladenburg Thalmann Operator Good morning and welcome to the Third Quarter 2022 Earnings Conference Call for Orchid Island Capital. This c ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2022 Commission File Number: 001-35236 Orchid Island Capital, Inc. (Exact name of registrant as specified in its charter) Maryland 27-3269228 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.) 3305 Flamingo Drive, Vero Beach, Florida 32963 (Address of ...

Financial Data and Key Metrics Changes - The company reported a net loss per share of $0.34, which included net earnings per share of $0.12 when excluding realized and unrealized gains and losses on RMBS assets and derivative instruments [7] - Book value per share decreased to $2.87 as of June 30, 2022, down from $3.34 at March 31, 2022 [8] - The total economic loss for the quarter was $33.05 million, representing a 10% loss [8] Business Line Data and Key Metrics Changes - The company maintained a high concentration in 30-Year fixed rates, particularly in the 3s and 3.5s, which are expected to perform well in a market rally [23][56] - The portfolio has seen a shift with an increase in allocation to 4s, now at 6.9%, while the small position in 2.5s has been eliminated [51] Market Data and Key Metrics Changes - The Treasury nominal curve and swaps curve have shown significant movement, particularly at the front end, indicating aggressive rate hikes by the Fed due to high inflation [9][11] - The spread of current coupon mortgages to the 10-year Treasury is around 120 basis points, which is attractive compared to the long-term range of 60 to 80 basis points [21] Company Strategy and Development Direction - The company plans to adjust its dividend to align with book value and leverage ratio, indicating a focus on financial stability amid market volatility [48][59] - The company is considering a reverse stock split due to the stock trading down to the low $3 range, reflecting a strategic move to enhance stock value perception [60] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns about the economy slowing down despite strong job data, indicating a cautious outlook for future Fed rate hikes [63][64] - The mortgage market is expected to perform well, with management confident in the positioning of the portfolio for the remainder of 2022 and into 2023 [22][56] Other Important Information - The leverage ratio was reported at 7.8 as of the end of the quarter, with plans to reduce it to the low 7s to mitigate book value volatility [45][75] - The company has not reinvested paydowns recently, leading to a smaller portfolio size, but aims to stabilize expenses and improve the expense ratio [73][74] Q&A Session Summary Question: Where does the company see terminal Fed funds ending up in this environment? - Management anticipates terminal Fed funds to be in the mid-3s or slightly higher, but acknowledges the difficulty in predicting beyond this year due to economic slowing [63][64] Question: What is the view on the mortgage origination industry's capacity and its impact on prepayments? - Management believes the industry is struggling to maintain capacity, with evidence of declining refinancing activity and rising inventory levels in the housing market [67] Question: What is the current book value recovery thus far in Q3? - Book value recovery was reported in the high single digits until recent underperformance brought it closer to 6% or 6.5% [70] Question: Are there any one-time items contributing to the increase in expenses? - Management noted that expenses are on the high end of the desired range, with some one-off costs related to repo operations and back office adjustments [71] Question: What leverage range is the company targeting? - The company is targeting a leverage ratio in the low 7s to reduce volatility and align with market conditions [75]

Orchid Island Capital, Inc. (NYSE:ORC) Q1 2022 Earnings Conference Call April 29, 2022 10:00 AM ET Company Participants Robert Cauley - Chairman, President & Chief Executive Officer Hunter Haas - Chief Financial Officer and Chief Investment Officer and Director Conference Call Participants Mikhail Goberman - JMP Securities Operator Good morning and welcome to the First Quarter 2022 Earnings Conference Call for Orchid Island Capital. This call is being recorded today, April 29, 2022. At this time, the Compa ...

8 Q1 2022 Earnings Supplemental Materials April 29, 2022 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," "in ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Commission File Number: 001-35236 Orchid Island Capital, Inc. (Exact name of registrant as specified in its charter) Maryland 27-3269228 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.) 3305 Flamingo Drive, Vero Beach, Florida 32963 (Address of principal executive offices) (Zip Code) For ...