8 Q1 2025 Earnings Supplemental Materials April 25, 2025 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 ...

Financial Data and Key Metrics Changes - For Q1, the company earned $0.18 per share compared to $0.07 in Q4 [5] - Book value at March 31 was $7.94 per share compared to $8.09 at December 31 [5] - Total return for the quarter was 2.6% unannualized compared to 0.6% for Q4 [5] - Liquidity at March 31 was 52.2% compared to 52.9% at December 31 [7] Business Line Data and Key Metrics Changes - The average portfolio was just under $6 billion compared to $5.3 billion in Q4 [6] - The leverage ratio at March 31 was 7.8 compared to 7.3 at December 31 [6] - Prepayment speeds were 7.8% in Q1 compared to 10.5% for Q4 [6] Market Data and Key Metrics Changes - The market moved to price in three or more Fed cuts by the end of the year [11] - Swap spreads moved meaningfully negative late in the quarter and into April [14] - The spread of the current coupon mortgage to the ten-year has widened significantly [16] Company Strategy and Development Direction - The company raised capital during the quarter and deployed it into higher coupon, shorter duration assets [24] - The strategy includes using longer duration hedges to mitigate exposure to declining swap spreads [24] - The company is focused on maintaining liquidity and is prepared to raise capital if necessary [76] Management's Comments on Operating Environment and Future Outlook - The management expressed uncertainty due to market volatility driven by tariffs and inflation [55] - The expectation is for slower growth and potential Fed eases, which could lead to a steeper yield curve [58] - The company is positioned with a skew towards higher coupon, shorter duration assets, which should work well in the current environment [59] Other Important Information - The company declared and paid dividends of $0.36 per share for each quarter [5] - The management acknowledged a mistake in the initial earnings release regarding the breakdown of earnings per share [9] Q&A Session Summary Question: What is the duration gap at the end of the quarter and to date? - The duration gap is very narrow, with a DV01 basis of $13, remaining about the same as of now [62][63] Question: Where do you see gross ROE sitting today? - The gross ROE is estimated to be around 20%, with high volatility in swaps [73] Question: How are you looking at dividend issuance and buybacks? - The company is cautious about buybacks due to stock trading close to book value and may consider raising capital for liquidity [76][78] Question: Will the 2025 dividend be 100% taxable income? - It is uncertain at this point, but the taxable income has been right on top of the distribution year to date [91][93] Question: Thoughts on the Rocket Mortgage and Nationstar deal? - The deal may increase prepayment speeds and impact the convexity of the mortgage universe negatively [99][100]

Financial Data and Key Metrics Changes - For Q1, the company earned $0.18 per share compared to $0.07 in Q4, with a book value of $7.94 per share down from $8.09 at the end of Q4 [5][6] - Total return for the quarter was 2.6% unannualized, an increase from 0.6% in Q4 [5] - The average portfolio size was just under $6 billion, up from $5.3 billion in Q4, with a leverage ratio of 7.8 compared to 7.3 at the end of Q4 [6] Business Line Data and Key Metrics Changes - The average portfolio size increased, indicating a more substantial investment in mortgage-backed securities [6] - Prepayment speeds decreased to 7.8% in Q1 from 10.5% in Q4, reflecting changes in market conditions [6][52] Market Data and Key Metrics Changes - The market experienced significant volatility due to tariffs and their expected impact on the economy and inflation, leading to pricing in multiple Fed cuts by year-end [11][60] - Swap spreads moved meaningfully negative late in the quarter, impacting mortgage performance [14][15] Company Strategy and Development Direction - The company raised capital during the quarter, deploying it into higher coupon, shorter duration assets, and hedging with longer duration instruments [24][32] - The strategy focuses on maintaining a balance between risk and return, particularly in a volatile market environment [61] Management's Comments on Operating Environment and Future Outlook - Management expressed uncertainty regarding future economic conditions, highlighting potential inflationary pressures and slower growth due to tariffs [56][60] - The company is positioned to benefit from a steeper yield curve, which is anticipated to occur as a result of the current economic landscape [61] Other Important Information - The company declared and paid dividends of $0.36 per share for the quarter, maintaining a consistent payout [5] - Liquidity at the end of Q1 was 52.2%, slightly down from 52.9% at the end of Q4 [7] Q&A Session Summary Question: What is the duration gap at the end of the quarter and to date? - Management indicated that the duration gap is narrow, with a DV01 basis of $13, remaining consistent [64][65] Question: What is the current book value? - The estimated book value was $7.28, reflecting an 8.3% decline quarter to date [70][71] Question: Where do you see gross ROE sitting today? - Management suggested that ROE is very high, potentially around 20%, due to volatile market conditions [79] Question: How are you looking at dividend issuance and buybacks? - Management noted that buybacks were reactivated due to stock price declines, and future capital raising may be considered for liquidity purposes [81][82] Question: How does the Rocket Mortgage and Nationstar merger affect prepay speeds? - Management indicated that the merger could lead to faster prepayment speeds, impacting the convexity of the mortgage universe [104]

Core Insights - Three stocks with strong income characteristics and buy rankings are highlighted for investors to consider on April 25th [1] Company Summaries - **Orchid Island Capital (ORC)**: A specialty finance company investing in residential mortgage-backed securities with government guarantees, has seen a 10.8% increase in the Zacks Consensus Estimate for current year earnings over the last 60 days. The company has a dividend yield of 20.8%, significantly higher than the industry average of 12.8% [1][2] - **Vinci (VCISY)**: Engaged in the construction of buildings and civil structures, this company has experienced a nearly 5.7% increase in the Zacks Consensus Estimate for current year earnings over the last 60 days. Vinci offers a dividend yield of 4%, compared to an industry average of 0.0% [2] - **Usinas Siderurgicas de Minas Gerais (USNZY)**: The largest flat steel complex in Latin America and among the top twenty steel producers globally, this company has seen a substantial increase of nearly 57.1% in the Zacks Consensus Estimate for current year earnings over the last 60 days. It has a dividend yield of 3.8%, exceeding the industry average of 1.7% [3]

Core Viewpoint - Orchid Island Capital, Inc. reported its first quarter 2025 results, highlighting a relatively stable economic environment until March, followed by market volatility due to tariff announcements and economic data suggesting stagflation. The company maintained prudent leverage and liquidity amid these conditions [4][5]. Financial Highlights - The company reported net income of $17.1 million for Q1 2025, down from $19.8 million in Q1 2024. Interest income increased by approximately $9.1 million from Q4 2024, with a yield on average Agency RMBS rising from 5.38% to 5.41% [6][7]. - Net interest income was $19.7 million, with total expenses of $4.2 million. The company declared dividends of $0.36 per common share, resulting in a total return of 2.60% for the quarter [7][8]. - As of March 31, 2025, the book value per common share was $7.94, with a decline of approximately 8.8% in book value since March 31, 2025 [7][26]. Portfolio and Prepayments - The company received $133.0 million in scheduled and unscheduled principal repayments, resulting in a 3-month constant prepayment rate (CPR) of approximately 7.8%, down from 10.6% in Q4 2024 [9]. - The portfolio consisted of $6.738 billion in total mortgage assets, with 99.8% in fixed-rate RMBS and 0.2% in interest-only securities as of March 31, 2025 [10][11]. Financing and Liquidity - As of March 31, 2025, the company had outstanding repurchase obligations of approximately $6.4 billion, with a net weighted average borrowing rate of 4.46%. The adjusted leverage ratio was 7.5 to 1, and liquidity stood at approximately $446.5 million [13][16]. - The company plans to enhance liquidity by potentially pledging more structured RMBS while retaining cash to avoid asset sales in distressed markets [13]. Capital Allocation and Returns - Approximately 97.9% of the company's investable capital was allocated to the pass-through RMBS portfolio as of March 31, 2025, with a return on invested capital of approximately 3.8% for the quarter [27][32]. - The structured RMBS portfolio generated a return on invested capital of 2.8%, contributing to a combined return of approximately 3.8% [32][33]. Stock Offerings and Repurchase Program - The company has engaged in multiple equity distribution agreements, raising significant capital through stock offerings, including approximately $123.7 million in gross proceeds from the February 2025 agreement [36][38]. - The stock repurchase program has authorized the repurchase of up to 6,183,601 shares, with a total of 5,144,602 shares repurchased at an aggregate cost of approximately $77.5 million since inception [39][40].

Group 1 - Orchid Island (ORC) has experienced a significant downtrend, with a stock decline of 24.7% over the past four weeks due to excessive selling pressure [1] - The stock is currently in oversold territory, indicated by an RSI reading of 26.89, suggesting that the heavy selling may be exhausting itself and a rebound could occur [5] - Wall Street analysts have raised earnings estimates for ORC by 11% over the last 30 days, indicating a potential for price appreciation in the near term [7] Group 2 - ORC holds a Zacks Rank 2 (Buy), placing it in the top 20% of over 4,000 ranked stocks based on earnings estimate revisions and EPS surprises, further supporting the potential for a turnaround [8]

Group 1 - The individual investor tends toward value investing while also exploring new strategies [1] - The investor has experience teaching financial management, focusing on financial statement and project financial analysis [1] - The investor has been recognized as a contributor in various financial categories on Seeking Alpha [1] Group 2 - There is an open buy/write order to go long on ORC [3]

Financial Performance - Estimated net income per share for the quarter ended March 31, 2025, was $0.18, including $0.17 per share of net realized and unrealized gains on RMBS and derivative instruments[6] - Orchid Island Capital reported a net income of $5.2 million for the latest quarter, representing a 15% increase year-over-year[17] - The company’s total assets increased to $1.1 billion, up 10% from the previous quarter[17] - Orchid Island Capital's book value per share rose to $12.50, reflecting a 5% increase compared to the last quarter[17] Dividends and Returns - Total dividends declared during the quarter amounted to $0.36 per share, resulting in an estimated total return on equity of 2.6%[7] - The Company declared a monthly cash dividend of $0.12 per share for April 2025, payable on May 29, 2025[2] - The estimated total return on equity for the quarter was $0.21 per share, comprised of dividends per share of $0.36 and a decrease in book value per share of $0.15 from December 31, 2024[7] - The company declared a dividend of $0.15 per share, maintaining a consistent payout ratio[17] Shareholder Information - The estimated book value per share as of March 31, 2025, was $7.94, with total stockholders' equity approximately $855.9 million[5] - As of April 9, 2025, the Company had 107,673,390 shares of common stock outstanding, an increase from 82,622,464 shares as of December 31, 2024[4] - The next dividend announcement is expected on May 7, 2025[8] Asset and Portfolio Management - As of March 31, 2025, total mortgage assets amounted to $6,938,868,000, with a weighted average coupon of 5.29%[14] - The portfolio consists of 62.6% Fannie Mae assets valued at $4,343,326,000 and 37.4% Freddie Mac assets valued at $2,595,542,000[14] - Whole pool assets represent 97.1% of total mortgage assets, amounting to $6,738,029,000[15] - Total borrowings reached $6,418,641,000, with a weighted average rate of 4.46%[16] - The largest counterparty for borrowings is J.P. Morgan Securities LLC, accounting for $360,622,000, or 5.6% of total borrowings[16] - The 30-year fixed-rate mortgage portfolio has a total face value of $6,768,926,000, with a weighted average age of 22 months[12] - The company reported a total pass rate of 96.89% for the 30-year total portfolio[12] Market Position and Growth Strategy - User data indicated a 20% growth in the number of active investors in the last quarter[17] - Future outlook suggests a targeted annual growth rate of 8% for the next fiscal year[17] - The company is expanding its market presence in the Southeast region, aiming for a 25% increase in market share[17] - Orchid Island Capital is investing $2 million in new technology to enhance data analytics capabilities[17] - The company is exploring potential acquisition opportunities to diversify its portfolio[17] - A new strategic partnership is expected to drive revenue growth by 12% in the upcoming year[17] Risk Management - The modeled interest rate sensitivity indicates a potential impact of $113,593,000 under a -50 BPS scenario and $131,586,000 under a +50 BPS scenario[12] - The market value of the short position in five-year Treasury futures was $408.3 million as of March 31, 2025[13] - The market value of the short position in ten-year Treasury futures was $215.2 million as of March 31, 2025[13] Regulatory Compliance - The Company must distribute at least 90% of its REIT taxable income annually to qualify as a real estate investment trust[3] - Forward-looking statements regarding the Company's distributions are based on current expectations and are not guaranteed to occur[10] RMBS Portfolio - The RMBS portfolio consists of traditional pass-through Agency RMBS and structured Agency RMBS[9]

Core Viewpoint - Orchid Island Capital, Inc. has declared a monthly cash dividend of $0.12 per share for April 2025, to be paid on May 29, 2025, with an ex-dividend date of April 30, 2025 [1] Dividend and Distribution - The company intends to make regular monthly cash distributions to its common stockholders and must distribute at least 90% of its REIT taxable income annually to qualify as a real estate investment trust (REIT) [2] - The company has not established a minimum distribution payment level and cannot assure its ability to make future distributions [2] Share Information - As of April 9, 2025, the company had 107,673,390 shares of common stock outstanding, a slight decrease from 107,786,614 shares as of March 31, 2025 [3] Financial Metrics - The estimated book value per share as of March 31, 2025, was $7.94, with total stockholders' equity approximately $855.9 million [4] - The estimated net income per share for the quarter ended March 31, 2025, was $0.18, which includes $0.17 per share of net realized and unrealized gains on RMBS and derivative instruments [5] - The estimated total return on equity for the quarter ended March 31, 2025, was 2.6%, comprising dividends of $0.36 per share and a decrease in book value per share of $0.15 [6] RMBS Portfolio - Orchid Island Capital, Inc. invests in Agency RMBS, focusing on traditional pass-through Agency RMBS and structured Agency RMBS [7] - As of March 31, 2025, the RMBS portfolio included significant holdings in Fannie Mae (62.6%) and Freddie Mac (37.4%) [14] Borrowings - The total borrowings as of March 31, 2025, amounted to $6,418,641, with a weighted average interest rate of 4.46% [16]

Core Viewpoint - Orchid Island Capital, Inc. announced a monthly cash dividend of $0.12 per share for April 2025, to be paid on May 29, 2025, with an ex-dividend date of April 30, 2025 [1] Dividend and Distribution - The company intends to make regular monthly cash distributions to its common stockholders, adhering to the requirement of distributing at least 90% of its REIT taxable income annually to qualify as a real estate investment trust (REIT) [2] - The company has not established a minimum distribution payment level and cannot assure its ability to make future distributions [2] Share Information - As of April 9, 2025, the company had 107,673,390 shares of common stock outstanding, a slight decrease from 107,786,614 shares as of March 31, 2025 [3] Financial Metrics - The estimated book value per share as of March 31, 2025, was $7.94, calculated by dividing total stockholders' equity of approximately $855.9 million by the total number of outstanding shares [4] - The estimated net income per share for the quarter ended March 31, 2025, was $0.18, which includes an estimated $0.17 per share of net realized and unrealized gains on RMBS and derivative instruments [5] - The total return on equity for the quarter ended March 31, 2025, was estimated at 2.6%, comprising dividends per share of $0.36 and a decrease in book value per share of $0.15 [6] RMBS Portfolio - The company invests in Agency RMBS, focusing on traditional pass-through Agency RMBS and structured Agency RMBS [7] - As of March 31, 2025, the total mortgage assets amounted to $6,938,868, with Fannie Mae and Freddie Mac accounting for 62.6% and 37.4% of the portfolio, respectively [13] Borrowings - Total borrowings as of March 31, 2025, were $6,418,641, with an average interest rate of 4.46% [15]