Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Orchid Island Capital, Inc. | --- | --- | |----------------|-------| | | | | | | | | | | | | | | | | 27-3269228 | | | | | | | | | (I.R.S. | | | | | | Identification | | Securities registered pursuant to Section 12(b) of the Act: Indicate by check mark whether the registrant has submitted electronically every Interactive ...

Exhibit 99.1 ORCHID ISLAND CAPITAL ANNOUNCES SECOND QUARTER 2024 RESULTS VERO BEACH, Fla. (July 25, 2024) – Orchid Island Capital, Inc. (NYSE:ORC) ("Orchid" or the "Company"), a real estate investment trust ("REIT"), today announced results of operations for the three month period ended June 30, 2024. Second Quarter 2024 Results Other Financial Highlights Management Commentary Commenting on the second quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, "The long-awaited pivot on t ...

Earnings Results - Orchid Island Capital (ORC) announced an unchanged monthly dividend of $0.12 per share for July 2024, consistent with June 2024, following a 25% reduction in October 2023 [6] - The company issued 12.0 million shares of common stock during Q2 2024, representing 23% of outstanding shares as of March 31, 2024, to invest in higher coupon fixed-rate agency MBS [6] - The current book value (BV) per share is projected at $8.60, with a reported BV of $8.58, indicating a slight miss of 0.23% [8] Financial Metrics - The net spread less operational expenses metric, considered a core earnings equivalent, showed a minor variance of $0.003, indicating stability in core earnings despite a modest BV loss [11] - The reported earnings per share for Q2 2024 was -$0.092, slightly better than the projected -$0.095, reflecting a 3.16% improvement [8] - The dividend yield stands at 16.90%, with a payout ratio of -1631%, indicating a significant discrepancy between earnings and dividends [9] Market Position and Valuation - ORC is considered modestly overvalued, with a recommendation to remain patient before investing until valuations improve [6] - The risk/performance rating for ORC remains at 4.5, reflecting the current market environment and expectations of "higher-for-longer" rates during 2024 [13][11] - The price to NAV ratio is 0.99, indicating that the stock is trading close to its net asset value [9] Commentary and Recommendations - Management is encouraged to provide an updated core earnings equivalent metric that includes current period hedging income for better comparability with peers [10] - The company experienced a modest quarterly BV loss due to widening agency MBS spreads, which negatively impacted sector BVs [11] - A minor increase in the company's CPR was anticipated as it shifted towards investing in higher coupon MBS, which typically have higher prepayment rates [11]

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Table of Contents 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 March 31, 2024 ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from __________ to ___________ Commission File Number: 001-35236 Orchid Island Capital, Inc. (Exact name of registrant as specified in its charter) (State or o ...

Financial Data and Key Metrics Changes - For Q1 2024, the company's net income decreased to $0.38 from $0.52 in Q4 2023, while book value increased slightly by $0.02 [3] - Total return was 4.18% compared to 6.05% in Q4 2023, and the dividend remained unchanged for the quarter [3] - The economic cost of funds decreased from 2.67% to 2.56% during the quarter [16] Business Line Data and Key Metrics Changes - The average coupon of the portfolio increased by 5 basis points, with the realized yield rising from 4.71% to 5.03% for the quarter [59] - The economic net interest spread improved to 2.47% from 2.04% in the previous quarter [59] Market Data and Key Metrics Changes - The repo market showed no signs of stress, with adequate funding and no changes in haircuts [44][69] - Volatility decreased significantly, which supported mortgage performance during the first quarter [29] Company Strategy and Development Direction - The company is focusing on a barbell strategy, increasing exposure to both lower and higher coupons while avoiding the belly of the coupon stack [19][64] - The company plans to reassess its dividend policy after Q2 based on taxable income estimates and market conditions [27][73] Management's Comments on Operating Environment and Future Outlook - Management noted that the current economic environment is characterized by high rates and uncertainty regarding future Fed actions, which could impact book value and earnings [35][84] - The company believes it can maintain stable book value and cover the dividend under current conditions, despite potential volatility [84] Other Important Information - The company has maintained a high level of hedging, which has been effective in protecting book value [17][66] - The portfolio has migrated towards higher coupons and lower duration assets, which helps in managing risks associated with interest rate movements [19][38] Q&A Session Summary Question: Can you talk about the repo markets and the overall health? - Management indicated no signs of stress in the repo markets, with adequate funding and stable haircuts [44] Question: Have you continued to add higher coupons in the second quarter? - Management stated that while they have not yet added higher coupons, it is on the horizon and they plan to continue this strategy [45][70] Question: Can you clarify your comments on the dividend going forward? - Management confirmed that the dividend is currently $0.12 and will be reevaluated mid-year based on taxable income estimates [48][73] Question: What do you see benefiting more, earnings or book value? - Management suggested that if the curve remains inverted, book value should be stable, allowing for dividend coverage [103]

Financial Performance - Net income for Q1 2024 was $19.8 million, or $0.38 per common share, compared to $3.5 million, or $0.07 per common share, in Q1 2023[6][7]. - For the quarter ended March 31, 2024, the total return was $23,514,000, compared to $8,534,000 for the same period in 2023, representing a significant increase[46]. - The net income for the quarter was $19,776,000, up from $3,530,000 in the prior year, indicating a substantial growth in profitability[46]. - Interest income increased to $48,871,000 from $38,012,000 year-over-year, reflecting a growth of approximately 28.5%[46]. Book Value and Equity - Book value per common share increased to $9.12 as of March 31, 2024, reflecting a $0.02 increase during the quarter[6][7]. - As of March 31, 2024, the company's stockholders' equity was $481.6 million, with a book value per share of $9.12[26]. - The book value per share increased to $9.12 from $9.10, reflecting a slight improvement in shareholder value[45]. Portfolio and Investments - As of March 31, 2024, total portfolio fair value was $3.88 billion, with Fannie Mae securities comprising 70.1% and Freddie Mac securities 29.9%[9]. - Approximately 95.6% of the company's investable capital was allocated to the pass-through RMBS portfolio as of March 31, 2024, consistent with the allocation at December 31, 2023[27]. - The return on invested capital for the pass-through RMBS portfolio was approximately 6.2%, while the structured RMBS portfolio generated a return of 3.6%, leading to a combined return of approximately 6.1%[32]. - The market value of the pass-through RMBS portfolio decreased from $3,877.1 million on December 31, 2023, to $3,864.5 million on March 31, 2024[29]. Leverage and Liquidity - The adjusted leverage ratio was 7.7 to 1, with outstanding repurchase obligations of approximately $3.71 billion and a net weighted average borrowing rate of 5.46%[12]. - The adjusted leverage ratio as of March 31, 2024, was 7.7:1, down from 8.4:1 in the previous year, indicating improved capital efficiency[47]. - Orchid maintained a strong liquidity position of $215.7 million, representing 45% of stockholder's equity as of March 31, 2024[6][12]. Dividends - The company declared a dividend of $0.12 per share on April 10, 2024, to be paid on May 30, 2024[24]. - The total dividends declared since the company's IPO in February 2013 amounted to $633.7 million, with a per-share total of $66.93[25]. - The dividends declared per common share decreased to $0.360 from $0.480 year-over-year[46]. Market Conditions and Future Outlook - The yield on average Agency RMBS rose from 4.71% in Q4 2023 to 5.03% in Q1 2024, while repurchase agreement borrowing costs increased from 5.15% to 5.54%[7]. - Future performance of Agency RMBS remains uncertain, influenced by economic conditions and potential Fed actions on interest rates[5]. - The effective duration of the portfolio increased to 4.550, indicating a higher sensitivity to interest rate changes compared to 4.400 at the end of 2023[11]. - The company plans to continue adding higher coupon securities to mitigate the lower carry of legacy assets[4]. Other Financial Metrics - The company reported a total of $451.1 million in short positions for 5-Year T-Note futures contracts, valued at a price of $107.02, and $354.6 million for 10-Year T-Note futures contracts, valued at $110.80[17]. - The company had outstanding repurchase agreement balances of $13.7 million secured by interest-only securities as of March 31, 2024[30]. - The cumulative gains (losses) recorded on open futures positions from inception were represented by open equity, which was negative for certain positions[1]. - The company reported net carrying values for 30-Year TBA securities as of March 31, 2024, with a total of $(326.5) million[22]. - The total assets as of March 31, 2024, were $4,214,662,000, a decrease from $4,264,947,000 at the end of 2023[45]. - The company repurchased a total of 332,773 shares at an aggregate cost of approximately $2.8 million during the three months ended March 31, 2024[38].

Financial Performance - Net loss for the year ended December 31, 2023 was $39.2 million, or $0.89 per share, compared to a net loss of $258.5 million, or $6.90 per share in 2022[286]. - The company’s net portfolio loss for 2023 was $20.7 million, compared to a net portfolio loss of $241.0 million in 2022[286]. - For the year ended December 31, 2023, the company reported a net loss of $39,226,000, compared to a net loss of $258,453,000 for the year ended December 31, 2022[292]. - The company reported realized losses on mortgage-backed securities of $22.6 million in 2023, a decrease from $133.7 million in 2022[443]. - The accumulated deficit increased to $380.4 million as of December 31, 2023, compared to $341.2 million in 2022, reflecting a rise of approximately 11.5%[441]. Interest Income and Expense - Interest income for 2023 was $177.6 million, an increase from $144.6 million in 2022, while interest expense rose significantly to $201.9 million from $61.7 million[286]. - The net interest income for 2023 was a loss of $24.3 million, contrasting with a net interest income of $82.9 million in 2022[286]. - The total interest income for the year ended December 31, 2023, was $202.5 million, with a yield of 4.88%[333]. - The total interest expense on borrowings for the year ended December 31, 2023 was $201.9 million, reflecting a significant increase in the cost of funds[310]. - The company reported a net interest income of $68.0 million on an economic basis for the year ended December 31, 2023, compared to $96.5 million in 2022 and $108.9 million in 2021[312]. Share Issuance and Repurchase - The company issued a total of 13,190,039 shares under the March 2023 Equity Distribution Agreement for gross proceeds of approximately $129.9 million[280]. - Total shares repurchased from inception of the stock repurchase program through December 31, 2023 amounted to 4,748,361 shares at an aggregate cost of approximately $74.2 million[284]. - The weighted average price of shares repurchased during 2023 was $8.79 per share, with a total of 1,072,789 shares repurchased at a cost of approximately $9.4 million[284]. - The company issued a total of 15,880,000 shares in 2023, generating net proceeds of approximately $159,438,000[449]. Asset and Liability Management - Total assets increased to $4.26 billion as of December 31, 2023, from $3.87 billion in 2022, marking an increase of approximately 10%[441]. - Total liabilities rose to $3.80 billion in 2023, compared to $3.43 billion in 2022, indicating an increase of about 10.5%[441]. - The fair value of mortgage-backed securities totaled $3.9 billion as of December 31, 2023, compared to $3.5 billion in 2022, reflecting an increase of approximately 10%[437]. - The average balance of borrowings for the three months ended December 31, 2023, was $4,066,298, with an interest expense of $52,325, resulting in an average cost of funds of 5.15%[324]. Economic Indicators and Market Conditions - The economic net interest income for the year ended December 31, 2023, was $3,654,000, a significant increase from a loss of $323,929,000 in the previous year[292]. - The average economic cost of funds increased to 2.75% in 2023 from 1.19% in 2022, primarily due to higher borrowing costs[321]. - The 30-year fixed-rate mortgage rate as of December 31, 2023, was 6.61%, up from 6.70% in the previous quarter[329]. - Interest rates declined by over 100 basis points for the 10-year U.S. Treasury note from late October to late December 2023, with expectations of over 150 basis points in rate cuts in 2024[393]. Risk Management - The company utilizes various derivative instruments to hedge interest rate risk, including Fed Funds, SOFR, and T-Note futures contracts[295]. - The company has not elected to designate its derivative holdings for hedge accounting treatment, which affects the presentation of interest expense in financial reporting[296]. - The company engages in forward contracts for the purchase or sale of Agency RMBS, which are accounted for as derivatives and marked to market[298]. - The company utilizes futures contracts, interest rate swaps, and swaptions to hedge against interest rate changes, but these strategies may not fully protect against spread risk[410][423]. Dividend Policy - The company intends to pay regular monthly dividends, with a total of $620.959 million declared since the completion of its IPO[406]. - The company reported a dividend of $1.800 per share for 2023, totaling $81.127 million[406]. - Cash dividends declared in 2023 amounted to $81,127,000, down from $93,494,000 in 2022 and $90,984,000 in 2021[449]. Portfolio Composition - The company’s investment strategy focuses on Agency RMBS, including traditional pass-through and structured Agency RMBS[271]. - The RMBS portfolio as of December 31, 2023, consisted of $3,894.0 million of Agency RMBS at fair value, with a weighted average coupon of 4.30%[342]. - Fannie Mae securities accounted for 69.7% of the total portfolio fair value in 2023, up from 65.6% in 2022, indicating a shift in asset allocation[346]. - The effective duration of the company's PT RMBS portfolio is maintained at less than 2.0, aiming for low duration assets that offer high protection from mortgage prepayments[412].

Orchid Island Capital, Inc. (NYSE:ORC) Q4 2023 Earnings Conference Call February 2, 2024 10:00 AM ET Company Participants Robert Cauley - Chairman and CEO Hunter Haas - CFO Conference Call Participants Mikhail Goberman - JMP Securities Christopher Nolan - Ladenburg Thalman Jim Fowler - Kingsbarn Capital Management Operator Good morning and welcome to the Fourth Quarter 2023 Earnings Conference Call for Orchid Island Capital. This call is being recorded today, February 2, 2024. At this time, the Company woul ...

59% -80% 3.9% Non-QM A1 High Yield 7.1% 8.6% Source: BofA Global Research - Securitized Products Returns for December 2023/ Securitized Products Strategy / 02 January 2024 10 • Reduced allocation to 30yr 3.0% by 38% and added 7.0% coupon securities • Orchid retains ample access to financing sources in excess of needs via the repurchase agreement funding market Investment Portfolio Funding Costs as of December 31, 2023 17 | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |------ ...