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 | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |------ ...

Financial Performance - For the nine months ended September 30, 2023, the net loss was $66.4 million, or $1.58 per share, compared to a net loss of $293.4 million, or $8.31 per share for the same period in 2022, indicating a significant improvement [141]. - For the three months ended September 30, 2023, the net earnings were $(80,132) thousand, resulting in a loss per share of $(1.68) compared to a net earnings of $10,249 thousand and a gain per share of $0.25 for the previous quarter [146]. - The nine months ended September 30, 2023, reported net earnings of $(66,353) thousand, with a loss per share of $(1.58), an improvement from $(293,379) thousand and a loss per share of $(8.31) for the same period in 2022 [146]. Interest Income and Expense - Interest income for the nine months ended September 30, 2023, was $128.0 million, an increase of 13.6% from $112.7 million in the same period of 2022 [141]. - Interest expense surged to $149.6 million for the nine months ended September 30, 2023, compared to $32.2 million in the same period of 2022, reflecting a substantial increase of 364.5% [141]. - The net interest income (expense) for the nine months ended September 30, 2023, was $(21.6) million, a decrease of 126.8% from $80.5 million in the same period of 2022 [141]. Derivative Instruments - Realized and unrealized gains and losses on derivative instruments for the three months ended September 30, 2023, included a gain of $142,042 thousand attributed to funding hedges [158]. - The company recognized a total of $194,253 thousand in gains on derivative instruments for the nine months ended September 30, 2023, with $67,133 thousand attributed to current periods [158]. - The company has reclassified certain expenses related to derivative instruments, impacting the presentation of net earnings and gains on derivative instruments [148]. Share Repurchase and Equity - The company repurchased a total of 373,041 shares at an aggregate cost of approximately $4.0 million during the nine months ended September 30, 2023, at a weighted average price of $10.62 per share [138]. - As of September 30, 2023, the company had issued a total of 13,190,039 shares under the March 2023 Equity Distribution Agreement for gross proceeds of approximately $129.8 million [134]. - 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 [137]. Economic Indicators - The advanced GDP reading for Q3 2023 was 4.9%, indicating strong economic resilience despite ongoing tightening by the Federal Reserve [220]. - Consumer spending remains robust, supported by a strong labor market and residual savings from pandemic-related stimulus [221]. - The Fed's dot plot indicated a funds rate 50 basis points higher at the end of 2024 compared to the previous estimate, reflecting a strong economy [223]. Agency RMBS Performance - Agency RMBS generated a return of -4.1% in Q3 2023, with the 30-year fixed rate sector returning -4.6% [226]. - The Agency RMBS sector underperformed both investment grade and sub-investment grade corporates in Q3 2023 [227]. - The actual balance sheet reduction of Agency RMBS trended below the cap during 2023 due to rising interest rates and slowed prepayment speeds [228]. Risk Management - The company utilizes derivative and hedging instruments to manage interest rate risk, which may affect future financial performance [151]. - The company may enter into interest rate swaps to protect its net interest margin against increases in short-term interest rates [241]. - The company faces liquidity risk due to financing long-term assets with shorter-term borrowings, which could lead to adverse changes in liquidity if the value of pledged Agency RMBS decreases [268]. Operating Expenses - Total operating expenses for the nine months ended September 30, 2023, were approximately $14.5 million, compared to $13.3 million for the same period in 2022, indicating an increase [187]. - The total expenses for the nine months ended September 30, 2023, were $14,467,000, compared to $13,261,000 in 2022, representing an increase of 9.1% [192]. Cash and Liquidity - Cash and cash equivalents stood at $158.6 million as of September 30, 2023, with cash flows generated from RMBS principal and interest payments totaling $353.4 million [216]. - As of September 30, 2023, the company had unrestricted cash and cash equivalents of $158.6 million and unpledged securities of approximately $5.1 million available for margin calls and corporate purposes [268]. Management and Governance - The management agreement with Bimini Advisors, LLC has been renewed through February 20, 2024, with automatic one-year extension options thereafter [188]. - The effectiveness of the company's disclosure controls and procedures was confirmed by the CEO and CFO as of the evaluation date [273].

Financial Data and Key Metrics Changes - The total return for Q3 2023 was a negative 15.77%, with dividends paid at $0.48, unchanged from the previous quarter [4] - Net income for the quarter was a loss of $1.68 per share compared to income of $0.25 per share last year, and book value decreased over 20% from $11.16 to $8.92 [22] - Economic leverage ratio increased from 8.1 million to 8.5 million but was later reduced to about 7.4% [23][61] Business Line Data and Key Metrics Changes - The average coupon of the portfolio increased from 3.83% to 4.05%, and the realized yield rose from 3.81% to 4.51% [11] - The portfolio size was approximately $3.65 billion, down 18% from the average of Q3 [4] Market Data and Key Metrics Changes - The mortgage market has faced significant challenges, with spreads widening and volatility remaining high [27][28] - The primary-secondary spread is trending downward as mortgage originators attempt to maintain their ability to generate mortgages [10] Company Strategy and Development Direction - The company aims to diversify its portfolio across different coupon rates to avoid excessive concentration [18][30] - The focus is on maintaining high hedge levels due to rising funding costs and the current market environment [18][56] Management's Comments on Operating Environment and Future Outlook - Management expressed that the current mortgage market environment is challenging and expected to remain so [22][28] - There is a belief that a softening of the economy may occur, which could lead to better performance of certain securities [31][59] Other Important Information - The company raised about $80 million through its ATM program to enhance its portfolio [4][11] - Liquidity is currently at the low end of the range, around 30% to 40%, and efforts are being made to improve it [24][61] Q&A Session Summary Question: What is the strategy for diversification within the coupon stack? - The company plans to maintain a slight bias towards lower coupons due to their favorable characteristics, while also considering higher coupons for better carry [39][40] Question: Have there been any margin calls on repo funding this quarter? - The company experiences daily margin call activity, which is managed internally now [48] Question: What flexibility exists regarding the dividend? - The dividend was adjusted to align with earnings, and the current rate of $0.12 seems reasonable given the market conditions [50][68] Question: What is the current status of book value and economic leverage? - Book value has decreased significantly, and economic leverage is down to 7.4% from 8.5% [69]

8 Q3 2023 Earnings Supplemental Materials October 27, 2023 1 Disclaimers Forward-Looking Information This presentation contains forward-looking statements and information. Statements that are not hi ...

8 Q2 2023 Earnings Supplemental Materials July 28, 2023 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," "int ...

Orchid Island Capital, Inc. (NYSE:ORC) Q2 2023 Earnings Conference Call July 28, 2023 10:00 AM ET Company Participants Robert Cauley - Chairman and CEO Hunter Haas - CFO Conference Call Participants Matthew Erdner - JonesTrading Mikhail Goberman - JMP Securities Christopher Nolan - Ladenburg Thalmann Operator Good morning and welcome to the Second Quarter 2023 Earnings Conference Call for Orchid Island Capital. This call is being recorded today, July 28, 2023. At this time, the Company would like to remind ...