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].

Financial Data and Key Metrics Changes - The company reported a net income of $0.52 per share for Q4 2023, with a book value increase of approximately 2% from $8.92 to $9.10 [68] - Total return for the quarter was 6.05%, and the dividend declared was $0.36, reduced from $0.48 previously [68][70] - Economic net interest margin (NIM) improved significantly due to a higher weighted average coupon of 4.33% and a realized yield of 4.71% [94] Business Line Data and Key Metrics Changes - The company reduced its portfolio by almost 16%, particularly shedding TBA-like 3% coupon securities, which had a negative NIM, while increasing income [91][94] - The economic interest income increased due to a combination of higher coupons and effective hedging strategies [9][70] Market Data and Key Metrics Changes - The mortgage market remains volatile, with primary-secondary spreads still elevated historically, indicating potential for enhanced refinance ability in the future [73] - The company noted a significant market pivot in November and December, which positively impacted their portfolio positioning [19][89] Company Strategy and Development Direction - The company aims to maintain a barbell approach in its portfolio, focusing on both lower and higher coupons to optimize returns [30][41] - The management expressed confidence in the mortgage sector's attractiveness, especially as banks begin to re-enter the market [12][98] Management's Comments on Operating Environment and Future Outlook - Management indicated that the severe book value pressure experienced over the last two years is likely over, and they are comfortable with their current positioning [23][77] - The outlook remains cautious due to potential economic shifts, but there is optimism regarding the Fed's easing cycle and its impact on the mortgage market [77][100] Other Important Information - The company has been actively managing its hedging positions, with a focus on maintaining a high level of hedge coverage to mitigate risks [95][96] - The management highlighted the importance of monitoring the performance of the mortgage market, especially in light of potential selling pressures from banks [47][49] Q&A Session All Questions and Answers Question: Regarding the dividend expansion given the current economic basis - Management acknowledged the potential for dividend expansion but emphasized the need to monitor market developments closely before making any decisions [37][59] Question: Update on economic leverage and appetite for leverage going forward - The company indicated a cautious approach to increasing leverage, waiting to see how economic conditions evolve before making adjustments [99][100] Question: Insights on the performance of mortgage backs during commercial real estate corrections - Management noted that the lack of credit exposure in the mortgage sector typically bodes well during such corrections, although there could be selling pressure from banks [46][47]

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]

Financial Highlights - The company's net income per share was $0.25[9] - Excluding realized and unrealized gains/(losses) on RMBS and derivative instruments, the net earnings per share was ($0.34)[9] - The company had a gain of $0.59 per share from net realized and unrealized gains on RMBS and derivative instruments[9] - The book value per share was $11.16 at June 30, 2023, compared to $11.55 at March 31, 2023[9] - The company declared and paid $0.48 per share in dividends in Q2 2023, and has declared a total of $65.77 per share in dividends since its IPO[9] - The total economic gain for the quarter was $0.09 per share, or 0.78%[9] Portfolio Characteristics - As of June 30, 2023, total mortgage assets were valued at $4,473,323,493[57], with a weighted average coupon (CPN) of 3.81%[57] and weighted average maturity (WA Mat) of 331 months[57] - Pass-through MBS comprised 99.60% of the portfolio, with a market value of $4,455,554,930[57] - Structured MBS represented 0.397% of the portfolio, with a market value of $17,768,563[57] - The interest rate sensitivity of the portfolio was $113,489,015 for a -50 BPS shock and ($119,797,621) for a +50 BPS shock[57] Hedge Positions - The company held hedge positions with an average notional balance of ($4,035,200,000)[57] - These hedges included 5-Year Treasury Futures, 10-Year Treasury Futures, 10-Year Ultra Treasury Futures, Swaps, TBA, and Swaptions[57] - The total interest rate sensitivity of the hedge positions was ($99,119,651) for a -50 BPS shock and $100,362,186 for a +50 BPS shock[57]

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 ...

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 June 30, 2023 ☐ 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 ot ...

Orchid Island Capital, Inc. (NYSE:ORC) Q1 2023 Results Conference Call April 28, 2023 10:00 AM ET Company Participants Robert Cauley - Chairman and CEO Hunter Haas - CFO Conference Call Participants Jason Stewart - Jones Trading Mikhail Goberman - JMP Securities Christopher Nolan - Ladenburg Thalmann Operator Good morning and welcome to the First Quarter 2023 Earnings Conference Call for Orchid Island Capital. This call is being recorded today, April 28, 2023. At this time, the Company would like to remind ...

For the quarterly period ended March 31, 2023 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 ☐ 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) Maryland 27 ...