Orchid Island Capital Inc

NYSE:ORCUnited States

Other assets 614 455 --------------------------- ---------------- --------------- Total Assets $ 5,916,493 $ 4,264,947 =========================== ================ =============== LIABILITIES AND STOCKHOLDERS' EQUITY Repurchase agreements $ 5,230,871 $ 3,705,649 Payable for investment securities and TBA transactions 68 60,454 Dividends payable 9,396 6,222 Derivative liabilities, at fair value - 12,694 Accrued interest payable 16,372 7,939 Due to affiliates 1,177 1,013 Other liabilities 2,585 1,031 --------------------------- ---------------- --------------- Total Liabilities 5,260,469 3,795,002 Total Stockholders' Equity 656,024 469,945 --------------------------- ---------------- --------------- Total Liabilities and Stockholders' Equity $ 5,916,493 $ 4,264,947 =========================== ================ =============== Common shares outstanding 78,082,645 51,636,074 Book value per share $ 8.40 $ 9.10 --------------------------- ---------------- --------------- ORCHID ISLAND CAPITAL, INC. STATEMENTS OF COMPREHENSIVE INCOME (LOSS) ($ in thousands, except per share data) (Unaudited - Amounts Subject to Change) Nine Months Ended Three Months Ended September 30, September 30, ------------------------- ------------------------- 2024 2023 2024 2023 -------------- ----------- ----------- ----------- ----------- Interest income $ 169,581 $ 128,030 $ 67,646 $ 50,107 Interest expense (172,428) (149,593) (67,306) (58,705) --------------- ---------- ---------- ---------- ---------- Net interest (expense) income (2,847) (21,563) 340 (8,598) Gains (losses) on RMBS and derivative contracts 47,351 (30,323) 21,249 (66,890) --------------- ---------- ---------- ---------- ---------- Net portfolio income (loss) 44,504 (51,886) 21,589 (75,488) Expenses 12,387 14,467 4,269 4,644 --------------- ---------- ---------- ---------- ---------- Net income (loss) $ 32,117 $ (66,353) $ 17,320 $ (80,132) =============== ========== ========== ========== ========== Other comprehensive income 38 16 48 16 --------------- ---------- ---------- ---------- ---------- Comprehensive net income (loss) $ 32,155 $ (66,337) $ 17,368 $ (80,116) =============== ========== ========== ========== ========== Basic and diluted net income (loss) per share $ 0.53 $ (1.58) $ 0.24 $ (1.68) =============== ========== ========== ========== ========== Weighted Average Shares Outstanding 60,700,959 42,103,532 72,377,373 47,773,409 =============== ========== ========== ========== ========== Dividends Declared Per Common Share: $ 1.080 $ 0.960 $ 0.360 $ 0.480 --------------- ---------- ---------- ---------- ---------- Three Months Ended September 30, -------------------------------------- Key Balance Sheet Metrics 2024 2023 --------------------------- ------------------ -------------- Average RMBS((1) $ 4,984,279 $ 4,447,098 Average repurchase agreements((1) 4,788,287 4,314,332 Average stockholders' equity((1) 605,978 478,463 Adjusted leverage ratio - as of period end((2) 8.0:1 9.5:1 Economic leverage ratio - as of period end((3) 7.6:1 8.5:1 Key Performance Metrics Average yield on RMBS((4) 5.43% 4.51% Average cost of funds((4) 5.62% 5.44% Average economic cost of funds((5) 2.96% 3.18% Average interest rate spread((6) (0.19)% (0.93)% Average economic interest rate spread((7) 2.47% 1.33% ---------------------------- -------------- ------------- (1) Average RMBS, borrowings and stockholders' equity balances are calculated using two data points, the beginning and ending balances. (2) The adjusted leverage ratio is calculated by dividing ending repurchase agreement liabilities by ending stockholders' equity. (3) The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity. (4) Portfolio yields and costs of funds are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the quarterly periods presented. (5) Represents the interest cost of our borrowings and the effect of derivative agreements attributed to the period related to hedging activities, divided by average borrowings. (6) Average interest rate spread is calculated by subtracting average cost of funds from average yield on RMBS. (7) Average economic interest rate spread is calculated by subtracting average economic cost of funds from average yield on RMBS.

------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- ------- Structured RMBS ----------------- IO 20yr 4.0 7,414 693 0.01% 9.35 4.00% 4.57% 153 81 11.0% 11.5% 3 (4) IO 30yr 3.0 2,690 376 0.01% 13.98 3.00% 3.64% 116 234 0.9% 1.2% (2) - IO 30yr 4.0 73,719 13,339 0.25% 18.09 4.00% 4.60% 121 230 5.8% 6.3% (424) 302 IO 30yr 4.5 3,218 620 0.01% 19.26 4.50% 4.99% 171 176 8.6% 7.8% (11) 7 IO 30yr 5.0 1,733 354 0.01% 20.45 5.00% 5.37% 171 177 1.1% 4.4% (10) 7 ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- ------- IO Total 88,774 15,382 0.28% 17.33 4.01% 4.60% 126 214 6.1% 6.6% (444) 312 ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- ------- IIO 30yr 4.0 23,450 353 0.01% 1.50 0.00% 4.40% 84 264 0.6% 5.7% 121 (99) ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- ------- Total Structured RMBS 112,224 15,735 0.29% 14.02 3.17% 4.55% 117 225 4.9% 6.4% (323) 213 ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- ------- Total Mortgage Assets $5,600,056 $5,442,804 100.00% 4.90% 5.70% 29 325 9.2% 8.8% $ 85,560 $ (96,327) ================== ========= ========= ========= ======= ======== ==== === ======== ========= ========= ======= ======= Hedge Modeled Interest Notional Period Rate Sensitivity (1) Hedge Balance End (-50 BPS) (+50 BPS) ----------- ----------- ------ ---------- ----------- 3-Month SOFR Futures(2) $ (455,900) Oct-25 $ (5,699) $ 5,699 10-Year Treasury Future(3) (12,500) Dec-24 (410) 397 Swaps (3,486,800) Jun-30 (91,274) 88,057 TBA (300,000) Oct-24 (8,387) 8,827 Swaptions - Jan-00 - - ----------- ---------- ------ --------- ------- Hedge Total $(4,255,200) $ (105,770) $ 102,980 ============ ========== ====== ========= ======= Rate Shock Grand Total $ (20,210) $ 6,653 ============ ========== ====== ========= ======= (1) Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially. (2) Amounts for SOFR futures contracts represents the average quarterly notional amount. (3) Ten-year Treasury futures contracts were valued at prices of $114.28 at September 30, 2024. The market value of the short position was $14.3 million. RMBS Assets by Agency ($ in thousands) ------------------------- --------- ---------- Percentage Fair of Asset Category Value Portfolio ------------------------- ---------- ---------- As of September 30, 2024 Fannie Mae $3,692,047 67.8% Freddie Mac 1,750,757 32.2% -------------------------- --------- ---------- Total Mortgage Assets $5,442,804 100.0% ========================== ========= ========== Investment Company Act of 1940 Whole Pool Test ($ in thousands) Percentage Fair of Asset Category Value Portfolio --------------------------- ---------- ---------- As of September 30, 2024 Non-Whole Pool Assets $ 161,835 3.0% Whole Pool Assets 5,280,969 97.0% ---------------------------- --------- ---------- Total Mortgage Assets $5,442,804 100.0% ============================ ========= ========== Borrowings By Counterparty ($ in thousands) ----------------- --------- ----- -------- -------- ---------- Weighted Weighted % of Average Average Total Total Repo Maturity Longest As of September 30, 2024 Borrowings Debt Rate in Days Maturity ----------------- ---------- ----- -------- -------- ---------- ABN AMRO Bank N.V. $ 381,192 7.3% 5.37% 15 10/15/2024 Merrill Lynch, Pierce, Fenner & Smith 379,748 7.3% 5.20% 35 11/15/2024 ASL Capital Markets Inc. 346,397 6.6% 5.35% 31 11/15/2024 Cantor Fitzgerald & Co 289,468 5.5% 5.30% 11 10/18/2024 DV Securities, LLC Repo 274,284 5.2% 5.24% 19 10/28/2024 Mitsubishi UFJ Securities (USA), Inc 263,580 5.0% 5.35% 23 10/28/2024 J.P. Morgan Securities LLC 254,798 4.9% 5.33% 9 10/25/2024 Banco Santander SA 248,472 4.8% 5.33% 49 11/18/2024 Daiwa Securities America Inc. 247,191 4.7% 5.04% 28 11/19/2024 Citigroup Global Markets Inc 244,746 4.7% 5.04% 25 10/25/2024 Wells Fargo Bank, N.A. 241,641 4.6% 5.29% 16 10/16/2024 ING Financial Markets LLC 225,593 4.3% 5.01% 39 11/8/2024 Marex Capital Markets Inc. 223,192 4.3% 5.00% 21 10/21/2024 Goldman, Sachs & Co 208,485 4.0% 5.32% 16 10/16/2024 Bank of Montreal 204,522 3.9% 5.31% 15 10/15/2024 South Street Securities, LLC 194,516 3.7% 5.20% 19 10/24/2024 Clear Street LLC 193,535 3.7% 5.21% 48 11/20/2024 Mirae Asset Securities (USA) Inc. 193,120 3.7% 5.26% 26 11/18/2024 StoneX Financial Inc. 159,098 3.0% 5.03% 21 10/21/2024 The Bank of Nova Scotia 149,958 2.9% 5.29% 15 10/15/2024 RBC Capital Markets, LLC 143,225 2.7% 5.31% 45 11/14/2024 Nomura Securities International, Inc. 75,278 1.4% 5.31% 15 10/15/2024 Lucid Prime Fund, LLC 48,322 0.9% 5.29% 17 10/17/2024 Wells Fargo Securities, LLC 23,004 0.4% 5.06% 25 10/25/2024 Lucid Cash Fund USG LLC 17,506 0.3% 5.31% 17 10/17/2024 ------------------ --------- ----- -------- -------- ---------- Total Borrowings $5,230,871 100.0% 5.24% 25 11/20/2024 ================== ========= ===== ======== ======== ==========