Orchid Island Capital (ORC) investor relations material

Executive summary

• Q3 GAAP net loss was $178.9 million, or $0.90 per share; book value fell $1.20 to $6.02 per share and total return was -12.47%, including the $0.30 dividend, amid higher rates and wider Agency RMBS spreads.

• Adjusted earnings excluding realized and unrealized gains and losses were $52.8 million, or $0.27 per share; stronger net interest income and derivative gains partly offset RMBS fair-value losses.

• Book value increased 4.5% month-to-date through Oct. 22, including dividend accrual, as markets stabilized; liquidity and interest-rate risk remained tightly managed.

Financial highlights

• Q3 interest income was $164.1 million, interest expense $105.0 million and net interest income $59.1 million, versus $108.4 million, $81.5 million and $26.9 million, respectively, in Q3 2025.

• Economic net interest income was $72.1 million and economic net interest spread was 2.48%, up from 2.41% in Q2; GAAP net interest spread was 1.99%.

• Net portfolio loss was $172.6 million, including $567.1 million of unrealized RMBS losses and $335.4 million of derivative gains; total expenses were $6.3 million.

• Book value was $6.02 per share at Sept. 30, versus $7.22 at Q2-end; the quarterly dividend remained $0.30 per share.

Outlook and guidance

• Management intended to sustain the dividend if market conditions and portfolio composition remained near current levels; taxable earnings for the year were expected to be close to dividends paid.

• At current leverage, prospective ROE was in the high teens; management viewed selective portfolio rotation, buybacks and new investments as potential return opportunities.

• If funding markets remain stable, near-99% hedge coverage is expected to mitigate funding-cost increases and support net interest income near current levels; rates were expected to remain elevated near term.

• Management aimed to maximize book-value recovery potential if spreads recover or rates decline, while reinvesting paydowns and potentially adding mortgage assets as conditions and leverage normalize.

• Prepayment speeds were expected to slow further in Q4 2026 and Q1 2027 amid mid-7% mortgage rates and seasonal patterns.