0001518621 Orchid Island Capital, Inc. false --12-31 Q1 2026 11,259,049 10,502,743 154,956 134,715 149,585 135,133 0.01 0.01 20,000,000 20,000,000 0 0 0 0 0.01 0.01 400,000,000 400,000,000 196,700,226 196,700,226 181,985,900 181,985,900 0.36 0.36 0 1 1 1 false false false false The notional balance for the inverse interest-only securities portfolio was $15.2 million and $17.7 million as of March 31, 2026 and December 31, 2025, respectively. Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs. Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs. The notional balance for the interest-only securities portfolio was $70.6 million and $72.9 million as of March 31, 2026 and December 31, 2025, respectively. As of December 31, 2025, the Company had entered into twelve equity distribution agreements, eleven of which have either been terminated because all shares were sold or were replaced with a subsequent agreement. On April 15, 2026, the Company declared a dividend of $0.10 per share to be paid on May 28, 2026. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of March 31, 2026. 5-Year T-Note futures contracts were valued at a price of $109.30 as of December 31, 2025 and $106.30 as of December 31, 2024. The contract values of the short positions were $133.9 million and $332.2 million as of December 31, 2025 and 2024, respectively. 10-Year T-Note futures contracts were valued at a price of $112.44 as of December 31, 2025 and $108.75 as of December 31, 2024.. The contract values of the short positions were $101.2 million and $101.7 million as of December 31, 2025 and 2024, respectively. 10-Year Ultra futures contracts were valued at price of $115.02 as of December 31, 2025 and $111.31 as of December 31, 2024. The contract value of the short positions was $69.0 million and $36.2 million as of December 31, 2025 and 2024, respectively. Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. The Company has entered into 14 equity distribution agreements, 13 of which have either been terminated because all shares were sold or were replaced with a subsequent agreement. On January 7, 2026, the Company declared a dividend of $0.12 per share to be paid on February 26, 2026. On February 11, 2026, the Company declared a dividend of $0.12 per share to be paid on March 30, 2026. The effect of these dividends are included in the table above, but are not reflected in the Company’s financial statements as of December 31, 2025 The Company has entered into offsetting long and short positions for these coupons. The awards issued during the years ended December 31, 2025 and 2024 were granted with respect to service performed in 2024 and 2023, respectively. Compensation expense accrued related to the share awards was $0.2 million for both nine month periods ended September 30, 2025 and 2024. Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. The awards issued during the three months ended March 31, 2026 and 2025 were granted with respect to service performed in 2025 and 2024, respectively. Other securities are comprised of interest-only and inverse interest-only securities. The awards issued during the years ended December 31, 2025 and 2024 were granted with respect to service performed in 2024 and 2023, respectively. Compensation expense accrued related to the share awards was $0.2 million for both six month periods ended June 30, 2025 and 2024. Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in the balance sheets. 5-Year T-Note futures contracts were valued at a price of $108.18 at March 31, 2026 and $109.30 at December 31, 2025. The contract values of the short positions were $194.7 million and $133.9 million at March 31, 2026 and December 31, 2025, respectively. 10-Year T-Note futures contracts were valued at a price of $111.05 at March 31, 2026 and $112.44 at December 31, 2025. The contract values of the short positions were $58.9 million and $101.2 million at March 31, 2026 and December 31, 2025, respectively. 10-Year Ultra futures contracts were valued at a price of $113.52 at March 31, 2026 and $115.02 at December 31, 2025. The contract values of the short positions were $68.1 million and $69.0 million at March 31, 2026 and December 31, 2025, respectively. The cost information in the table above represents the aggregate current par value, multiplied by the purchase price of each security in the portfolio. ERIS swap futures are exchange traded futures that replicate the cash flows of an underlying swap position. Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end. 00015186212026-01-012026-03-31 xbrli:shares 00015186212026-04-23 thunderdome:item iso4217:USD 0001518621us-gaap:AssetPledgedAsCollateralMember2026-03-31 0001518621us-gaap:AssetPledgedAsCollateralMember2025-12-31 00015186212026-03-31 00015186212025-12-31 0001518621us-gaap:RelatedPartyMember2026-03-31 0001518621us-gaap:RelatedPartyMember2025-12-31 iso4217:USDxbrli:shares 00015186212025-01-012025-03-31 0001518621us-gaap:CommonStockMember2025-12-31 0001518621us-gaap:AdditionalPaidInCapitalMember2025-12-31 0001518621us-gaap:RetainedEarningsMember2025-12-31 0001518621us-gaap:AccumulatedOtherComprehensiveIncomeMember2025-12-31 0001518621us-gaap:CommonStockMember2026-01-012026-03-31 0001518621us-gaap:AdditionalPaidInCapitalMember2026-01-012026-03-31 0001518621us-gaap:RetainedEarningsMember2026-01-012026-03-31 0001518621us-gaap:AccumulatedOtherComprehensiveIncomeMember2026-01-012026-03-31 0001518621us-gaap:CommonStockMember2026-03-31 0001518621us-gaap:AdditionalPaidInCapitalMember2026-03-31 0001518621us-gaap:RetainedEarningsMember2026-03-31 0001518621us-gaap:AccumulatedOtherComprehensiveIncomeMember2026-03-31 0001518621us-gaap:CommonStockMember2024-12-31 0001518621us-gaap:AdditionalPaidInCapitalMember2024-12-31 0001518621us-gaap:RetainedEarningsMember2024-12-31 0001518621us-gaap:AccumulatedOtherComprehensiveIncomeMember2024-12-31 00015186212024-12-31 0001518621us-gaap:CommonStockMember2025-01-012025-03-31 0001518621us-gaap:AdditionalPaidInCapitalMember2025-01-012025-03-31 0001518621us-gaap:RetainedEarningsMember2025-01-012025-03-31 0001518621us-gaap:AccumulatedOtherComprehensiveIncomeMember2025-01-012025-03-31 0001518621us-gaap:CommonStockMember2025-03-31 0001518621us-gaap:AdditionalPaidInCapitalMember2025-03-31 0001518621us-gaap:RetainedEarningsMember2025-03-31 0001518621us-gaap:AccumulatedOtherComprehensiveIncomeMember2025-03-31 00015186212025-03-31 0001518621us-gaap:MortgageBackedSecuritiesMember2026-01-012026-03-31 0001518621us-gaap:MortgageBackedSecuritiesMember2025-01-012025-03-31 0001518621orc:March2023EquityDistributionAgreementMember2023-03-072023-03-07 0001518621orc:June2024EquityDistributionAgreementMember2024-06-112025-02-28 0001518621orc:February2025EquityDistributionAgreementMember2025-02-242025-02-24 0001518621orc:February2025EquityDistributionAgreementMember2025-02-242025-07-28 0001518621orc:February2025EquityDistributionAgreementMember2025-07-292025-10-31 0001518621orc:October2025EquityDistributionAgreementMember2025-10-272025-10-27 0001518621orc:October2025EquityDistributionAgreementMember2025-10-272026-03-31 0001518621orc:October2025EquityDistributionAgreementMember2026-01-012026-03-31 0001518621us-gaap:SubsequentEventMemberorc:October2025EquityDistributionAgreementMember2026-04-012026-04-01 0001518621orc:FixedRateMortgagesMember2026-03-31 0001518621orc:FixedRateMortgagesMember2025-12-31 0001518621us-gaap:FinancialInstrumentOtherMember2026-03-31 0001518621us-gaap:FinancialInstrumentOtherMember2025-12-31 0001518621orc:UsTreasuryNote46256302026MaturityMember2026-03-31 0001518621orc:UsTreasuryNote0755312026MaturityMember2026-03-31 0001518621orc:UsTreasuryNote412510312026MaturityMember2026-03-31 0001518621us-gaap:USTreasurySecuritiesMember2026-03-31 0001518621orc:UsTreasuryNote46256302026MaturityMember2025-12-31 0001518621orc:UsTreasuryNote0755312026MaturityMember2025-12-31 0001518621us-gaap:USTreasurySecuritiesMember2025-12-31 0001518621us-gaap:MaturityOvernightMember2026-03-31 0001518621orc:Maturity2To30DaysMember2026-03-31 0001518621us-gaap:Maturity30To90DaysMember2026-03-31 0001518621us-gaap:MaturityOver90DaysMember2026-03-31 xbrli:pure 0001518621us-gaap:MaturityOvernightMember2025-12-31 0001518621orc:Maturity2To30DaysMember2025-12-31 0001518621us-gaap:Maturity30To90DaysMember2025-12-31 0001518621us-gaap:MaturityOver90DaysMember2025-12-31 0001518621us-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMember2026-03-31 0001518621us-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMember2025-12-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2026-03-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2025-12-31 0001518621orc:TBAContractsMemberus-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2026-03-31 0001518621orc:TBAContractsMemberus-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2025-12-31 0001518621us-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2026-03-31 0001518621us-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2025-12-31 0001518621orc:EurodollarFutureMarginMemberus-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2026-03-31 0001518621orc:EurodollarFutureMarginMemberus-gaap:NotDesignatedAsHedgingInstrumentEconomicHedgeMember2025-12-31 0001518621orc:FiveYearTreasuryNoteFuturesMemberus-gaap:ShortMember2026-03-31 0001518621orc:TenYearTnoteFuturesMemberus-gaap:ShortMember2026-03-31 0001518621orc:TenYearUltraFuturesMemberus-gaap:ShortMember2026-03-31 0001518621orc:ThreeMonthSofrFuturesEndingInJune2026Memberus-gaap:ShortMember2026-03-31 0001518621orc:ThreeMonthSofrFuturesEndingInSeptember2026Memberus-gaap:ShortMember2026-03-31 0001518621orc:ThreeMonthSofrFuturesEndingInDecember2026Memberus-gaap:ShortMember2026-03-31 0001518621orc:ThreeMonthSofrFuturesEndingInMarch2027Memberus-gaap:ShortMember2026-03-31 0001518621orc:ThreeMonthSofrFuturesEndingInJune2027Memberus-gaap:ShortMember2026-03-31 0001518621orc:FiveYear375ErisSofrSwapFuturesEndingInJune2031Memberus-gaap:ShortMember2026-03-31 0001518621orc:FiveYearTreasuryNoteFuturesMemberus-gaap:ShortMember2025-12-31 0001518621orc:TenYearTnoteFuturesMemberus-gaap:ShortMember2025-12-31 0001518621orc:TenYearUltraFuturesMemberus-gaap:ShortMember2025-12-31 0001518621orc:ThreeMonthSofrFuturesEndingInMarch2026Memberus-gaap:ShortMember2025-12-31 0001518621orc:ThreeMonthSofrFuturesEndingInJune2026Memberus-gaap:ShortMember2025-12-31 0001518621orc:ThreeMonthSofrFuturesEndingInSeptember2026Memberus-gaap:ShortMember2025-12-31 0001518621orc:ThreeMonthSofrFuturesEndingInDecember2026Memberus-gaap:ShortMember2025-12-31 0001518621orc:ThreeMonthSofrFuturesEndingInMarch2027Memberus-gaap:ShortMember2025-12-31 0001518621orc:ThreeMonthSofrFuturesEndingInJune2027Memberus-gaap:ShortMember2025-12-31 0001518621orc:FiveYear375ErisSofrSwapFuturesEndingInMarch2031Memberus-gaap:ShortMember2025-12-31 iso4217:USDthunderdome:item 0001518621us-gaap:InterestRateSwapMemberorc:OneToFiveYearsMember2026-03-31 utr:Y 0001518621us-gaap:InterestRateSwapMemberorc:OneToFiveYearsMember2026-01-012026-03-31 0001518621us-gaap:InterestRateSwapMemberorc:MoreThanFiveYearsMember2026-03-31 0001518621us-gaap:InterestRateSwapMemberorc:MoreThanFiveYearsMember2026-01-012026-03-31 0001518621us-gaap:InterestRateSwapMember2026-03-31 0001518621us-gaap:InterestRateSwapMember2026-01-012026-03-31 0001518621us-gaap:InterestRateSwapMemberorc:OneToFiveYearsMember2025-12-31 0001518621us-gaap:InterestRateSwapMemberorc:OneToFiveYearsMember2025-01-012025-12-31 0001518621us-gaap:InterestRateSwapMemberorc:MoreThanFiveYearsMember2025-12-31 0001518621us-gaap:InterestRateSwapMemberorc:MoreThanFiveYearsMember2025-01-012025-12-31 0001518621us-gaap:InterestRateSwapMember2025-12-31 0001518621us-gaap:InterestRateSwapMember2025-01-012025-12-31 0001518621orc:FourAndAHalfPercent15yearTbaSecuritiesMemberus-gaap:LongMember2026-03-31 0001518621orc:SixAndAHalfPercent30yearTbaSecuritiesMemberus-gaap:ShortMember2026-03-31 0001518621orc:TBAContractsMemberus-gaap:LongMember2026-03-31 0001518621orc:FourAndAHalfPercent15yearTbaSecuritiesMemberus-gaap:LongMember2025-12-31 0001518621orc:ThreePercent30YearTbaSecuritiesMemberus-gaap:ShortMember2025-12-31 0001518621orc:ThreeAndAHalfPercent30yearTbaSecuritiesMember2025-12-31 0001518621orc:FourPercent30yearTbaSecuritiesMember2025-12-31 0001518621orc:FivePercent15YearTbaSecuritiesMemberus-gaap:LongMember2025-12-31 0001518621orc:FiveAndAPercent30YearTbaSecuritiesMemberus-gaap:ShortMember2025-12-31 0001518621orc:SixAndAHalfPercent30yearTbaSecuritiesMemberus-gaap:ShortMember2025-12-31 0001518621orc:TBAContractsMemberus-gaap:ShortMember2025-12-31 0001518621orc:InterestRateFuturesContractsMemberus-gaap:ShortMember2026-01-012026-03-31 0001518621orc:InterestRateFuturesContractsMemberus-gaap:ShortMember2025-01-012025-03-31 0001518621us-gaap:InterestRateSwapMember2025-01-012025-03-31 0001518621orc:TBAContractsMemberus-gaap:ShortMember2026-01-012026-03-31 0001518621orc:TBAContractsMemberus-gaap:ShortMember2025-01-012025-03-31 0001518621orc:TBAContractsMemberus-gaap:LongMember2026-01-012026-03-31 0001518621orc:TBAContractsMemberus-gaap:LongMember2025-01-012025-03-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:ShortMember2026-01-012026-03-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:ShortMember2025-01-012025-03-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMemberorc:PassThroughCertificateMember2026-03-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMemberorc:PassThroughCertificateMember2026-03-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:AssetPledgedAsCollateralMemberorc:PassThroughCertificateMember2026-03-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMemberorc:PassThroughCertificateMember2025-12-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMemberorc:PassThroughCertificateMember2025-12-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:AssetPledgedAsCollateralMemberorc:PassThroughCertificateMember2025-12-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMemberus-gaap:StructuredFinanceMember2026-03-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMemberus-gaap:StructuredFinanceMember2026-03-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:AssetPledgedAsCollateralMemberus-gaap:StructuredFinanceMember2026-03-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMemberus-gaap:StructuredFinanceMember2025-12-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMemberus-gaap:StructuredFinanceMember2025-12-31 0001518621us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:AssetPledgedAsCollateralMemberus-gaap:StructuredFinanceMember2025-12-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMember2026-03-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMember2026-03-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:AssetPledgedAsCollateralMember2026-03-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:RepurchaseAgreementsMemberus-gaap:AssetPledgedAsCollateralMember2025-12-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMember2025-12-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:AssetPledgedAsCollateralMember2025-12-31 0001518621us-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMember2026-03-31 0001518621us-gaap:DerivativeMemberus-gaap:AssetPledgedAsCollateralMember2025-12-31 0001518621us-gaap:CashMemberus-gaap:RepurchaseAgreementsMember2026-03-31 0001518621us-gaap:CashMemberorc:ReverseRepurchaseAgreementMember2026-03-31 0001518621us-gaap:CashMemberus-gaap:DerivativeMember2026-03-31 0001518621us-gaap:CashMember2026-03-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:RepurchaseAgreementsMember2026-03-31 0001518621us-gaap:USTreasurySecuritiesMemberorc:ReverseRepurchaseAgreementMember2026-03-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:DerivativeMember2026-03-31 0001518621us-gaap:RepurchaseAgreementsMember2026-03-31 0001518621orc:ReverseRepurchaseAgreementMember2026-03-31 0001518621us-gaap:DerivativeMember2026-03-31 0001518621us-gaap:CashMemberus-gaap:RepurchaseAgreementsMember2025-12-31 0001518621us-gaap:CashMemberorc:ReverseRepurchaseAgreementMember2025-12-31 0001518621us-gaap:CashMemberus-gaap:DerivativeMember2025-12-31 0001518621us-gaap:CashMember2025-12-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:RepurchaseAgreementsMember2025-12-31 0001518621us-gaap:USTreasurySecuritiesMemberorc:ReverseRepurchaseAgreementMember2025-12-31 0001518621us-gaap:USTreasurySecuritiesMemberus-gaap:DerivativeMember2025-12-31 0001518621us-gaap:RepurchaseAgreementsMember2025-12-31 0001518621orc:ReverseRepurchaseAgreementMember2025-12-31 0001518621us-gaap:DerivativeMember2025-12-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:AssetsMember2026-03-31 0001518621orc:TBAContractsMemberus-gaap:AssetsMember2026-03-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:AssetsMember2026-03-31 0001518621us-gaap:AssetsMember2026-03-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:AssetsMember2025-12-31 0001518621orc:TBAContractsMemberus-gaap:AssetsMember2025-12-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:AssetsMember2025-12-31 0001518621us-gaap:AssetsMember2025-12-31 0001518621us-gaap:RepurchaseAgreementsMemberus-gaap:LiabilityMember2026-03-31 0001518621orc:TBAContractsMemberus-gaap:LiabilityMember2026-03-31 0001518621us-gaap:LiabilityMember2026-03-31 0001518621us-gaap:RepurchaseAgreementsMemberus-gaap:LiabilityMember2025-12-31 0001518621orc:TBAContractsMemberus-gaap:LiabilityMember2025-12-31 0001518621us-gaap:LiabilityMember2025-12-31 0001518621orc:AtTheMarketOfferingProgramMember2026-03-31 0001518621orc:AtTheMarketOfferingProgramMember2026-01-012026-03-31 0001518621orc:AtTheMarketOfferingProgramMember2025-03-31 0001518621orc:AtTheMarketOfferingProgramMember2025-01-012025-03-31 0001518621orc:AtTheMarketOfferingProgramMember2025-06-30 0001518621orc:AtTheMarketOfferingProgramMember2025-04-012025-06-30 0001518621orc:AtTheMarketOfferingProgramMember2025-09-30 0001518621orc:AtTheMarketOfferingProgramMember2025-07-012025-09-30 0001518621orc:AtTheMarketOfferingProgramMember2025-12-31 0001518621orc:AtTheMarketOfferingProgramMember2025-10-012025-12-31 00015186212025-01-012025-12-31 0001518621orc:ShareRepurchaseProgramMember2015-07-29 0001518621orc:ShareRepurchaseProgramMember2018-02-08 0001518621orc:ShareRepurchaseProgramMember2021-12-09 0001518621orc:ShareRepurchaseProgramMember2022-10-12 0001518621orc:ShareRepurchaseProgramMember2015-07-292025-12-31 0001518621orc:ShareRepurchaseProgramMember2026-01-012026-03-31 0001518621orc:ShareRepurchaseProgramMember2025-01-012025-12-31 0001518621orc:ShareRepurchaseProgramMemberus-gaap:SubsequentEventMember2026-04-23 00015186212013-01-012013-12-31 00015186212014-01-012014-12-31 00015186212015-01-012015-12-31 00015186212016-01-012016-12-31 00015186212017-01-012017-12-31 00015186212018-01-012018-12-31 00015186212019-01-012019-12-31 00015186212020-01-012020-12-31 00015186212021-01-012021-12-31 00015186212022-01-012022-12-31 00015186212023-01-012023-12-31 00015186212024-01-012024-12-31 0001518621srt:ScenarioForecastMember2026-01-012026-12-31 00015186212013-01-012026-03-31 0001518621us-gaap:SubsequentEventMember2026-04-152026-04-15 0001518621orc:The2021IncentivePlanMember2025-01-012025-12-31 0001518621orc:The2021IncentivePlanMember2025-12-31 0001518621us-gaap:PerformanceSharesMember2026-03-31 0001518621us-gaap:PerformanceSharesMember2025-12-31 0001518621us-gaap:PerformanceSharesMember2024-12-31 0001518621us-gaap:PerformanceSharesMember2026-01-012026-03-31 0001518621us-gaap:PerformanceSharesMember2025-01-012025-03-31 0001518621us-gaap:PerformanceSharesMember2025-03-31 0001518621orc:StockAwardsMember2026-01-012026-03-31 0001518621orc:StockAwardsMember2025-01-012025-03-31 0001518621orc:DeferredStockUnitsMember2026-03-31 0001518621orc:DeferredStockUnitsMember2025-12-31 0001518621orc:DeferredStockUnitsMember2024-12-31 0001518621orc:DeferredStockUnitsMember2026-01-012026-03-31 0001518621orc:DeferredStockUnitsMember2025-01-012025-03-31 0001518621orc:DeferredStockUnitsMember2025-03-31 0001518621us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesMember2026-03-31 0001518621us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesMember2026-03-31 0001518621us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesMember2026-03-31 0001518621us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:USTreasurySecuritiesMember2026-03-31 0001518621us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:USTreasurySecuritiesMember2026-03-31 0001518621us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:USTreasurySecuritiesMember2026-03-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621orc:TBAContractsMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621orc:TBAContractsMemberus-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621orc:TBAContractsMemberus-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2026-03-31 0001518621us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesMember2025-12-31 0001518621us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesMember2025-12-31 0001518621us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesMember2025-12-31 0001518621us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:USTreasurySecuritiesMember2025-12-31 0001518621us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:USTreasurySecuritiesMember2025-12-31 0001518621us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:USTreasurySecuritiesMember2025-12-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621us-gaap:InterestRateSwapMemberus-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621orc:TBAContractsMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621orc:TBAContractsMemberus-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621orc:TBAContractsMemberus-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621orc:ReverseRepurchaseAgreementMemberus-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2025-12-31 0001518621orc:BiminiAdvisorsLlcMember2026-01-012026-03-31 0001518621orc:BiminiAdvisorsLlcMember2025-01-012025-03-31 0001518621orc:BiminiAdvisorsLlcMember2026-03-31 0001518621orc:BiminiAdvisorsLlcMember2025-12-31 0001518621orc:BiminiCapitalManagementIncMember2026-03-31

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, 2026

☐ 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

27-3269228

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

3305 Flamingo Drive, Vero Beach, Florida 32963

(Address of principal executive offices) (Zip Code)

(772) 231-1400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class	Trading Symbol:	Name of Each Exchange on Which Registered
Common Stock, $0.01 par value	ORC	New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer", "smaller reporting company", and "emerging growth company" in Rule 12b-2 of the Exchange Act. Check one:

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐	Smaller reporting company	☐
		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

Number of shares outstanding at April 23, 2026: 200,700,226

Table of Contents

ORCHID ISLAND CAPITAL, INC.

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION

ITEM 1. Financial Statements		1
	Condensed Balance Sheets (unaudited)	1
	Condensed Statements of Comprehensive Income (Loss) (unaudited)	2
	Condensed Statements of Stockholders’ Equity (unaudited)	3
	Condensed Statements of Cash Flows (unaudited)	4
	Notes to Condensed Financial Statements (unaudited)	5
ITEM 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		23
ITEM 3. Quantitative and Qualitative Disclosures about Market Risk		42
ITEM 4. Controls and Procedures		46

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings		47
ITEM 1A. Risk Factors		47
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds		47
ITEM 3. Defaults upon Senior Securities		47
ITEM 4. Mine Safety Disclosures		47
ITEM 5. Other Information		47
ITEM 6. Exhibits		48
SIGNATURES		49

Table of Contents

PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

ORCHID ISLAND CAPITAL, INC.

CONDENSED BALANCE SHEETS

($ in thousands, except per share data)

	(Unaudited)
	*March 31,*			*December 31,*
	*2026*			*2025*
ASSETS:
Mortgage-backed securities, at fair value (includes pledged assets of $11,259,049 and $10,502,743, respectively)	$	11,338,541		$	10,628,658
U.S. Treasury securities, available-for-sale (amortized cost of $154,956 and $134,715; includes pledged assets of $149,585 and $135,133, respectively)		155,095			135,133
Cash and cash equivalents		674,020			665,865
Restricted cash		86,114			58,696
Accrued interest receivable		53,880			49,127
Derivative assets		3,008			9,253
Reverse repurchase agreements		358,740			128,613
Receivable for investment securities and TBA transactions		597			-
Other assets		1,396			648
Total Assets	$	12,671,391		$	11,675,993

LIABILITIES AND STOCKHOLDERS' EQUITY

LIABILITIES:
Repurchase agreements	$	10,864,723		$	10,115,466
Payable for investment securities and TBA transactions		-			1,519
Dividends payable		23,629			21,865
Derivative liabilities		635			1,846
Accrued interest payable		28,458			31,397
Due to affiliates		1,788			1,661
Obligation to return securities borrowed under reverse repurchase agreements, at fair value		359,202			128,724
Other liabilities		1,148			1,567
Total Liabilities		11,279,583			10,304,045

COMMITMENTS AND CONTINGENCIES

STOCKHOLDERS' EQUITY:
Preferred stock, $0.01 par value; 20,000,000 shares authorized; no shares issued and outstanding as of March 31, 2026 and December 31, 2025		-			-
Common Stock, $0.01 par value; 400,000,000 shares authorized, 196,700,226 shares issued and outstanding as of March 31, 2026 and 181,985,900 shares issued and outstanding as of December 31, 2025		1,967			1,820
Additional paid-in capital		1,593,398			1,553,451
Accumulated deficit		(203,696	)		(183,741	)
Accumulated other comprehensive income		139			418
Total Stockholders' Equity		1,391,808			1,371,948
Total Liabilities and Stockholders' Equity	$	12,671,391		$	11,675,993

See Notes to Financial Statements

Table of Contents

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(Unaudited)

For the Three Months Ended March 31, 2026 and 2025

($ in thousands, except per share data)

	*Three Months Ended March 31,*
	*2026*			*2025*
Interest income	$	157,838		$	81,090
Interest expense		(100,775	)		(61,377	)
Net interest income		57,063			19,713
Realized gains (losses) on mortgage-backed securities		39			(1,298	)
Unrealized (losses) gains on mortgage-backed securities		(115,968	)		77,592
Gains (losses) on derivative and other hedging instruments		46,308			(74,659	)
Net portfolio (loss) income		(12,558	)		21,348

Expenses:
Management fees		3,988			2,747
Allocated overhead		786			608
Incentive compensation		1,415			(207	)
Directors' fees and liability insurance		312			338
Audit, legal and other professional fees		312			393
Direct REIT operating expenses		472			227
Other administrative		112			120
Total expenses		7,397			4,226

Net (loss) income	$	(19,955	)	$	17,122
Unrealized (losses) gains on U.S. Treasury securities measured at fair value through other comprehensive net (loss) income		(279	)		250
Comprehensive net (loss) income	$	(20,234	)	$	17,372

Basic and diluted net (loss) income per share	$	(0.11	)	$	0.18

Weighted Average Shares Outstanding		189,259,574			95,174,719

See Notes to Financial Statements

Table of Contents

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF STOCKHOLDERS' EQUITY

(Unaudited)

For the Three Months Ended March 31, 2026 and 2025

(in thousands)

											*Accumulated*
											*Other*
					*Additional*			*Retained*			*Comprehensive*
	*Common Stock*				*Paid-in*			*Earnings*			*Income*
	*Shares*		*Par Value*		*Capital*			*(Deficit)*			*(Loss)*			*Total*
Balances, January 1, 2026		181,986	$	1,820	$	1,553,451		$	(183,741	)	$	418		$	1,371,948
Net loss		-		-		-			(19,955	)		-			(19,955	)
Unrealized loss on available-for-sale securities		-		-		-			-			(279	)		(279	)
Cash dividends declared ($0.36 per share)		-		-		(68,977	)		-			-			(68,977	)
Stock based awards and amortization		155		2		1,302			-			-			1,304
Issuance of common stock pursuant to public offerings, net		14,559		145		107,622			-			-			107,767
Balances, March 31, 2026		196,700	$	1,967	$	1,593,398		$	(203,696	)	$	139		$	1,391,808

											*Accumulated*
											*Other*
					*Additional*			*Retained*			*Comprehensive*
	*Common Stock*				*Paid-in*			*Earnings*			*Income*
	*Shares*		*Par Value*		*Capital*			*(Deficit)*			*(Loss)*		*Total*
Balances, January 1, 2025		82,622	$	826	$	1,010,306		$	(342,771	)	$	139	$	668,500
Net income		-		-		-			17,122			-		17,122
Unrealized gain on available-for-sale securities		-		-		-			-			250		250
Cash dividends declared ($0.36 per share)		-		-		(35,729	)		-			-		(35,729	)
Stock based awards and amortization		23		-		313			-			-		313
Issuance of common stock pursuant to public offerings, net		25,142		252		205,172			-			-		205,424
Balances, March 31, 2025		107,787	$	1,078	$	1,180,062		$	(325,649	)	$	389	$	855,880

See Notes to Financial Statements

Table of Contents

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF CASH FLOWS

(Unaudited)

For the Three Months Ended March 31, 2026 and 2025

($ in thousands)

	*2026*			*2025*
CASH FLOWS FROM OPERATING ACTIVITIES:
Net (loss) income	$	(19,955	)	$	17,122
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Stock based compensation		1,311			(243	)
Net discount accretion on U.S. Treasury securities		(172	)		(120	)
Realized (gains) losses on mortgage-backed securities		(39	)		1,298
Unrealized losses (gains) on mortgage-backed securities		115,968			(77,592	)
Realized and unrealized (gains) losses on derivative instruments		(40,182	)		91,315
Changes in operating assets and liabilities:
Accrued interest receivable		(4,753	)		(8,474	)
Other assets		(963	)		(469	)
Accrued interest payable		(2,939	)		2,543
Other liabilities		212			217
Due to affiliates		127			182
NET CASH PROVIDED BY OPERATING ACTIVITIES		48,615			25,779

CASH FLOWS FROM INVESTING ACTIVITIES:
From mortgage-backed securities investments:
Purchases		(1,255,542	)		(1,710,118	)
Sales and maturities		25,006			168,634
Principal repayments		404,724			132,994
Purchases of U.S. Treasury securities, available-for-sale		(20,069	)		(49,622	)
Proceeds from maturity of U.S. Treasury securities, available-for-sale		-			25,000
Net payments on reverse repurchase agreements		(230,127	)		-
Net proceeds from (payments on) derivative instruments		273,770			(93,402	)
NET CASH USED IN INVESTING ACTIVITIES		(802,238	)		(1,526,514	)

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from repurchase agreements		23,449,233			14,563,906
Principal payments on repurchase agreements		(22,699,976	)		(13,170,808	)
Cash dividends		(67,169	)		(32,679	)
Proceeds from issuance of common stock, net of issuance costs		107,767			205,424
Common stock repurchases, including shares withheld from employee stock awards for payment of taxes		(659	)		(69	)
NET CASH PROVIDED BY FINANCING ACTIVITIES		789,196			1,565,774

NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH		35,573			65,039
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period		724,561			335,053
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period	$	760,134		$	400,092

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for:
Interest	$	103,714		$	58,833

See Notes to Financial Statements

Table of Contents

ORCHID ISLAND CAPITAL, INC.

NOTES TO CONDENSED FINANCIAL STATEMENTS

(Unaudited)

March 31, 2026

NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization and Business Description

Orchid Island Capital, Inc. (“Orchid” or the “Company”) was incorporated in Maryland on August 17, 2010 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (“RMBS”). From incorporation to the completion of Orchid’s initial public offering of its common stock on February 20, 2013, Orchid was a wholly owned subsidiary of Bimini Capital Management, Inc. (“Bimini”). Orchid began operations on November 24, 2010 (the date of commencement of operations). From incorporation through November 24, 2010, Orchid’s only activity was the issuance of common stock to Bimini.

On June 11, 2024, Orchid entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. The Company issued a total of 30,513,253 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $250.0 million and net proceeds of approximately $245.8 million, after commissions and fees, prior to its termination in February 2025.

On February 24, 2025, Orchid entered into an equity distribution agreement (the “February 2025 Equity Distribution Agreement”) with four sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $350,000,000 of gross proceeds from the sales of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. On July 28, 2025, the February 2025 Equity Distribution Agreement was amended to increase the aggregate amount of gross proceeds from the sales of shares that may be offered by $150,000,000 to a total of $500,000,000. The Company issued a total of 59,492,504 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $445.1 million and net proceeds of approximately $438.0 million, after commissions and fees, prior to its termination in October 2025.

On October 27, 2025, Orchid entered into an equity distribution agreement (the “October 2025 Equity Distribution Agreement”) with four sales agents pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $500,000,000 of gross proceeds from the sales of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. From inception through March 31, 2026, the Company issued a total of 44,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $332.7 million, and net proceeds of approximately $327.5 million, after commissions and fees. For the three months ended March 31, 2026, the Company issued a total of 14,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $109.5 million, and net proceeds of approximately $107.8 million, after commissions and fees. Subsequent to March 31, 2026, the Company issued a total of 4,000,000 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $28.2 million, and net proceeds of approximately $27.8 million, after commissions and fees.

Basis of Presentation and Use of Estimates

The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair statement of results for the interim period have been included. Operating results for the three-month period ended March 31, 2026 are not necessarily indicative of the results that may be expected for the year ending December 31, 2026.

The balance sheet at December 31, 2025 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2025.

Table of Contents

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could significantly differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives. Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of March 31, 2026.

Variable Interest Entities (“VIEs”)

The Company obtains interests in VIEs through its investments in mortgage-backed securities. The Company’s interests in these VIEs are passive in nature and are not expected to result in the Company obtaining a controlling financial interest in these VIEs in the future. As a result, the Company does not consolidate these VIEs and accounts for these interests in these VIEs as mortgage-backed securities. See Note 2 for additional information regarding the Company’s investments in mortgage-backed securities. The maximum exposure to loss for these VIEs is the carrying value of the mortgage-backed securities.

Cash and Cash Equivalents and Restricted Cash

Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments.

The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows.

(in thousands)
	*March 31, 2026*		*December 31, 2025*
Cash and cash equivalents	$	674,020	$	665,865
Restricted cash		86,114		58,696
Total cash, cash equivalents and restricted cash	$	760,134	$	724,561

The Company maintains cash balances at three banks, a government securities backed overnight sweep fund, and excess margin on account with three exchange clearing members. At times, balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known banks and exchange clearing members and believes that it is not exposed to any significant credit risk on cash and cash equivalents or restricted cash balances.

Mortgage-Backed Securities and U.S. Treasury Securities

The Company invests primarily in mortgage pass-through (“PT”) residential mortgage backed securities (“RMBS”) and collateralized mortgage obligations (“CMOs”) issued by Freddie Mac, Fannie Mae or Ginnie Mae, interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of RMBS. The Company refers to RMBS and CMOs as PT RMBS. The Company refers to IO and IIO securities as structured RMBS. The Company also invests in U.S. Treasury Notes ("T-Notes") and U.S. Treasury Bills (collectively, "U.S. Treasury securities"), primarily to satisfy collateral requirements of derivative counterparties. The Company has elected to account for its investment in RMBS under the fair value option. The Company recorded changes in fair value in net income. The Company has designated its U.S. Treasury securities purchased after August 2023 as available-for-sale, and changes in fair value during the period for reasons other than expected credit losses are recognized in other comprehensive income (loss).

The Company records securities transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the portfolio balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are removed from the portfolio balance with an offsetting receivable recorded.

Table of Contents

Fair value is defined as the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for RMBS are based on independent pricing sources and/or third party broker quotes, when available. Estimated fair values for U.S. Treasury securities are based on quoted prices for identical assets in active markets.

Income on PT RMBS is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the statements of comprehensive income (loss). For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively for future reporting periods based on the new estimate of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security. Income on U.S. Treasury securities is based on the stated interest rate (if any) of the security. Premiums or discounts associated with the purchase are amortized or accreted income over the life of the investment and reported in the statements of comprehensive income (loss) as interest income.

Changes in fair value of investments for which the fair value option is elected are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities and U.S. Treasury securities in the accompanying statements of comprehensive income (loss). Realized gains and losses on sales of investments for which the fair value option has been elected, using the specific identification method, are reported as a separate component of net portfolio income on the statements of comprehensive income (loss). Changes in fair value of U.S. Treasury securities that are classified as available-for-sale are reported in accumulated other comprehensive income (loss) ("OCI"). Upon the sale of a security designated as available-for-sale, we determine the cost of the security and the amount of unrealized gain or loss to reclassify out of accumulated OCI into earnings based on the specific identification method.

The Company evaluated securities for allowance for credit losses and since all of the Company's available-for-sale securities designated investments consist of U.S. Treasury securities, which are backed by the full faith and credit of the U.S. government, the Company does not record an allowance for credit losses.

Derivative and Other Hedging Instruments

The Company uses derivative and other hedging instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are T-Note, Secured Overnight Financing Rate ("SOFR"), federal funds (“Fed Funds”) and ERIS SOFR Swap futures contracts, short positions in U.S. Treasury securities, interest rate swaps, options to enter in interest rate swaps (“interest rate swaptions”), dual digital options, interest rate caps and floors, and “to-be-announced” (“TBA”) securities transactions, but the Company may enter into other derivative and other hedging instruments in the future.

The Company accounts for TBA securities as derivative instruments. Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying statements of comprehensive income (loss).

The Company enters into short-sales of U.S. Treasury securities by borrowing the securities under reverse repurchase agreements and selling them into the market. The Company accounts for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on our accompanying balance sheets based on the value of the underlying U.S. Treasury security as of the reporting date. Gains and losses associated with U.S. Treasury security short positions are recognized in gain (loss) on derivative instruments, net in our statements of comprehensive income (loss).

Derivative and other hedging instruments are carried at fair value, and changes in fair value are recorded in income as gains or losses on derivative and other hedging instruments for each period. The Company’s derivative financial instruments are not designated as hedge accounting relationships, but rather are used as economic hedges of its portfolio assets and liabilities. Gains and losses on derivatives, except those that result in cash receipts or payments, are included in operating activities on the statements of cash flows. Cash payments and cash receipts from settlements of derivatives, including current period net cash settlements on interest rate swaps, are classified as an investing activity on the statements of cash flows.

Table of Contents

Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement. The Company’s derivative agreements require it to post or receive collateral to mitigate such risk. In addition, the Company uses only registered central clearing exchanges and well-established commercial banks as counterparties, monitors positions with individual counterparties and adjusts posted collateral as required.

Financial Instruments

The fair value of financial instruments for which it is practicable to estimate that value is disclosed either in the body of the financial statements or in the accompanying notes. RMBS, Fed Funds, SOFR and T-Note futures contracts, interest rate swaps, interest rate swaptions, dual digital options, interest rate floors and caps, and TBA securities are accounted for at fair value in the balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 13 of the financial statements.

Repurchase Agreements

The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Repurchase agreements are accounted for as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

Reverse Repurchase Agreements and Obligations to Return Securities Borrowed under Reverse Repurchase Agreements

The Company borrows securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. The securities received as collateral in connection with our reverse repurchase agreements mitigate our credit risk exposure to counterparties. Our reverse repurchase agreements typically have maturities of 30 days or less.

Manager Compensation

The Company is externally managed by Bimini Advisors, LLC (the “Manager” or “Bimini Advisors”), a Maryland limited liability company and wholly-owned subsidiary of Bimini. The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 14 for the terms of the management agreement.

Earnings Per Share

Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable, for common stock equivalents, if any. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.

Stock-Based Compensation

The Company may grant equity-based compensation to non-employee members of its Board of Directors and to the executive officers and employees of the Manager. Stock-based awards issued include performance units ("PUs"), deferred stock units ("DSUs") and immediately vested common stock awards. Compensation expense is measured and recognized for all stock-based payment awards made to employees and non-employee directors based on the fair value of the Company’s common stock on the date of grant. Compensation expense is recognized over each award’s respective service period using the graded vesting attribution method. The Company does not estimate forfeiture rates; but rather, adjusts for forfeitures in the periods in which they occur.

ncome Taxes

Orchid has elected and is organized and operated so as to qualify to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). REITs are generally not subject to U.S. federal income tax on their REIT taxable income provided that they distribute to their stockholders all of their REIT taxable income on an annual basis. A REIT must distribute at least 90% of its REIT taxable income, determined without regard to the deductions for dividends paid and excluding net capital gain, and meet other requirements of the Code to retain its tax status.

Table of Contents

Orchid assesses the likelihood, based on their technical merit, that uncertain tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no accrual for any tax, interest or penalties related to Orchid’s tax position assessment. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change.

Recent Accounting Pronouncements

In November 2024, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2024-03, "Income Statement—Reporting Comprehensive Income—Expense Disaggregation Disclosures (Subtopic 220-40): Disaggregation of Income Statement Expenses". The amendments in the ASU require disclosures about specific types of expenses included in the expense captions presented on the Statements of Income, as well as disclosures about selling expenses. ASU 2024-03 is effective for fiscal years beginning after December 15, 2026. We are currently evaluating the impact of adoption on our financial disclosures.

NOTE 2. MORTGAGE-BACKED SECURITIES, AT FAIR VALUE

The following table presents the Company’s RMBS portfolio that are remeasured at fair value through earnings as of March 31, 2026 and December 31, 2025:

(in thousands)
	*March 31, 2026*						*December 31, 2025*
	*Par Value*		Cost⁽¹⁾		*Fair Value*		*Par Value*		Cost⁽¹⁾		*Fair Value*
Pass-Through RMBS Certificates:
Fixed-rate RMBS	$	11,161,389	$	11,376,248	$	11,326,089	$	10,345,029	$	10,558,236	$	10,615,570
Other(2)(3)(4)				15,467		12,452				16,103		13,088
Total	$	11,161,389	$	11,391,715	$	11,338,541	$	10,345,029	$	10,574,339	$	10,628,658

(1)	The cost information in the table above represents the aggregate current par value, multiplied by the purchase price of each security in the portfolio.

(2)	Other securities are comprised of interest-only and inverse interest-only securities.
(3)	The notional balance for the interest-only securities portfolio was $70.6 million and $72.9 million as of March 31, 2026 and December 31, 2025, respectively.

(4)	The notional balance for the inverse interest-only securities portfolio was $15.2 million and $17.7 million as of March 31, 2026 and December 31, 2025, respectively.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the three months ended March 31, 2026 and 2025.

(in thousands)
	*Three Months Ended March 31,*
	*2026*			*2025*
Proceeds from sales of RMBS	$	25,006		$	168,634
Carrying value of RMBS sold		(24,967	)		(169,932	)
Net gain (loss) on sales of RMBS	$	39		$	(1,298	)

Gross gain on sales of RMBS	$	39		$	-
Gross loss on sales of RMBS		-			(1,298	)
Net gain (loss) on sales of RMBS	$	39		$	(1,298	)

NOTE 3. U.S. TREASURY SECURITIES, AVAILABLE-FOR-SALE

The following table presents the amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of March 31, 2026 and December 31, 2025. U.S. Treasury securities are held primarily to satisfy collateral requirements of the Company's repurchase and derivative counterparties.

Table of Contents

(in thousands)
			*Gross*		*Gross*
	*Amortized*		*Unrealized*		*Unrealized*			*Fair*
	*Cost*		*Gains*		*Losses*			*Value*
March 31, 2026
U.S. Treasury Note, 4.625%, 6/30/2026 Maturity	$	100,068	$	162	$	-		$	100,230
U.S. Treasury Note, 0.75%, 5/31/2026 Maturity		34,832		-		(4	)		34,828
U.S. Treasury Note, 4.125%, 10/31/2026 Maturity		20,056		-		(19	)		20,037
	$	154,956	$	162	$	(23	)	$	155,095
December 31, 2025
U.S. Treasury Note, 4.625%, 6/30/2026 Maturity	$	100,136	$	395	$	-		$	100,531
U.S. Treasury Note, 0.75%, 5/31/2026 Maturity		34,579	$	23				$	34,602
	$	134,715	$	418	$	-		$	135,133

Because all of the Company's available-for-sale securities are backed by the full faith and credit of the U.S. government, the Company has not recorded an allowance for credit losses.

NOTE 4. REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS

Repurchase Agreements

The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is generally paid at the termination of a borrowing. If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may release collateral back to the Company. As of March 31, 2026, the Company had met all margin call requirements.

As of March 31, 2026 and December 31, 2025, the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)
	*OVERNIGHT*		*BETWEEN 2*			*BETWEEN 31*			*GREATER*
	*(1 DAY OR*		*AND*			*AND*			*THAN*
	*LESS)*		*30 DAYS*			*90 DAYS*			*90 DAYS*			*TOTAL*
March 31, 2026
Fair value of securities pledged, including accrued interest receivable	$	-	$	6,444,148		$	3,662,811		$	1,204,024		$	11,310,983
Repurchase agreement liabilities associated with these securities	$	-	$	6,180,946		$	3,529,429		$	1,154,348		$	10,864,723
Net weighted average borrowing rate		-		3.79	%		3.78	%		3.82	%		3.79	%
December 31, 2025
Fair value of securities pledged, including accrued interest receivable	$	-	$	6,821,306		$	3,445,678		$	284,296		$	10,551,280
Repurchase agreement liabilities associated with these securities	$	-	$	6,544,072		$	3,297,567		$	273,827		$	10,115,466
Net weighted average borrowing rate		-		4.00	%		3.96	%		3.92	%		3.98	%

In addition, cash pledged to counterparties for repurchase agreements was approximately $82.6 million and $51.2 million as of March 31, 2026 and December 31, 2025, respectively.

If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable and cash posted by the Company as collateral. At March 31, 2026, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable and securities posted by the counterparty (if any), and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $499.9 million. The Company did not have an amount at risk with any individual counterparty that was greater than 10% of the Company’s equity at March 31, 2026 or December 31, 2025.

Table of Contents

Reverse Repurchase Agreements

As of March 31, 2026 and December 31, 2025, the Company had $358.7 million and $128.6 million of reverse repurchase agreements outstanding, respectively, for which we had associated obligations to return borrowed securities at fair value of $359.2 million and $128.7 million.

NOTE 5. DERIVATIVE AND OTHER HEDGING INSTRUMENTS

The table below summarizes fair value information about the Company’s derivative and other hedging instruments assets and liabilities as of March 31, 2026 and December 31, 2025.

(in thousands)
Derivative and Other Hedging Instruments	*Balance Sheet Location*	*March 31, 2026*			*December 31, 2025*
Assets
Interest rate swaps	Derivative assets, at fair value	$	2,628		$	8,238
TBA securities	Derivative assets, at fair value		381			1,015
Total derivative assets, at fair value		$	3,009		$	9,253

Liabilities
TBA securities	Derivative liabilities, at fair value	$	635		$	1,846
Total derivative liabilities, at fair value		$	635		$	1,846

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	2,412		$	5,131
TBA securities (including margin paid on unsettled trades)	Restricted cash		1,090			2,394
TBA securities (including margin received on unsettled trades)	Other liabilities		(337	)		(360	)
Total margin balances on derivative contracts		$	3,165		$	7,165

T-Note and SOFR futures are cash and securities settled futures contracts on their respective underlying or delivery eligible underlying U.S. Treasury security, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin,” is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s T-Note and SOFR futures positions at March 31, 2026 and December 31, 2025.

($ in thousands)
	*March 31, 2026*
	*Average*		*Weighted*			*Weighted*
	*Contract*		*Average*			*Average*
	*Notional*		*Entry*			*Effective*			*Open*
Expiration Year	*Amount*		*Rate*			*Rate*			Equity⁽¹⁾
U.S. Treasury Note Futures Contracts (Short Positions)⁽²⁾
June 2026 5-year T-Note futures (Jun 2026 - Jun 2031 Hedge Period)	$	180,000		3.86	%		3.93	%	$	520
June 2026 10-year T-Note futures (Jun 2026 - Jun 2036 Hedge Period)		53,000		3.85	%		4.13	%		977
June 2026 10-year Ultra futures (Jun 2026 - Jun 2036 Hedge Period)		60,000		4.09	%		4.32	%		1,223
SOFR Futures Contracts (Short Positions)
June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)	$	97,500		3.55	%		3.68	%	$	123
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)		97,500		3.38	%		3.67	%		280
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)		97,500		3.27	%		3.67	%		386
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)		97,500		3.22	%		3.64	%		407
June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)		97,500		3.21	%		3.61	%		397
ERIS SOFR Swap Futures Contracts (Short Positions)⁽³⁾
June 2026 5-Year Term, 3.75% fixed rate, (Jun 2026 - June 2031 Hedge Period)	$	10,000		3.42	%		3.63	%	$	88

Table of Contents

($ in thousands)
	*December 31, 2025*
	*Average*		*Weighted*			*Weighted*
	*Contract*		*Average*			*Average*
	*Notional*		*Entry*			*Effective*			*Open*
Expiration Year	*Amount*		*Rate*			*Rate*			Equity⁽¹⁾
U.S. Treasury Note Futures Contracts (Short Positions)⁽²⁾
March 2026 5-year T-Note futures (Mar 2026 - Mar 2031 Hedge Period)	$	122,500		3.65	%		3.65	%	$	10
March 2026 10-year T-Note futures (Mar 2026 - Mar 2036 Hedge Period)		90,000		3.79	%		3.91	%		739
March 2026 10-year Ultra futures (Mar 2026 - Mar 2036 Hedge Period)		60,000		4.03	%		4.14	%		575
SOFR Futures Contracts (Short Positions)
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)	$	97,500		3.73	%		3.69	%	$	(44	)
June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)		97,500		3.55	%		3.52	%		(33	)
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)		97,500		3.38	%		3.31	%		(66	)
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)		97,500		3.27	%		3.16	%		(111	)
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)		97,500		3.22	%		3.11	%		(105	)
June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)		97,500		3.21	%		3.11	%		(90	)
ERIS SOFR Swap Futures Contracts (Short Positions)(3)
March 2026 5-Year Term, 3.75% fixed rate (Mar 2026 - Mar 2031 Hedge Period)	$	10,000		3.48	%		3.45	%	$	(13	)

(1)	Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

(2)

5-Year T-Note futures contracts were valued at a price of $108.18 at March 31, 2026 and $109.30 at December 31, 2025. The contract values of the short positions were $194.7 million and $133.9 million at March 31, 2026 and December 31, 2025, respectively. 10-Year T-Note futures contracts were valued at a price of $111.05 at March 31, 2026 and $112.44 at December 31, 2025. The contract values of the short positions were $58.9 million and $101.2 million at March 31, 2026 and December 31, 2025, respectively. 10-Year Ultra futures contracts were valued at a price of $113.52 at March 31, 2026 and $115.02 at December 31, 2025. The contract values of the short positions were $68.1 million and $69.0 million at March 31, 2026 and December 31, 2025, respectively.

(3)

ERIS swap futures are exchange traded futures that replicate the cash flows of an underlying swap position.

Under its interest rate swap agreements, the Company typically pays a fixed rate and receives a floating rate ("payer swaps") based on an index, such as SOFR. The floating rate the Company receives under its swap agreements has the effect of offsetting the repricing characteristics of its repurchase agreements and cash flows on such liabilities. The Company is typically required to post margin on its interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at March 31, 2026 and December 31, 2025.

($ in thousands)
			*Average*
			*Fixed*			*Average*			*Average*
	*Notional*		*Pay*			*Receive*			*Maturity*
	*Amount*		*Rate*			*Rate*			*(Years)*
March 31, 2026
Expiration > 1 to ≤ 5 years	$	4,792,800		3.40	%		3.68	%		3.0
Expiration > 5 years		2,221,400		3.90	%		3.68	%		8.0
	$	7,014,200		3.56	%		3.68	%		4.6
December 31, 2025
Expiration > 1 to ≤ 5 years	$	4,162,500		3.38	%		3.87	%		3.2
Expiration > 5 years		1,695,800		3.87	%		3.87	%		7.1
	$	5,858,300		3.53	%		3.87	%		4.3

Our interest rate swaps are centrally cleared through two registered commodities exchanges, the Chicago Mercantile Exchange ("CME") and the London Clearing House (“LCH”). The clearing exchanges require that we post an "initial margin" amount determined by the exchanges. The initial margin amount is intended to be set at a level sufficient to protect the exchange from the interest rate swap's maximum estimated single-day price movement and is subject to adjustment based on changes in market volatility and other factors. We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchanges.

Table of Contents

The following table summarizes the Company’s contracts to purchase and sell TBA securities as of March 31, 2026 and December 31, 2025.

($ in thousands)
	*Notional*
	*Amount*									*Net*
	*Long*			*Cost*			*Market*			*Carrying*
	*(Short)(1)*			*Basis(2)*			*Value(3)*			*Value(4)*
March 31, 2026
*15-Year TBA securities:*
4.5%	$	250,000		$	248,506		$	247,871		$	(635	)
*30-Year TBA securities:*
6.5%		(155,000	)		(160,595	)		(160,214	)		381
	$	95,000		$	87,911		$	87,657		$	(254	)
December 31, 2025
*15-Year TBA securities:*
4.5%	$	250,000		$	249,998		$	250,186		$	188
*30-Year TBA securities:*
3.0%		-			(343	)		-			343
3.5%		-			34			-			(34	)
4.0%		-			(215	)		-			215
5.0%		-			218			-			(218	)
5.5%		(275,000	)		(277,696	)		(278,996	)		(1,300	)
6.5%		(155,000	)		(161,103	)		(161,127	)		(24	)
Total	$	(180,000	)	$	(189,107	)	$	(189,937	)	$	(830	)

(1)	Notional amount represents the par value (or principal balance) of the underlying Agency RMBS.

(2)	Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.

(3)	Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end.

(4)	Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) at fair value in the balance sheets.

Gain (Loss) From Derivative and Other Hedging Instruments, Net

The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of comprehensive income (loss) for the three months ended March 31, 2026 and 2025.

(in thousands)
	*Three Months Ended March 31,*
	*2026*			*2025*
Interest rate futures contracts (short position)	$	4,437		$	(14,942	)
Interest rate swaps		41,002			(62,843	)
TBA securities (short positions)		195			3,026
TBA securities (long positions)		1,277			100
U.S. Treasury securities (short positions)		(603	)		-
Total	$	46,308		$	(74,659	)

Credit Risk-Related Contingent Features

The use of derivatives and other hedging instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. The Company attempts to minimize this risk by limiting its counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, the Company may be required to pledge assets as collateral for its derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, the Company may not receive payments provided for under the terms of its derivative agreements and may have difficulty obtaining its assets pledged as collateral for its derivatives. The cash and cash equivalents pledged as collateral for the Company's derivative instruments are included in restricted cash on its balance sheets.

Table of Contents

It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, CME and LCH rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME or LCH serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date.

NOTE 6. PLEDGED ASSETS

Assets Pledged to Counterparties

The table below summarizes the Company’s assets pledged as collateral under repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2026 and December 31, 2025.

(in thousands)
	*March 31, 2026*						*December 31, 2025*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Counterparties	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
PT RMBS - fair value	$	11,246,597	$	-	$	11,246,597	$	10,489,655	$	-	$	10,489,655
Structured RMBS - fair value		12,452		-		12,452		13,088		-		13,088
U.S. Treasury securities		-		149,585		149,585		-		135,133		135,133
Accrued interest on pledged securities		51,934		1,502		53,436		48,537		36		48,573
Restricted cash		82,612		3,502		86,114		51,171		7,525		58,696
Total	$	11,393,595	$	154,589	$	11,548,184	$	10,602,451	$	142,694	$	10,745,145

Assets Pledged from Counterparties

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of March 31, 2026 and December 31, 2025.

(in thousands)
			*Reverse*
	*Repurchase*		*Repurchase*		*Derivative*
	*Agreements*		*Agreements*		*Agreements*		*Total*
March 31, 2026
Cash	$	194	$	-	$	337	$	531
U.S. Treasury securities - fair value		549		359,202		-		359,751
Total	$	743	$	359,202	$	337	$	360,282
December 31, 2025
Cash	$	12,549	$	-	$	360	$	12,909
U.S. Treasury securities - fair value		-		128,724		-		128,724
Total	$	12,549	$	128,724	$	360	$	141,633

U.S. Treasury securities received as margin under the Company's repurchase agreements are not recorded in the balance sheets because the counterparty retains ownership of the security. Cash received as margin is recognized in cash and cash equivalents with a corresponding amount recognized as an increase in repurchase agreements or other liabilities in the balance sheets.

NOTE 7. OFFSETTING ASSETS AND LIABILITIES

The Company’s derivative agreements and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis in the case of repurchase agreements and for certain derivative agreements. CME and LCH rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME or LCH serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date.

Table of Contents

The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of March 31, 2026 and December 31, 2025.

(in thousands)
*Offsetting of Assets*
					*Net Amount*		*Gross Amount Not*
	*Gross*		*Gross*		*of Assets*		*Offset in the Balance Sheet*
	*Amount*		*Amount*		*Presented*		*Financial*
	of		*Offset in the*		*in the*		*Instruments*			*Cash*
	*Recognized*		*Balance*		*Balance*		*Received as*			*Received as*			*Net*
	*Assets*		*Sheet*		*Sheet*		*Collateral*			*Collateral*			*Amount*
March 31, 2026
Interest rate swaps	$	2,628	$	-	$	2,628	$	-		$	-		$	2,628
TBA securities		381		-		381		-			(337	)		44
Reverse repurchase agreements		358,740		-		358,740		(358,740	)		-			-
	$	361,749	$	-	$	361,749	$	(358,740	)	$	(337	)	$	2,672
December 31, 2025
Interest rate swaps	$	8,237	$	-	$	8,237	$	-		$	-		$	8,237
TBA securities		1,015		-		1,015		-			(360	)		655
Reverse repurchase agreement		128,613		-		128,613		(128,613	)		-			-
	$	137,865	$	-	$	137,865	$	(128,613	)	$	(360	)	$	8,892

(in thousands)
*Offsetting of Liabilities*
					*Net Amount*		*Gross Amount Not*
	*Gross*		*Gross*		*of Liabilities*		*Offset in the Balance Sheet*
	*Amount*		*Amount*		*Presented*		*Financial*
	of		*Offset in the*		*in the*		*Instruments*
	*Recognized*		*Balance*		*Balance*		*Posted as*			*Cash Posted*			*Net*
	*Liabilities*		*Sheet*		*Sheet*		*Collateral*			*as Collateral*			*Amount*
March 31, 2026
Repurchase Agreements	$	10,864,723	$	-	$	10,864,723	$	(10,782,111	)	$	(82,612	)	$	-
TBA securities		635		-		635		-			(635	)		-
	$	10,865,358	$	-	$	10,865,358	$	(10,782,111	)	$	(83,247	)	$	-
December 31, 2025
Repurchase Agreements	$	10,115,466	$	-	$	10,115,466	$	(10,064,295	)	$	(51,171	)	$	-
TBA securities		1,846		-		1,846		-			(1,846	)		-
	$	10,117,312	$	-	$	10,117,312	$	(10,064,295	)	$	(53,017	)	$	-

The amounts disclosed for collateral received by or posted to the same counterparty up to and not exceeding the net amount of the asset or liability presented in the balance sheets. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Note 6 for a discussion of collateral posted or received against or for repurchase obligations and derivative and other hedging instruments.

Table of Contents

NOTE 8. CAPITAL STOCK

Common Stock Issuances

During the three months ended March 31, 2026 and the year ended December 31, 2025, the Company completed the following public offerings of shares of its common stock.

($ in thousands, except per share amounts)
		*Weighted*
		*Average*
		*Price*
		*Received*				*Net*
Type of Offering	*Period*	Per Share⁽¹⁾		*Shares*		Proceeds⁽²⁾
2026
At the Market Offering Program⁽³⁾	First Quarter	$	7.40		14,558,681	$	107,767
Total					14,558,681	$	107,767
2025
At the Market Offering Program⁽³⁾	First Quarter	$	8.17		25,142,046	$	205,424
At the Market Offering Program⁽³⁾	Second Quarter		7.01		19,884,204		139,416
At the Market Offering Program⁽³⁾	Third Quarter		7.03		21,664,659		152,345
At the Market Offering Program⁽³⁾	Fourth Quarter		7.24		33,738,722		244,238
Total					100,429,631	$	741,423

(1)	Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs.

(2)	Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs.

(3)	The Company has entered into 14 equity distribution agreements, 13 of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.

Stock Repurchase Program

On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 400,000 shares of the Company’s common stock. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 904,564 shares of the Company's common stock. Coupled with the 156,751 shares remaining from the original 400,000 share authorization, the increased authorization brought the total authorization to 1,061,315 shares, representing 10% of the Company’s then outstanding share count.

On December 9, 2021, the Board of Directors approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 3,372,399 shares, bringing the remaining authorization under the stock repurchase program to 3,539,861 shares, representing approximately 10% of the Company’s then outstanding shares of common stock.

On October 12, 2022, the Board of Directors approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 4,300,000 shares, bringing the remaining authorization under the stock repurchase program to 6,183,601 shares, representing approximately 18% of the Company’s then outstanding shares of common stock.

As part of the stock repurchase program, shares may be purchased in open market transactions, block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock. The stock repurchase program may be suspended or discontinued at the Company’s discretion without prior notice and has no termination date.

Table of Contents

From the inception of the stock repurchase program through March 31, 2026, the Company repurchased a total of 6,257,826 shares at an aggregate cost of approximately $84.8 million, including commissions and fees, for a weighted average price of $13.55 per share. There were no shares repurchased during the three months ended March 31, 2026. During the year ended December 31, 2025, the Company repurchased a total of 1,113,224 shares at an aggregate cost of approximately $7.3 million, including commissions and fees, for a weighted average price of $6.52 per share. The remaining authorization under the stock repurchase program as of April 23, 2026 was 2,719,137 shares.

Cash Dividends

The table below presents the cash dividends declared on the Company’s common stock.

(in thousands, except per share amounts)
Year	*Per Share Amount*		*Total*
2013	$	6.975	$	4,662
2014		10.800		22,643
2015		9.600		38,748
2016		8.400		41,388
2017		8.400		70,717
2018		5.350		55,814
2019		4.800		54,421
2020		3.950		53,570
2021		3.900		97,601
2022		2.475		87,906
2023		1.800		81,127
2024		1.440		96,309
2025		1.440		190,930
2026 - YTD⁽¹⁾		0.460		89,100
Totals	$	69.790	$	984,936

(1)	On April 15, 2026, the Company declared a dividend of $0.10 per share to be paid on May 28, 2026. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of March 31, 2026.

NOTE 9. STOCK INCENTIVE PLAN

In 2021, the Company’s Board of Directors adopted, and the stockholders approved, the Orchid Island Capital, Inc. 2021 Equity Incentive Plan (the “2021 Incentive Plan”) to replace the Orchid Island Capital, Inc. 2012 Equity Incentive Plan (the “2012 Incentive Plan” and together with the 2021 Incentive Plan, the “Incentive Plans”). The 2021 Incentive Plan provides for the award of stock options, stock appreciation rights, stock awards, PUs, other equity-based awards (and dividend equivalents with respect to awards of PUs and other equity-based awards) and incentive awards. The 2021 Incentive Plan is administered by the Compensation Committee of the Company’s Board of Directors except that the Company’s full Board of Directors will administer awards made to directors who are not employees of the Company or its affiliates. The 2021 Incentive Plan provides for awards of up to an aggregate of 10% of the issued and outstanding shares of the Company’s common stock (on a fully diluted basis) at the time of the awards, subject to a maximum aggregate 1,473,324 shares of the Company’s common stock that may be issued under the 2021 Incentive Plan. The 2021 Incentive Plan replaces the 2012 Incentive Plan, and no further grants will be made under the 2012 Incentive Plan. However, any outstanding awards under the 2012 Incentive Plan will continue in accordance with the terms of the 2012 Incentive Plan and any award agreement executed in connection with such outstanding awards.

Performance Units

The Company has issued, and may in the future issue additional, PUs under the Incentive Plans to certain executive officers and employees of its Manager. PUs vest after the end of a defined performance period, based on satisfaction of the performance conditions set forth in the PU agreement. When earned, each PU will be settled by the issuance of one share of the Company’s common stock, at which time the PU will be cancelled. The PUs contain dividend equivalent rights, which entitle the Participants to receive distributions declared by the Company on common stock, but do not include the right to vote the underlying shares of common stock. PUs are subject to forfeiture should the participant no longer serve as an executive officer or employee of the Company or the Manager. Compensation expense for the PUs, included in incentive compensation on the statements of comprehensive income (loss), is recognized over the remaining vesting period once it becomes probable that the performance conditions will be achieved. The dividend payable on the PUs as of March 31, 2026 and December 31, 2025 was $34,000 and $6,000, respectively, and is included in “Due to affiliates” in the Company's balance sheet.

Table of Contents

The following table presents information related to PUs outstanding during the three months ended March 31, 2026 and 2025.

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2026*					*2025*
				*Weighted*					*Weighted*
				*Average*					*Average*
				*Grant Date*					*Grant Date*
	*Shares*			*Fair Value*		*Shares*			*Fair Value*
Unvested, beginning of period		51,463		$	9.05		80,201		$	10.12
Granted		240,486			7.23		18,137			8.27
Vested and issued		(11,708	)		9.77		(12,353	)		11.17
Unvested, end of period		280,241		$	7.46		85,985		$	9.58

Compensation expense during period				$	86				$	93
Unrecognized compensation expense, end of period				$	1,810				$	386
Intrinsic value, end of period				$	1,970				$	647
Weighted-average remaining vesting term (in years)					1.9					1.2

Stock Awards

The Company has issued, and may in the future issue additional, immediately vested common stock under the Incentive Plans to certain executive officers and employees of its Manager. The following table presents information related to fully vested common stock issued during the three months ended March 31, 2026 and 2025. All of the fully vested shares of common stock issued during the three months ended March 31, 2026 and 2025, and the related compensation expense, were granted with respect to service performed during the fiscal years ended December 31, 2025 and 2024, respectively.

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2026*		*2025*
Fully vested shares granted		240,486		18,137
Weighted average grant date price per share	$	7.23	$	8.27
Compensation expense related to fully vested shares of common stock awards ⁽¹⁾	$	1,739	$	150

(1)	The awards issued during the three months ended March 31, 2026 and 2025 were granted with respect to service performed in 2025 and 2024, respectively.

Deferred Stock Units

Non-employee directors receive a portion of their compensation in the form of DSU awards pursuant to the Incentive Plans. Each DSU represents a right to receive one share of the Company’s common stock. Each non-employee director may elect to receive all of his or her compensation in the form of DSUs. The DSUs are immediately vested and are settled at a future date based on the election of the individual participant. Compensation expense for the DSUs is included in directors’ fees and liability insurance in the statements of comprehensive income (loss). The DSUs contain dividend equivalent rights, which entitle the participant to receive distributions declared by the Company on common stock. These dividend equivalent rights are settled in cash or additional DSUs at the participant’s election. The DSUs do not include the right to vote the underlying shares of common stock. The dividend payable on the DSUs as of March 31, 2026 and December 31, 2025 was $80,000 and $74,000, respectively, and is included in “Other liabilities” in the Company's balance sheet.

Table of Contents

The following table presents information related to the DSUs outstanding during the three months ended March 31, 2026 and 2025.

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2026*				*2025*
			*Weighted*				*Weighted*
			*Average*				*Average*
			*Grant Date*				*Grant Date*
	*Shares*		*Fair Value*		*Shares*		*Fair Value*
Outstanding, beginning of period		232,968	$	11.07		154,385	$	12.98
Granted and vested		19,004		7.26		17,720		7.84
Outstanding, end of period		251,972	$	10.78		172,105	$	12.45

Compensation expense during period			$	86			$	114
Intrinsic value, end of period			$	1,771			$	1,294

NOTE 10. COMMITMENTS AND CONTINGENCIES

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any reported or unreported contingencies as of March 31, 2026.

NOTE 11. INCOME TAXES

The Company will generally not be subject to U.S. federal income tax on its REIT taxable income to the extent that it distributes its REIT taxable income to its stockholders and satisfies the ongoing REIT requirements, including meeting certain asset, income and stock ownership tests. A REIT must generally distribute at least 90% of its REIT taxable income, determined without regard to the deductions for dividends paid and excluding net capital gain, to its stockholders, annually to maintain REIT status. An amount equal to the sum of which 85% of its REIT ordinary income and 95% of its REIT capital gain net income, plus certain undistributed income from prior taxable years, must be distributed within the taxable year, in order to avoid the imposition of a 4% excise tax. The remaining balance may be distributed up to the end of the following taxable year, provided the REIT elects to treat such amount as a prior year distribution and meets certain other requirements.

NOTE 12. EARNINGS PER SHARE (EPS)

The Company had dividend eligible PUs and DSUs that were outstanding during the three months ended March 31, 2026 and 2025. The basic and diluted per share computations include these unvested PUs and DSUs if there is income available to common stock, as they have dividend participation rights. The unvested PUs and DSUs have no contractual obligation to share in losses. Because there is no such obligation, the unvested PUs and DSUs are not included in the basic and diluted EPS computations when no income is available to common stock even though they are considered participating securities.

The table below reconciles the numerator and denominator of EPS for the three months ended March 31, 2026 and 2025.

(in thousands, except per share information)
	*Three Months Ended March 31,*
	*2026*			*2025*
Basic and diluted EPS per common share:
Numerator for basic and diluted EPS per share of common stock:
Net (loss) income - Basic and diluted	$	(19,955	)	$	17,122
Weighted average shares of common stock:
Shares of common stock outstanding at the balance sheet date		196,700			107,787
Unvested dividend eligible share based compensation outstanding at the balance sheet date		532			258
Effect of weighting		(7,972	)		(12,870	)
Weighted average shares-basic and diluted		189,260			95,175
Net (loss) income per common share:
Basic and diluted	$	(0.11	)	$	0.18

Table of Contents

NOTE 13. FAIR VALUE

The framework for using fair value to measure assets and liabilities defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, including the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include presentation of balance sheet amounts measured at fair value based on inputs the Company uses to derive fair value measurements. These inputs are:

●

Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume),

●

Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and

●

Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.

The Company's RMBS and TBA securities are Level 2 valuations, and such valuations currently are determined by the Company based on independent pricing sources and/or third party broker quotes. Because the price estimates may vary, the Company must make certain judgments and assumptions about the appropriate price to use to calculate the fair values. The Company and the independent pricing sources use various valuation techniques to determine the price of the Company’s securities. These techniques include observing the most recent market for like or identical assets (including security coupon, maturity, yield, and prepayment speeds), spread pricing techniques to determine market credit spreads (option adjusted spread, zero volatility spread, spread to the U.S. Treasury curve or spread to a benchmark such as a TBA), and model driven approaches (the discounted cash flow method, Black Scholes and SABR models which rely upon observable market rates such as the term structure of interest rates and volatility). The appropriate spread pricing method used is based on market convention. The pricing source determines the spread of recently observed trade activity or observable markets for assets similar to those being priced. The spread is then adjusted based on variances in certain characteristics between the market observation and the asset being priced. Those characteristics include: type of asset, the expected life of the asset, the stability and predictability of the expected future cash flows of the asset, whether the coupon of the asset is fixed or adjustable, the guarantor of the security if applicable, the coupon, the maturity, the issuer, size of the underlying loans, year in which the underlying loans were originated, loan to value ratio, state in which the underlying loans reside, credit score of the underlying borrowers and other variables if appropriate. The fair value of the security is determined by using the adjusted spread.

The Company’s U.S. Treasury securities that are based on quoted prices for identical instruments in active markets are classified as Level 1 assets. U.S. Treasury securities are considered Level 2 investments when they were issued before the most recent issue and were still outstanding at measurement day.

The Company’s futures contracts are Level 1 valuations, as they are exchange-traded instruments and quoted market prices are readily available. Futures contracts are settled daily. The Company’s interest rate swaps, interest rate swaptions and dual digital options are Level 2 valuations. The fair value of interest rate swaps is determined using a discounted cash flow approach using forward market interest rates and discount rates, which are observable inputs. The fair value of interest rate swaptions and dual digital options are determined using an option pricing model.

RMBS, U.S. Treasury securities, derivatives and TBA securities were recorded at fair value on a recurring basis during the three months ended March 31, 2026 and 2025. When determining fair value measurements, the Company considers the principal or most advantageous market in which it would transact and considers assumptions that market participants would use when pricing the asset. When possible, the Company looks to active and observable markets to price identical assets. When identical assets are not traded in active markets, the Company looks to market observable data for similar assets.

The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values due to the short-term nature of these financial instruments as of March 31, 2026 and December 31, 2025. The Company estimates the fair value of the cash and cash equivalents using Level 1 inputs, and the accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities using Level 2 inputs.

Table of Contents

The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025. Derivative contracts are reported as a net position by contract type, and not based on master netting arrangements.

(in thousands)
	*Quoted Prices*
	*in Active*		*Significant*
	*Markets for*		*Other*			*Significant*
	*Identical*		*Observable*			*Unobservable*
	*Assets*		*Inputs*			*Inputs*
	*(Level 1)*		*(Level 2)*			*(Level 3)*
March 31, 2026
Mortgage-backed securities	$	-	$	11,338,541		$	-
U.S. Treasury securities		-		155,095			-
Interest rate swaps		-		2,628			-
TBA securities		-		(254	)		-
Obligation to return securities borrowed under reverse repurchase agreements				(359,202	)
December 31, 2025
Mortgage-backed securities	$	-	$	10,628,658		$	-
U.S. Treasury securities		-		135,133			-
Interest rate swaps		-		8,238			-
TBA securities		-		(831	)		-
Obligation to return securities borrowed under reverse repurchase agreements				(128,724	)

During the three months ended March 31, 2026 and 2025, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

NOTE 14. RELATED PARTY TRANSACTIONS

Management Agreement

The Company is externally managed and advised by Bimini Advisors, LLC (the “Manager”) pursuant to the terms of a management agreement. The management agreement has been renewed through February 20, 2027 and provides for automatic one-year extension options thereafter and is subject to certain termination rights. Under the terms of the management agreement, the Manager is responsible for administering the business activities and day-to-day operations of the Company. The Manager receives a monthly management fee in the amount of:

●

One-twelfth of 1.5% of the first $250 million of the Company’s month-end equity, as defined in the management agreement,

●

One-twelfth of 1.25% of the Company’s month-end equity that is greater than $250 million and less than or equal to $500 million, and

●

One-twelfth of 1.00% of the Company’s month-end equity that is greater than $500 million.

On April 1, 2022, pursuant to the third amendment to the management agreement entered into on November 16, 2021, the Manager began providing certain repurchase agreement trading, clearing and administrative services to the Company that had been previously provided by AVM, L.P. under an agreement terminated on March 31, 2022. In consideration for such services, the Company pays the following fees to the Manager:

●

A daily fee equal to the outstanding principal balance of repurchase agreement funding in place as of the end of such day multiplied by 1.5 basis points for the amount of aggregate outstanding principal balance less than or equal to $5 billion, and multiplied by 1.0 basis point for any amount of aggregate outstanding principal balance in excess of $5 billion, and

●

A fee for the clearing and operational services provided by personnel of the Manager equal to $10,000 per month.

The Company is obligated to reimburse the Manager for any direct expenses incurred on its behalf and to pay the Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement. Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the term of the agreement.

Table of Contents

Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $5.1 million and $3.6 million for the three months ended March 31, 2026 and 2025, respectively. At March 31, 2026 and December 31, 2025, the net amount due to affiliates was approximately $1.8 million and $1.7 million, respectively.

Other Relationships with Bimini

Robert Cauley, the Company’s Chief Executive Officer and Chairman of the Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common stock of Bimini. George H. Haas, IV, the Company’s Chief Financial Officer, Chief Investment Officer, Secretary and a member of the Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of March 31, 2026, Bimini owned 569,071 shares, or 0.3%, of the Company’s common stock.

NOTE 15. SEGMENT INFORMATION

The Company follows ASC 280, Segment Reporting, which establishes standards for the way public business enterprises report information about operating segments in annual financial statements and requires that those enterprises report selected information about operating segments in financial statements issued to shareholders. The Company’s Chief Operating Decision Maker ("CODM"), its CEO, assesses performance and allocates resources based on company-wide financial information. The Company derives nearly all of its income from interest on its RMBS portfolio. Consequently, the Company has determined that it operates in a single reportable segment and the strategic purpose of all operating activities is to support that one segment. The CODM evaluates company-wide performance based on multiple performance measures, including net income, which is the Company's primary measure of segment performance. The CODM does not generally evaluate our performance using asset or historical cash flow information. Since the Company operates in one operating segment, all required financial segment information can be found in the financial statements. Significant expenses within net income that are used to evaluate performance are each separately presented in the statements of comprehensive income (loss). The Company does not distinguish between markets or segments for the purpose of internal reporting. The Company's segment assets are presented in the Company's Balance Sheets under total assets.

Table of Contents

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following discussion of our financial condition and results of operations should be read in conjunction with the financial statements and notes to those statements included in Item 1 of this Form 10-Q. Certain written statements in this Quarterly Report on Form 10-Q that are not historical facts constitute “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Exchange Act. Statements in this report addressing expectations, assumptions, beliefs, projections, future plans and strategies, future events, developments that we expect or anticipate will occur in the future, and future operating results, capital management, and dividend policy are forward-looking statements. Forward-looking statements are based upon management’s beliefs, assumptions, and expectations as of the date of this report regarding future events and operating performance, considering all information currently available to us, and are applicable only as of the date of this report. Forward-looking statements generally can be identified by the use of words such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “may,” “will,” “intend,” “should,” “could,” or similar expressions. We caution readers not to place undue reliance on our forward-looking statements, which are not historical facts and may be based on projections, assumptions, expectations, and anticipated events that do not materialize. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statement, whether as a result of new information, future events, or otherwise. Forward-looking statements in this Quarterly Report on Form 10-Q may include, but are not limited to, statements about interest rates, inflation, liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, portfolio composition, positioning and repositioning, hedging levels, leverage ratio, dividends, investment and return opportunities, the supply and demand for Agency RMBS and the performance of the Agency RMBS sector generally, the effect of actual or expected actions of the U.S. government, including the Fed, market expectations, capital raising, future opportunities and prospects of the Company, the stock repurchase program, geopolitical uncertainty and general economic conditions (including the effects of artificial intelligence, wars, tariffs, trade wars, inflation, the U.S. deficit, and the strength of the U.S. dollar). As a result of many factors, such as those set forth under “Risk Factors” in our most recent Annual Report on Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements.

Overview

We are a specialty finance company that invests in residential mortgage-backed securities (“RMBS”) which are issued and guaranteed by a federally chartered corporation or agency (“Agency RMBS”). Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through ("PT") Agency RMBS, such as mortgage PT certificates issued by the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac" and together with Fannie Mae, the "Enterprises") or the Government National Mortgage Association ("Ginnie Mae" and, together with the Enterprises the “GSEs”) and collateralized mortgage obligations (“CMOs”) issued by the GSEs (“PT RMBS”) and (ii) structured Agency RMBS, such as interest-only securities (“IOs”), inverse interest-only securities (“IIOs”) and principal only securities (“POs”), among other types of structured Agency RMBS. We were formed by Bimini Capital Management, Inc. ("Bimini") in August 2010, commenced operations on November 24, 2010 and completed our initial public offering (“IPO”) on February 20, 2013. We are externally managed by Bimini Advisors, LLC ("Bimini Advisors," or our "Manager"), an investment adviser registered with the Securities and Exchange Commission (the “SEC”).

Our business objective is to provide attractive risk-adjusted total returns over the long term through a combination of capital appreciation and the payment of regular monthly distributions. We intend to achieve this objective by investing in the two categories of Agency RMBS described above. We seek to generate income from (i) the net interest margin on our leveraged PT RMBS portfolio and the leveraged portion of our structured Agency RMBS portfolio, and (ii) the interest income we generate from the unleveraged portion of our structured Agency RMBS portfolio. We intend to fund our PT RMBS and certain of our structured Agency RMBS through short-term borrowings structured as repurchase agreements.

We operate so as to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). We generally will not be subject to U.S. federal income tax to the extent that we currently distribute all of our REIT taxable income (as defined in the Code) to our stockholders and maintain our REIT qualification.

The Company’s common stock trades on the New York Stock Exchange under the symbol “ORC”.

Table of Contents

Capital Raising Activities

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. We issued a total of 30,513,253 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $250.0 million and net proceeds of approximately $245.8 million, after commissions and fees, prior to its termination in February 2025.

On February 24, 2025, we entered into an equity distribution agreement (the “February 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $350,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. On July 28, 2025, the February 2025 Equity Distribution Agreement was amended to increase the aggregate amount of gross proceeds from the sales of shares that may be offered by $150,000,000 to a total of $500,000,000. We issued a total of 59,492,504 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $445.1 million and net proceeds of approximately $438.0 million, after commissions and fees, prior to its termination in October 2025.

On October 27, 2025, we entered into an equity distribution agreement (the “October 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $500,000,000 of gross proceeds from the sales of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. From inception through March 31, 2026, we issued a total of 44,824,644 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $332.7 million, and net proceeds of approximately $327.5 million, after commissions and fees. For the three months ended March 31, 2026, we issued a total of 14,558,681 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $109.5 million, and net proceeds of approximately $107.8 million, after commissions and fees. Subsequent to March 31, 2026, we issued a total of 4,000,000 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $28.2 million, and net proceeds of approximately $27.8 million, after commissions and fees.

Stock Repurchase Agreement

On July 29, 2015, the Company’s Board of Directors authorized the repurchase of up to 400,000 shares of our common stock. The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock, and the program may be suspended or discontinued at the Company’s discretion without prior notice. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 904,564 shares of the Company’s common stock. Coupled with the 156,751 shares remaining from the original 400,000 share authorization, the increased authorization brought the total authorization to 1,061,315 shares, representing 10% of the Company’s then outstanding share count.

On December 9, 2021, the Board of Directors approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 3,372,399 shares, bringing the remaining authorization under the stock repurchase program to 3,539,861 shares, representing approximately 10% of the Company’s then outstanding shares of common stock.

On October 12, 2022, the Board of Directors approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 4,300,000 shares, bringing the remaining authorization under the stock repurchase program to 6,183,601 shares, representing approximately 18% of the Company’s then outstanding shares of common stock. This stock repurchase program has no termination date.

From the inception of the stock repurchase program through March 31, 2026, the Company repurchased a total of 6,257,826 shares at an aggregate cost of approximately $84.8 million, including commissions and fees, for a weighted average price of $13.55 per share. The Company did not repurchase any shares during the three months ended March 31, 2026. During the year ended December 31, 2025, the Company repurchased a total of 1,113,224 shares at an aggregate cost of approximately $7.3 million, including commissions and fees, for a weighted average price of $6.52 per share. The remaining authorization under the stock repurchase program as of April 23, 2026 was 2,719,137 shares.

Table of Contents

Factors that Affect our Results of Operations and Financial Condition

A variety of industry and economic factors may impact our results of operations and financial condition. These factors include:

●

interest rate trends;

	●	changes in our cost of funds, including decreases in the Fed Funds rate that are controlled by the Federal Reserve (the "Fed") that occurred in 2025, or potential additional changes in the Fed Funds rate;
	●	the difference between Agency RMBS yields and our funding and hedging costs;

●

competition for, and supply of, investments in Agency RMBS;

●

actions taken by the U.S. government, including the presidential administration, the Fed, the Federal Housing Financing Agency (the “FHFA”), the Federal Deposit Insurance Corporation ("FDIC"), Federal Housing Administration (the “FHA”), the Federal Open Market Committee (the “FOMC”) and the U.S. Treasury;

●

prepayment rates on mortgages underlying our Agency RMBS and credit trends insofar as they affect prepayment rates; and

●

other market developments, including bank failures.

In addition, a variety of factors relating to our business may also impact our results of operations and financial condition. These factors include:

●

our degree of leverage;

●

our access to funding and borrowing capacity;

●

our borrowing costs;

●

our hedging activities;

●

the market value of our investments; and

●

the requirements to maintain our qualification as a REIT and the requirements to qualify for a registration exemption under the Investment Company Act.

Results of Operations

Described below are the Company’s results of operations for the three months ended March 31, 2026, as compared to the Company’s results of operations for the three months ended March 31, 2025.

Net (Loss) Income Summary

Net loss for the three months ended March 31, 2026 was $20.0 million, or $0.11 per share. Net income for the three months ended March 31, 2025 was $17.1 million, or $0.18 per share. The components of net (loss) income for the three months ended March 31, 2026 and 2025, along with the changes in those components are presented in the table below:

(in thousands)
	Three Months Ended March 31,
	2026			2025			Change
Interest income	$	157,838		$	81,090		$	76,748
Interest expense		(100,775	)		(61,377	)		(39,398	)
Net interest income		57,063			19,713			37,350
(Losses) gains on RMBS and derivative contracts		(69,621	)		1,635			(71,256	)
Net portfolio (loss) income		(12,558	)		21,348			(33,906	)
Expenses		(7,397	)		(4,226	)		(3,171	)
Net (loss) income	$	(19,955	)	$	17,122		$	(37,077	)

GAAP and Non-GAAP Reconciliations

In addition to the results presented in accordance with GAAP, our results of operations discussed below include certain non-GAAP financial information, including “Net Earnings Excluding Realized and Unrealized Gains and Losses”, “Economic Interest Expense,” “Economic Net Interest Income,” “Interest Income – Inclusive of Premium Amortization/Discount Accretion” and “Yield on Average RMBS – Inclusive of Premium Amortization/Discount Accretion.”

Table of Contents

Net Earnings Excluding Realized and Unrealized Gains and Losses

We have elected to account for our Agency RMBS under the fair value option. Securities held under the fair value option are recorded at estimated fair value, with changes in the fair value recorded as unrealized gains or losses through the statements of comprehensive income (loss).

In addition, we have not designated our derivative financial instruments used for hedging purposes as hedges for accounting purposes, but rather hold them for economic hedging purposes. Changes in fair value of these instruments are presented in a separate line item in the Company’s statements of comprehensive income (loss) and are not included in interest expense. As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments.

Presenting net earnings excluding realized and unrealized gains and losses allows management to: (i) isolate the net interest income and other expenses of the Company over time, free of all fair value adjustments and (ii) assess the effectiveness of our funding and hedging strategies on our capital allocation decisions and our asset allocation performance. Our funding and hedging strategies, capital allocation and asset selection are integral to our risk management strategy, and therefore critical to the management of our portfolio. We believe that the presentation of our net earnings excluding realized and unrealized gains is useful to investors because it provides a means of comparing our results of operations to those of our peers who have not elected the same accounting treatment. Our presentation of net earnings excluding realized and unrealized gains and losses may not be comparable to similarly-titled measures of other companies, who may use different calculations. As a result, net earnings excluding realized and unrealized gains and losses should not be considered as a substitute for our GAAP net income (loss) as a measure of our financial performance or any measure of our liquidity under GAAP. The table below presents a reconciliation of our net income (loss) determined in accordance with GAAP and net earnings excluding realized and unrealized gains and losses.

Described below are the Company’s results of operations for each quarter in 2026 to date and 2025.

Net Earnings Excluding Realized and Unrealized Gains and Losses
(in thousands, except per share data)
									Per Share
							Net								Net
							Income (Loss)								Income (Loss)
							Excluding								Excluding
	Net			Realized and			Realized and		Net			Realized and			Realized and
	Income			Unrealized			Unrealized		Income			Unrealized			Unrealized
	(Loss)			Gains and			Gains and		(Loss)			Gains and			Gains and
	(GAAP)			Losses⁽¹⁾			Losses		(GAAP)			Losses			Losses
Three Months Ended
March 31, 2026	$	(19,955	)	$	(69,621	)	$	49,666	$	(0.11	)	$	(0.37	)	$	0.26
December 31, 2025		103,408			70,742			32,666		0.62			0.43			0.19
September 30, 2025		72,078			50,600			21,478		0.53			0.37			0.16
June 30, 2025		(33,578	)		(51,736	)		18,158		(0.29	)		(0.45	)		0.16
March 31, 2025		17,122			1,635			15,487		0.18			0.02			0.16

(1)	Includes realized and unrealized gains (losses) on RMBS and derivative financial instruments, including net interest income or expense on interest rate swaps.

Economic Interest Expense and Economic Net Interest Income

We use derivative and other hedging instruments, specifically Fed Funds, SOFR, ERIS SOFR Swap, and T-Note futures contracts, short positions in U.S. Treasury securities, dual digital options, interest rate floors and caps, and interest rate swaps and swaptions, to hedge a portion of the interest rate risk on repurchase agreements in a rising rate environment.

We have not elected to designate our derivative holdings for hedge accounting treatment. Changes in fair value of these instruments are presented in a separate line item in our statements of comprehensive income (loss) and not included in interest expense. As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments.

Table of Contents

For the purpose of computing economic net interest income and ratios relating to cost of funds measures, GAAP interest expense has been adjusted to reflect the realized and unrealized gains or losses on certain derivative instruments the Company uses, specifically Fed Funds, SOFR, ERIS SOFR Swap, and U.S. Treasury futures, dual digital options, interest rate floors and caps, and interest rate swaps and swaptions, that pertain to each period presented. We believe that adjusting our interest expense for the periods presented by the gains or losses on these derivative instruments would not accurately reflect our economic interest expense for these periods. The reason is that these derivative instruments may cover periods that extend into the future, not just the current period. Any realized or unrealized gains or losses on the instruments reflect the change in market value of the instrument caused by changes in underlying interest rates applicable to the term covered by the instrument, not just the current period. For each period presented, we have combined the effects of the derivative financial instruments in place for the respective period with the actual interest expense incurred on borrowings to reflect total economic interest expense for the applicable period. Interest expense, including the effect of derivative instruments for the period, is referred to as economic interest expense. Net interest income, when calculated to include the effect of derivative instruments for the period, is referred to as economic net interest income. This presentation includes gains or losses on all contracts in effect during the reporting period, covering the current period as well as periods in the future.

From time to time, we invest in TBAs, which are forward contracts for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS to be delivered into the contract are not known until shortly before the settlement date. We may choose, prior to settlement, to move the settlement of these securities out to a later date by entering into a dollar roll transaction. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to equivalent securities settling in the current month. Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. These TBAs are accounted for as derivatives and marked to market through the income statement. Gains or losses on TBAs are included with gains or losses on other derivative contracts and are not included in interest income for purposes of the discussions below.

We believe that economic interest expense and economic net interest income provide meaningful information to consider, in addition to the respective amounts prepared in accordance with GAAP. The non-GAAP measures help management to evaluate its financial position and performance without the effects of certain transactions and GAAP adjustments that are not necessarily indicative of our current investment portfolio or operations. The unrealized gains or losses on derivative instruments presented in our statements of comprehensive income (loss) are not necessarily representative of the total interest rate expense that we will ultimately realize. This is because as interest rates move up or down in the future, the gains or losses we ultimately realize, and which will affect our total interest rate expense in future periods, may differ from the unrealized gains or losses recognized as of the reporting date.

Our presentation of the economic value of our hedging strategy has important limitations. First, other market participants may calculate economic interest expense and economic net interest income differently than the way we calculate them. Second, while we believe that the calculation of the economic value of our hedging strategy described above helps to present our financial position and performance, it may be of limited usefulness as an analytical tool. Therefore, the economic value of our investment strategy should not be viewed in isolation and is not a substitute for interest expense and net interest income computed in accordance with GAAP.

The tables below present a reconciliation of the adjustments to interest expense shown for each period relative to our derivative instruments, and the income statement line item, gains (losses) on derivative instruments, calculated in accordance with GAAP for each quarter in 2026 to date and 2025.

Gains (Losses) on Derivative Instruments
(in thousands)
				U.S. Treasury Short and						Funding Hedges
	Recognized			TBA Securities					Attributed to		Attributed to
	in Income			Gain (Loss)					Current		Future
	Statement			Short			Long		Period		Periods
	(GAAP)			Positions			Positions		(Non-GAAP)		(Non-GAAP)
Three Months Ended
March 31, 2026	$	46,307		$	(408	)	$	1,277	$	14,643	$	30,795
December 31, 2025		14,048			(3,478	)		158		19,578		(2,210	)
September 30, 2025		(8,772	)		(4,272	)		957		21,872		(27,329	)
June 30, 2025		(53,286	)		(7,662	)		472		20,937		(67,033	)
March 31, 2025		(74,659	)		3,026			100		20,912		(98,697	)

Table of Contents

Economic Interest Expense and Economic Net Interest Income
(in thousands)
			Interest Expense on Borrowings
					Gains
					(Losses) on
					Derivative				Net Interest Income
					Instruments				GAAP
	GAAP		GAAP		Attributed		Economic		Net Interest		Economic
	Interest		Interest		to Current		Interest		Income		Net Interest
	Income		Expense		Period(1)		Expense(2)		(Expense)		Income(3)
Three Months Ended
March 31, 2026	$	157,838	$	100,775	$	14,643	$	86,132	$	57,063	$	71,706
December 31, 2025		132,188		93,705		19,578		74,127		38,483		58,061
September 30, 2025		108,434		81,515		21,872		59,643		26,919		48,791
June 30, 2025		92,289		69,135		20,937		48,198		23,154		44,091
March 31, 2025		81,090		61,377		20,912		40,465		19,713		40,625

(1)	Reflects the effect of derivative instrument hedges for only the period presented.

(2)	Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP interest expense.

(3)	Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income.

Net Interest Income (Expense)

During the three months ended March 31, 2026, we earned net interest income of $57.1 million consisting of $157.8 million of interest income from RMBS assets offset by $100.8 million of interest expense on borrowings. For the comparable period ended March 31, 2025, we earned $19.7 million of net interest income, consisting of $81.1 million of interest income from RMBS assets offset by $61.4 million of interest expense on borrowings. The $76.7 million increase in interest income was due to a 34 basis point ("bp") increase in the yield on average RMBS, combined with a $4,987.9 million increase in average RMBS. The $39.4 million increase in interest expense was due to a $4,768.0 million increase in average outstanding borrowings, offset by a 45 bps decrease in the average cost of funds.

On an economic basis, our interest expense on borrowings for the three months ended March 31, 2026 and 2025 was $86.1 million and $40.5 million, respectively, resulting in $71.7 million and $40.6 million of economic net interest income, respectively.

The tables below provide information on our portfolio average balances, interest income, yield on assets, average borrowings, interest expense, cost of funds, net interest income and net interest spread for each quarter in 2026 to date and 2025 on both a GAAP and economic basis.

($ in thousands)
	Average				Yield on					Interest Expense				Average Cost of Funds
	RMBS		Interest		Average			Average		GAAP		Economic		GAAP			Economic
	Held⁽¹⁾		Income		RMBS			Borrowings⁽¹⁾		Basis		Basis⁽²⁾		Basis			Basis⁽³⁾
Three Months Ended
March 31, 2026	$	10,983,600	$	157,838		5.75	%	$	10,490,095	$	100,775	$	86,132		3.84	%		3.28	%
December 31, 2025		9,492,369		132,188		5.57	%		9,061,222		93,705		74,127		4.14	%		3.27	%
September 30, 2025		7,674,720		108,434		5.65	%		7,331,428		81,515		59,643		4.45	%		3.25	%
June 30, 2025		6,865,727		92,289		5.38	%		6,537,260		69,135		48,198		4.23	%		2.95	%
March 31, 2025		5,995,702		81,090		5.41	%		5,722,092		61,377		40,465		4.29	%		2.83	%

Table of Contents

($ in thousands)
	Net Interest Income				Net Interest Spread
	GAAP		Economic		GAAP			Economic
	Basis		Basis⁽²⁾		Basis			Basis⁽⁴⁾
Three Months Ended
March 31, 2026	$	57,063	$	71,706		1.91	%		2.47	%
December 31, 2025		38,483		58,061		1.43	%		2.30	%
September 30, 2025		26,919		48,791		1.20	%		2.40	%
June 30, 2025		23,154		44,091		1.15	%		2.43	%
March 31, 2025		19,713		40,625		1.12	%		2.58	%

(1)

Portfolio yields and costs of borrowings presented in the tables above and the tables on page 30 are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.

(2)	Economic interest expense and economic net interest expense presented in the table above and the tables on page 30 includes the effect of our derivative instrument hedges for only the periods presented.

(3)	Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.

(4)	Economic net interest spread is calculated by subtracting average economic cost of funds from realized yield on average RMBS.

Interest Expense and the Cost of Funds

We had average outstanding borrowings of $10,490.1 million and $5,722.1 million and total interest expense of $100.8 million and $61.4 million for the three months ended March 31, 2026 and 2025, respectively. Our average cost of funds was 3.84% for the three months ended March 31, 2026, compared to 4.29% for the comparable period in 2025.

Our economic interest expense was $86.1 million and $40.5 million for the three months ended March 31, 2026 and 2025, respectively. There was a 45 bps increase in the average economic cost of funds to 3.28% for the three months ended March 31, 2026, from 2.83% for the three months ended March 31, 2025.

Since all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense. Our average cost of funds calculated on a GAAP basis was 19 bps above the one-month average SOFR and 2 bps below the six-month average SOFR for the quarter ended March 31, 2026. Our average economic cost of funds was 37 bps below the average one-month SOFR and 58 bps below the average six-month SOFR for the quarter ended March 31, 2026. The average term to maturity of the outstanding repurchase agreements was 46 days at March 31, 2026 and 39 days at December 31, 2025.

The table below presents the one-month average and six-month average SOFR rates for each quarter in 2026 to date and 2025, on both a GAAP and economic basis.

							Average GAAP Cost of Funds						Average Economic Cost of Funds
							Relative to Average						Relative to Average
	Average SOFR						One-Month			Six-Month			One-Month			Six-Month
	One-Month			Six-Month			SOFR			SOFR			SOFR			SOFR
Three Months Ended
March 31, 2026		3.65	%		3.86	%		0.19	%		(0.02	)%		(0.37	)%		(0.58	)%
December 31, 2025		3.79	%		4.20	%		0.35	%		(0.06	)%		(0.52	)%		(0.93	)%
September 30, 2025		4.31	%		4.37	%		0.14	%		0.08	%		(1.06	)%		(1.12	)%
June 30, 2025		4.32	%		4.37	%		(0.09	)%		(0.14	)%		(1.37	)%		(1.42	)%
March 31, 2025		4.33	%		4.55	%		(0.04	)%		(0.26	)%		(1.50	)%		(1.72	)%

Table of Contents

Gains or Losses

The table below presents our gains or losses for the three months ended March 31, 2026 and 2025.

(in thousands)
	Three Months Ended March 31,
	2026			2025			Change
Realized gains (losses) on sales of RMBS	$	39		$	(1,298	)	$	1,337
Unrealized (losses) gains on RMBS		(115,968	)		77,592			(193,560	)
Total (losses) gains on RMBS		(115,929	)		76,294			(192,223	)
Gains (losses) on interest rate futures		4,437			(14,942	)		19,379
Gains (losses) on interest rate swaps		41,002			(62,843	)		103,845
Losses on payer swaptions (long positions)		-			-			-
Losses on dual digital option		-			-			-
Gains on TBA securities (short positions)		195			3,026			(2,831	)
Gains on TBA securities (long positions)		1,277			100			1,177
Losses on U.S. Treasury securities (short positions)		(603	)		-			(603	)
Total gains (losses) from derivative instruments	$	46,308		$	(74,659	)	$	120,967

We invest in RMBS with the intent to earn net income from the realized yield on those assets over their related funding and hedging costs, and not for the purpose of making short term gains from sales. However, we have sold, and may continue to sell, existing assets to acquire new assets, which our management believes might have higher risk-adjusted returns in light of current or anticipated interest rates, federal government programs or general economic conditions or to manage our balance sheet as part of our asset/liability management strategy. During the three months ended March 31, 2026, we received proceeds of $25.0 million from sales of RMBS, resulting in gains of approximately $39,000. During the three months ended March 31, 2025, we received proceeds of $168.6 million from sales of RMBS, resulting in losses of approximately $1.3 million.

Realized and unrealized gains and losses on RMBS are driven in part by changes in yields and interest rates, the spreads that Agency RMBS trade relative to comparable duration U.S. Treasuries or swaps, as well as varying levels of demand for RMBS, which affect the pricing of the securities in our portfolio. The unrealized gains and losses on RMBS may also include the premium lost as a result of prepayments on the underlying mortgages, decreasing unrealized gains or increasing unrealized losses as prepayment speeds or premiums increase. To the extent RMBS are carried at a discount to par, unrealized gains or losses on RMBS would also include discount accreted as a result of prepayments on the underlying mortgages, increasing unrealized gains or decreasing unrealized losses as speeds on discounts increase. Gains and losses on interest rate futures contracts are affected by changes in implied forward rates during the reporting period. The table below presents historical interest rate data for each quarter in 2026 to date and 2025.

	5 Year			10 Year			15 Year			30 Year
	U.S.			U.S.			Fixed-Rate			Fixed-Rate			90 Day
	Treasury			Treasury			Mortgage			Mortgage			Average
	Rate⁽¹⁾			Rate⁽¹⁾			Rate⁽²⁾			Rate⁽²⁾			SOFR⁽³⁾
March 31, 2026		3.95	%		4.31	%		5.75	%		6.38	%		3.68	%
December 31, 2025		3.72	%		4.16	%		5.44	%		6.15	%		4.01	%
September 30, 2025		3.73	%		4.15	%		5.49	%		6.30	%		4.35	%
June 30, 2025		3.80	%		4.23	%		5.89	%		6.77	%		4.34	%
March 31, 2025		3.98	%		4.25	%		5.89	%		6.65	%		4.35	%

(1)	Historical 5 and 10 Year U.S. Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.

(2)	Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac’s Primary Mortgage Market Survey.

(3)	Historical SOFR is obtained from the Federal Reserve Bank of New York. The SOFR averages are compounded averages of the SOFR over rolling 30 and 180 calendar day periods.

Table of Contents

Unrealized Gains and Losses on PT RMBS

For the purpose of recording income on the Company’s investments in PT RMBS, interest income is based on the stated interest rate of the security. Using the fair value accounting method, premiums or discounts to the face value of the PT RMBS present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the statements of comprehensive income (loss). The following table adjusts the Company’s interest income as reported on the Company’s statements of comprehensive income for the periods indicated to show interest income adjusted for premium amortization and discount accretion on its mortgage-backed security investments. The purpose of presenting this non-GAAP measure of interest income is to provide management and investors with an alternative way of evaluating yield on RMBS that may be more comparable to some of the Company's peers who amortize premiums and discounts on their PT RMBS investments.

($ in thousands)

Unrealized Gains (Losses) on PT RMBS

Inclusive of

Price

Premium Amortization/

(Premium

Only

Discount Accretion

Average

Yield on

Amortization)/

Unrealized

Yield on

RMBS

Interest

Average

Orchid Island Capital, Inc. 10-Q