ORC · Orchid Island Capital, Inc.

Orchid Island Capital reported a net loss of $20.0 million for Q1 2026, compared to net income of $17.1 million in the same period last year. The loss was driven by $69.6 million in net realized and unrealized losses on Agency RMBS and derivative instruments, including net interest income on interest rate swaps. Net interest income increased to $57.1 million from the prior quarter, supported by a higher yield on average Agency RMBS (5.75% vs. 5.57% in Q4 2025) and lower repurchase agreement borrowing costs (3.84% vs. 4.14%). Total expenses were $7.4 million. Book value per share declined to $7.08 from $7.54 at year-end 2025, reflecting the net loss and dividend distribution of $0.36 per share. The company maintained a strong liquidity position of $759.0 million in cash and unpledged securities, representing 55% of stockholders' equity. Management attributed the poor performance to the outbreak of war in the Middle East on February 28, 2026, which caused interest rates to rise, risk markets to sell off, and mortgage spreads to widen. Prior to the war, the Agency RMBS market had been performing well following President Trump's announcement on January 8, 2026 that GSEs would buy $200 billion of Agency RMBS. Prepayment speeds increased dramatically in March, with a 3-month CPR of 14.7%. Since quarter end, the sector has partially recovered as implied interest rate volatility retraced. The company's adjusted leverage ratio was 7.8x at quarter end. No forward guidance was provided.