Orchid Island Capital, Inc. (ORC) SEC Filings & Earnings Calls

Interest Rate Risk

“Interest rates across the yield curve reached levels during the third quarter of 2026, last seen in the early 2000s.” · word for word

Leverage Risk

“Our economic leverage was 8.6 to 1 as of September 30, 2026 compared to 7.3 to 1 as of December 31, 2025.” · word for word

Spread Widening / Forced Selling Risk

“The price declines on these securities that occurred during the quarter triggered pervasive forced selling on the part of levered RMBS investors, exacerbating the downward price pressure.” · word for word

Dividend Sustainability Risk

“On October 14, 2026, the Company declared a dividend of $0.10 per share to be paid on November 27, 2026.” · word for word

Funding Cost Risk

“the Fed raised the overnight Fed Funds rate range in September by 25 bps to 3.75% to 4.00%.” · word for word

Significant net realized and unrealized losses on RMBS and derivatives due to rising interest rates, leading to a net loss and book value decline.

“Net realized and unrealized losses of $231.7 million on RMBS and derivative instruments.”

High effective duration (4.327) indicates elevated sensitivity to interest rate increases, posing further book value risk.

“Effective duration of 4.327, indicating that an interest rate increase of 1.0% would be expected to cause a 4.327% decrease in the value of the RMBS portfolio.”

Book value decline and net loss indicate portfolio losses from RMBS and derivatives.

“estimated $1.17 per share of net realized and unrealized losses on RMBS and derivative instruments” · word for word

Interest rate risk from Fed hiking bias

“The new Chairman was very stern in declaring his highest priority was bringing inflation back to the Fed’s target.” · word for word

Geopolitical risk from Iran War

“Unless and until the war pivots again toward a peaceful resolution, upward pressure on commodity prices seems likely to persist, adding to already elevated levels of inflation in the United States and globally.” · word for word

Prepayment risk

“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.” · word for word

Leverage and margin call risk

“To the extent the market value of the asset collateralizing the financing transaction declines, the market value of our posted margin will be insufficient, and we will be required to post additional collateral.” · word for word

Exposure to interest rate volatility and mortgage spread widening.

“Management commentary on Fed policy, inflation, and spread volatility.”

Results are preliminary and subject to change; subject to review by independent auditors.

“These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.” · word for word

Book Value Impairment Risk

“A "Book Value Impairment" will occur if over any two consecutive quarters the following conditions are satisfied: (i) the Company's book value per share declines by 15% or more during the first of such two quarters and (ii) the Company's book value per share decline from the beginning of such two quarters to the end of such two quarters is at least 10%.” · word for word

Interest Rate and Spread Risk

“The Board receives updates from management at each regular meeting on the Company's performance, market conditions, and other developments, including, among other things, risks and opportunities facing the Company, as well as the strategies used to hedge the Company's exposure to market risks, including the interest rate, spread, prepayment and other risks.” · word for word

Interest rate risk from portfolio duration increase

“As of March 31, 2026, the Company's portfolio had an effective duration of 3.005, indicating that an interest rate increase of 1.0% would be expected to cause a 3.005% decrease in the value of the RMBS in the Company’s investment portfolio.” · word for word

Geopolitical war impact on funding costs and inflation

“On February 28, 2026, the United States and Israel attacked Iran and began the current war that has materially disrupted the supply and production of oil in the Persian Gulf region, among other important commodities needed for the global economy.” · word for word

Leverage increase amplifies loss sensitivity

“Our economic leverage as of March 31, 2026 was 7.9 to 1, compared to 7.4 to 1 as of December 31, 2025.” · word for word

Unrealized loss volatility from fair value accounting

“Unrealized (losses) gains on RMBS (115,968)” · word for word

Geopolitical risk from Middle East war causing interest rate volatility and RMBS spread widening.

“On February 28, 2026, the markets turned sharply when war broke out in the Middle East after Israel and the United States attacked Iran.” · word for word

Prepayment risk increasing as mortgage rates decline and prepayment speeds accelerate.

“Prepayment fears mounted quickly, and in fact speeds did increase dramatically in March.” · word for word

Interest rate volatility risk impacting portfolio valuation and net interest income.

“implied interest rate volatility increased dramatically” · word for word

REIT Qualification Risk

“The failure of Agency RMBS subject to a repurchase agreement to qualify as real estate assets would adversely affect our ability to continue to qualify as a REIT.” · word for word

Interest Rate Risk

“We cannot predict the effect that government policies, laws and plans adopted in response to geopolitical events... will have on us.” · word for word

Dependence on Fed rate cuts and stable interest rates for performance

“current market pricing for up to two additional cuts in 2026 may not materialize if the data ultimately does not support the case for additional easing” · word for word

Preliminary estimates subject to change and audit review; potential for revision.

“These figures and the estimated book value per share and estimated GAAP net income per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.” · word for word

RMBS portfolio exposure to interest rate and prepayment risk; dividend sustainability depends on portfolio performance.

“Company announced certain details of its RMBS portfolio as of November 30, 2025.” · word for word

ATM program creates potential for dilution; no cap disclosed; may signal capital constraints

“Equity Distribution Agreement ... to sell shares of common stock from time to time”

Prepayment risk

“The average three month prepayment speeds for the quarters ended September 30, 2025 and 2024 were 10.1% and 8.8%, respectively.” · word for word

Interest rate risk

“An effective duration of 2.991 indicates that an interest rate increase of 1.0% would be expected to cause a 2.991% decrease in the value of the RMBS in the Company’s investment portfolio at September 30, 2025.” · word for word

Funding liquidity risk

“Our master repurchase agreements have no stated expiration but can be terminated at any time at our option or at the option of the counterparty.” · word for word