[10-Q] Orchid Island Capital, Inc. Quarterly Earnings Report

Rhea-AI Filing Summary

ScanTech AI Systems Inc. (STAI) – Q1 2025 10-Q highlights

• Reverse recapitalization: On 2 Jan 2025 STAI completed a SPAC merger with Mars Acquisition Corp., issuing 18.7 M shares and converting c.$104 M of debt, warrants and derivatives into equity. The transaction generated a $29.3 M P&L gain and a $54.5 M APIC gain; 25.6 M shares were outstanding at 31 Mar 2025 and 48.3 M at 15 Jul 2025.
• Income statement: First commercial revenue of $365 K (none in Q1 24). Gross profit c.$127 K; operating expenses rose to $5.8 M (vs. $2.0 M). Other income of $3.0 M (mainly debt-related gains) narrowed net loss to $2.69 M (Q1 24 loss $18.4 M). Diluted loss per share $0.12 on 23.2 M weighted shares.
• Balance sheet: Assets $5.3 M; liabilities $61.2 M; shareholders’ deficit $55.9 M. Cash improved to $0.77 M (22 K at 31 Dec 24) but working-capital deficit is $38.3 M. Earn-out liability recorded at $30 K.
• Cash flow: Ops used $3.68 M; financing provided $4.44 M (new Seaport loan, equity issuances); net cash ↑ $0.75 M.
• Going-concern: Management cites substantial doubt due to limited cash, heavy current liabilities and reliance on Seaport funding; certification, customer wins and additional capital are critical.

Key metrics vs. 31 Dec 24: Cash +£0.75 M; APIC £131.2 M (was nil); common shares 25.6 M (14.2 M). Short-term debt incl. related parties cut to £10.2 M (from £49.9 M) via conversions.

Positive

• Debt conversion eliminated roughly $104 M of liabilities, reducing leverage and derivative overhang.
• Net loss narrowed to $2.7 M from $18.4 M YoY, aided by non-cash gains.
• First recorded product revenue of $365 K marks initial commercial traction.
• Cash balance increased to $0.77 M after financing inflows.

Negative

• Working-capital deficit of $38.3 M and shareholder deficit of $55.9 M signal weak balance sheet.
• Substantial doubt about going concern due to limited cash and reliance on Seaport funding.
• Operating cash burn of $3.7 M exceeds available liquidity.
• Revenue concentration risk with only one distributor/customer.

Insights

Financial Analyst

TL;DR Debt-to-equity swap trims leverage and narrows loss, but liquidity and going-concern risk remain acute.

Profitability: First revenue is symbolically positive, yet gross margin (35%) cannot cover opex; cash burn is still $3.7 M/qtr. Net loss contraction stems largely from non-cash debt gains rather than operations.
Capital structure: Converting $104 M of obligations into 6.7 M shares eliminates high-interest debt and derivative overhang, improving future earnings quality. However total liabilities still exceed assets 11.5× and shareholder deficit is $56 M.
Liquidity: $0.8 M cash covers <1 month of burn; company depends on Seaport loans and further equity raises. Working-capital gap of $38 M plus $17.8 M third-party interest payable underscore refinancing urgency.
Outlook: Certification milestones, commercial traction and capital access will dictate sustainability. Until then, risk profile is high.

Corporate Governance Expert

TL;DR Complex SPAC recap boosted float but left investors with substantial dilution and governance challenges.

The reverse recapitalization introduced numerous share issuances, earn-out provisions and related-party settlements. Founder, Seaport and other insiders now hold sizable positions, while public float expanded to 48 M shares as of July. Earn-out triggers tied to aggressive 2025–2028 revenue/EBITDA thresholds mitigate over-dilution yet may influence strategic choices. Going-concern language, dependence on a single distributor and one customer heighten oversight needs. Investors should track lock-up expirations, subsequent registration filings and board independence to gauge alignment.

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The notional balance for the interest-only securities portfolio was $81.1 million and $85.8 million as of June 30, 2025 and December 31, 2024, respectively. The notional balance for the interest-only securities portfolio was $85.8 million and $98.6 million as of December 31, 2024 and 2023, respectively. 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 number of shares of common stock issuable upon the vesting of the remaining outstanding PUs as of December 31, 2023 was reduced by 14,365 shares as a result of a book value impairment event that occurred pursuant to the terms of the long term equity incentive compensation plans (the “Plans”) established under the Company’s Incentive Plans. The book value impairment event occurred when the Company's book value per share declined by more than 15% during the quarter ended September 30, 2023 and the Company’s book value per share decline from July 1, 2023 to December 31, 2023 was more than 10%. The Plans provide that if such a book value impairment event occurs, then the number of outstanding PUs that are outstanding as of the last day of such two quarter period shall be reduced by 15%. 5-Year T-Note futures contracts were valued at a price of $109.00 at June 30, 2025 and $106.30 at December 31, 2024. The contract values of the short positions were $531.4 million and $332.2 million at June 30, 2025 and December 31, 2024, respectively. 10-Year T-Note futures contracts were valued at a price of $112.13 at June 30, 2025 and $108.75 at December 31, 2024. The contract values of the short positions were $256.2 million and $101.7 million at June 30, 2025 and December 31, 2024, respectively. 10-Year Ultra futures contracts were valued at a price of $114.27 at June 30, 2025 and $111.31 at December 31, 2024. The contract values of the short positions were $225.7 million and $36.2 million at June 30, 2025 and December 31, 2024, respectively. As of December 31, 2024, 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. The notional balance for the inverse interest-only securities portfolio was $21.3 million and $22.0 million as of March 31, 2025 and December 31, 2024, respectively. Open equity represents the cumulative gains (losses) recorded on open futures positions from inception. During the six months ended June 30, 2024, the Company resecuritized RMBS with a fair value of $221.7 million by transferring the RMBS into a larger RMBS that is backed by the transferred RMBS. The Company retained the entire larger RMBS. No gain or loss was recorded on this resecuritization. 5-Year T-Note futures contracts were valued at a price of $109.00 at June 30, 2025 and $106.30 at December 31, 2024. The contract values of the short positions were $531.4 million and $332.2 million at June 30, 2025 and December 31, 2024, respectively. 10-Year T-Note futures contracts were valued at a price of $112.13 at June 30, 2025 and $108.75 at December 31, 2024. The contract values of the short positions were $256.2 million and $101.7 million at June 30, 2025 and December 31, 2024, respectively. 10-Year Ultra futures contracts were valued at a price of $114.27 at June 30, 2025 and $111.31 at December 31, 2024. The contract values of the short positions were $225.7 million and $36.2 million at June 30, 2025 and December 31, 2024, respectively. During 2025, a participant's service as an employee of the Manager ended resulting in the forfeiture of 2,393 PUs as provided in the Plans. Notional amount represents the par value (or principal balance) of the underlying Agency RMBS. On July 9, 2025, the Company declared a dividend of $0.12 per share to be paid on August 28, 2025. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of June 30, 2025. 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. On April 9, 2025, the Company declared a dividend of $0.12 per share to be paid on May 29, 2025. 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, 2025. 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. 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Table of Contents

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 June 30, 2025

☐         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 July 24, 2025: 126,729,424

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		43
ITEM 4. Controls and Procedures		46
PART II. OTHER INFORMATION
ITEM 1. Legal Proceedings		48
ITEM 1A. Risk Factors		48
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds		48
ITEM 3. Defaults upon Senior Securities		48
ITEM 4. Mine Safety Disclosures		48
ITEM 5. Other Information		48
ITEM 6. Exhibits		49
SIGNATURES		50

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)
		June 30,				December 31,
		2025				2024
ASSETS:
Mortgage-backed securities, at fair value (includes pledged assets of $6,943,630 and $5,209,068, respectively)		$	6,993,359			$	5,253,310
U.S. Treasury securities, available-for-sale (amortized cost of $124,826 and $100,412; includes pledged assets of $123,187 and $100,551, respectively)			125,151				100,551
Cash and cash equivalents			440,756				309,330
Restricted cash			15,572				25,723
Accrued interest receivable			31,982				23,044
Derivative assets			-				9,277
Receivable for unsettled TBA transactions			3,223				-
Other assets			588				392
Total Assets		$	7,610,631			$	5,721,627
LIABILITIES AND STOCKHOLDERS' EQUITY
LIABILITIES:
Repurchase agreements		$	6,655,879			$	5,025,543
Payable for unsettled TBA transactions			4,004				-
Dividends payable			15,214				9,940
Derivative liabilities			4,359				332
Accrued interest payable			13,848				10,750
Due to affiliates			1,349				1,167
Other liabilities			4,018				5,395
Total Liabilities			6,698,671				5,053,127
COMMITMENTS AND CONTINGENCIES
STOCKHOLDERS' EQUITY:
Preferred stock, $0.01 par value; 20,000,000 shares authorized; no shares issued and outstanding as of June 30, 2025 and December 31, 2024			-				-
Common Stock, $0.01 par value; 200,000,000 shares authorized, 126,566,926 shares issued and outstanding as of June 30, 2025 and 82,622,464 shares issued and outstanding as of December 31, 2024			1,266				826
Additional paid-in capital			1,269,596				1,010,306
Accumulated deficit			(359,227	)			(342,771	)
Accumulated other comprehensive income			325				139
Total Stockholders' Equity			911,960				668,500
Total Liabilities and Stockholders' Equity		$	7,610,631			$	5,721,627

See Notes to Financial Statements

1

Table of Contents

 ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(Unaudited)

 For the Six and Three Months Ended June 30, 2025 and 2024

($ in thousands, except per share data)

		Six Months Ended June 30,								Three Months Ended June 30,
		2025				2024				2025				2024
Interest income		$	173,379			$	101,935			$	92,289			$	53,064
Interest expense			(130,512	)			(105,122	)			(69,135	)			(53,761	)
Net interest income (expense)			42,867				(3,187	)			23,154				(697	)
Realized losses on mortgage-backed securities			(9,288	)			-				(7,990	)			-
Unrealized gains (losses) on mortgage-backed securities and U.S. Treasury securities			87,132				(87,865	)			9,540				(25,970	)
(Losses) gains on derivative and other hedging instruments			(127,945	)			113,967				(53,286	)			26,068
Net portfolio (loss) income			(7,234	)			22,915				(28,582	)			(599	)
Expenses:
Management fees			5,729				4,418				2,982				2,257
Allocated overhead			1,190				1,330				582				732
Incentive compensation			21				201				228				290
Directors' fees and liability insurance			672				672				334				343
Audit, legal and other professional fees			753				796				360				320
Direct REIT operating expenses			474				348				247				178
Other administrative			383				353				263				260
Total expenses			9,222				8,118				4,996				4,380
Net (loss) income		$	(16,456	)		$	14,797			$	(33,578	)		$	(4,979	)
Unrealized gains (losses) on U.S. Treasury securities measured at fair value through other comprehensive net (loss) income			186				(10	)			(64	)			37
Comprehensive net (loss) income		$	(16,270	)		$	14,787			$	(33,642	)		$	(4,942	)
Basic and diluted net (loss) income per share		$	(0.16	)		$	0.27			$	(0.29	)		$	(0.09	)
Weighted Average Shares Outstanding			104,742,591				54,798,596				114,453,216				57,763,857

See Notes to Financial Statements

2

Table of Contents

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF STOCKHOLDERS' EQUITY

(Unaudited)

For the Six Months Ended June 30, 2025 and 2024

(in thousands)

																		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
Net loss			-				-				-				(33,578	)			-				(33,578	)
Unrealized loss on available-for-sale securities			-				-				-				-				(64	)			(64	)
Cash dividends declared ($0.36 per share)			-				-				(42,635	)			-				-				(42,635	)
Stock based awards and amortization			9				-				201				-				-				201
Issuance of common stock pursuant to public offerings, net			19,884				199				139,217				-				-				139,416
Shares repurchased and retired			(1,113	)			(11	)			(7,249	)			-				-				(7,260	)
Balances, June 30, 2025			126,567			$	1,266			$	1,269,596			$	(359,227	)		$	325			$	911,960
Balances, January 1, 2024			51,636			$	516			$	849,845			$	(380,433	)		$	17			$	469,945
Net income			-				-				-				19,776				-				19,776
Unrealized loss on available-for-sale securities			-				-				-				-				(47	)			(47	)
Cash dividends declared ($0.36 per share)			-				-				(18,724	)			-				-				(18,724	)
Stock based awards and amortization			33				-				350				-				-				350
Issuance of common stock pursuant to public offerings, net			1,490				15				13,094				-				-				13,109
Shares repurchased and retired			(333	)			(3	)			(2,775	)			-				-				(2,778	)
Balances, March 31, 2024			52,826			$	528			$	841,790			$	(360,657	)		$	(30	)		$	481,631
Net loss			-				-				-				(4,979	)			-				(4,979	)
Unrealized gain on available-for-sale securities			-				-				-				-				37				37
Cash dividends declared ($0.36 per share)			-				-				(21,690	)			-				-				(21,690	)
Stock based awards and amortization			8				-				235				-				-				235
Issuance of common stock pursuant to public offerings, net			11,990				120				100,578				-				-				100,698
Balances, June 30, 2024			64,824			$	648			$	920,913			$	(365,636	)		$	7			$	555,932

See Notes to Financial Statements

3

Table of Contents

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF CASH FLOWS

(Unaudited)

For the Six Months Ended June 30, 2025 and 2024

($ in thousands)

		2025				2024
CASH FLOWS FROM OPERATING ACTIVITIES:
Net (loss) income		$	(16,456	)		$	14,797
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Stock based compensation			(50	)			101
Net discount accretion on U.S. Treasury securities			(316	)			(2,405	)
Realized losses on mortgage-backed securities			9,288				-
Unrealized (gains) losses on mortgage-backed securities and U.S. Treasury securities			(87,132	)			87,865
Realized and unrealized losses (gains) on derivative instruments			144,349				(41,972	)
Changes in operating assets and liabilities:
Accrued interest receivable			(8,938	)			(4,037	)
Other assets			(196	)			(278	)
Accrued interest payable			3,098				9,658
Other liabilities			393				498
Due to affiliates			182				73
NET CASH PROVIDED BY OPERATING ACTIVITIES			44,222				64,300
CASH FLOWS FROM INVESTING ACTIVITIES:
From mortgage-backed securities investments:
Purchases			(2,728,263	)			(1,113,948	)
Sales and maturities			733,904				221,733
Principal repayments			332,154				172,607
Purchases of U.S. Treasury securities, available-for-sale			(74,098	)			(196,025	)
Proceeds from maturity of U.S. Treasury securities, available-for-sale			50,000				200,000
Net payments on derivative instruments			(131,446	)			(4,090	)
NET CASH USED IN INVESTING ACTIVITIES			(1,817,749	)			(719,723	)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from repurchase agreements			28,368,377				18,417,873
Principal payments on repurchase agreements			(26,738,041	)			(17,777,818	)
Cash dividends			(73,026	)			(38,793	)
Proceeds from issuance of common stock, net of issuance costs			344,840				113,807
Common stock repurchases, including shares withheld from employee stock awards for payment of taxes			(7,348	)			(2,924	)
NET CASH PROVIDED BY FINANCING ACTIVITIES			1,894,802				712,145
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH			121,275				56,722
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period			335,053				200,289
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period		$	456,328			$	257,011
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for:
Interest		$	127,414			$	95,464

See Notes to Financial Statements

4

Table of Contents

ORCHID ISLAND CAPITAL, INC.

NOTES TO CONDENSED FINANCIAL STATEMENTS

(Unaudited)

June 30, 2025

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 March 7, 2023, Orchid entered into an equity distribution agreement (the “March 2023 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 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 24,675,497 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $228.8 million and net proceeds of approximately $225.0 million, after commissions and fees, prior to its termination in June 2024.

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 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 may offer and sell, from time to time, up to an aggregate amount of $350,000,000 of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. Through June 30, 2025, the Company issued a total of 34,355,086 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $265.4 million, and net proceeds of approximately $261.2 million, after commissions and fees. Subsequent to June 30, 2025, the Company issued a total of 162,498 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $1.2 million, and net proceeds of approximately $1.2 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 six and three month periods ended June 30, 2025 are not necessarily indicative of the results that may be expected for the year ending December 31, 2025.

The balance sheet at  December 31, 2024 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, 2024.

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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 June 30, 2025.

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)
		June 30, 2025				December 31, 2024
Cash and cash equivalents		$	440,756			$	309,330
Restricted cash			15,572				25,723
Total cash, cash equivalents and restricted cash		$	456,328			$	335,053

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. 

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.

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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. 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 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. 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. Changes in fair value of U.S. Treasury securities that are classified as available-for-sale are reported in accumulated other comprehensive income ("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.

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.

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.

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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.

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.

Income 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.

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 ("FASB") 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 Consolidated Statements of Income, as well as disclosures about selling expenses. ASU 2024-03 is effective for fiscal years beginning after December 15, 2026, with early adoption allowed. We are currently evaluating the impact of adoption on our financial disclosures.

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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 June 30, 2025 and December 31, 2024:

(in thousands)
		June 30, 2025												December 31, 2024
		Par Value				Cost(1)				Fair Value				Par Value				Cost(1)				Fair Value
Pass-Through RMBS Certificates:
Fixed-rate Mortgages		$	6,979,807			$	7,122,184			$	6,978,561			$	5,431,274			$	5,540,596			$	5,237,812
Total Pass-Through Certificates			6,979,807				7,122,184				6,978,561				5,431,274				5,540,596				5,237,812
Structured RMBS Certificates:
Interest-Only Securities(2)			n/a				16,402				14,550				n/a				17,334				15,308
Inverse Interest-Only Securities(3)			n/a				1,354				248				n/a				1,498				190
Total Structured RMBS Certificates							17,756				14,798								18,832				15,498
Total		$	6,979,807			$	7,139,940			$	6,993,359			$	5,431,274			$	5,559,428			$	5,253,310

(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) The notional balance for the interest-only securities portfolio was $81.1 million and $85.8 million as of June 30, 2025 and December 31, 2024, respectively.

(3) The notional balance for the inverse interest-only securities portfolio was $19.9 million and $22.0 million as of June 30, 2025 and December 31, 2024, respectively.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the six months ended June 30, 2025 and 2024.

(in thousands)
		Six Months Ended June 30,
		2025				2024
Proceeds from sales of RMBS (1)		$	733,904			$	221,733
Carrying value of RMBS sold			(743,192	)			(221,733	)
Net (loss) gain on sales of RMBS		$	(9,288	)		$	-
Gross gain on sales of RMBS		$	-			$	-
Gross loss on sales of RMBS			(9,288	)			-
Net (loss) gain on sales of RMBS		$	(9,288	)		$	-

(1) During the six months ended  June 30, 2024, the Company resecuritized RMBS with a fair value of $221.7 million by transferring the RMBS into a larger RMBS that is backed by the transferred RMBS. The Company retained the entire larger RMBS. No gain or loss was recorded on this resecuritization.

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  June 30, 2025 and December 31, 2024. U.S. Treasury securities are held primarily to satisfy collateral requirements of the Company's repurchase and derivative counterparties.

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The amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of June 30, 2025 and December 31, 2024 are as follows:

(in thousands)
						Gross				Gross
		Amortized				Unrealized				Unrealized				Fair
		Cost				Gains				Losses				Value
June 30, 2025
U.S. Treasury Note, 4.625%, 6/30/2026 Maturity		$	100,275			$	321			$	-			$	100,596
U.S. Treasury Bill maturing 12/4/2025			24,551				4				-				24,555
		$	124,826			$	325			$	-			$	125,151
December 31, 2024
U.S. Treasury Note, 4.625%, 6/30/2026 Maturity		$	100,412			$	139			$	-			$	100,551
		$	100,412			$	139			$	-			$	100,551

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

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 June 30, 2025, the Company had met all margin call requirements.

As of June 30, 2025 and December 31, 2024, 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
June 30, 2025
Fair value of securities pledged, including accrued interest receivable		$	-			$	4,885,495			$	1,864,628			$	225,261			$	6,975,384
Repurchase agreement liabilities associated with these securities		$	-			$	4,657,644			$	1,781,505			$	216,730			$	6,655,879
Net weighted average borrowing rate			-				4.48	%			4.48	%			4.53	%			4.48	%
December 31, 2024
Fair value of securities pledged, including accrued interest receivable		$	-			$	4,850,491			$	199,993			$	181,437			$	5,231,921
Repurchase agreement liabilities associated with these securities		$	-			$	4,656,303			$	192,338			$	176,902			$	5,025,543
Net weighted average borrowing rate			-				4.66	%			4.56	%			4.76	%			4.66	%

In addition, cash pledged to counterparties for repurchase agreements was approximately $7.9 million and $22.8 million as of June 30, 2025 and December 31, 2024, 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 June 30, 2025, 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 $306.8 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 June 30, 2025 or  December 31, 2024.

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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 June 30, 2025 and December 31, 2024.

(in thousands)
Derivative and Other Hedging Instruments	Balance Sheet Location		June 30, 2025				December 31, 2024
Assets
Interest rate swaps	Derivative assets, at fair value		$	-			$	4,574
TBA securities	Derivative assets, at fair value			-				4,703
Total derivative assets, at fair value			$	-			$	9,277
Liabilities
Interest rate swaps	Derivative liabilities, at fair value		$	4,359			$	-
TBA securities	Derivative liabilities, at fair value		$	-			$	332
Total derivative liabilities, at fair value			$	4,359			$	332
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash		$	4,487			$	2,625
TBA securities (including margin paid on unsettled trades)	Restricted cash			3,169				280
TBA securities (including margin received on unsettled trades)	Other liabilities			(3,100	)			(4,282	)
Total margin balances on derivative contracts			$	4,556			$	(1,377	)

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 June 30, 2025 and December 31, 2024.

($ in thousands)
		June 30, 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)
September 2025 5-year T-Note futures (Sep 2025 - Sep 2030 Hedge Period)		$	487,500				4.03	%			3.72	%		$	(6,198	)
September 2025 10-year T-Note futures (Sep 2025 - Sep 2035 Hedge Period)			228,500				4.23	%			3.96	%			(3,842	)
September 2025 10-year Ultra futures (Sep 2025 - Sep 2035 Hedge Period)			197,500				4.48	%			4.20	%			(4,649	)
SOFR Futures Contracts (Short Positions)
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		$	28,750				4.05	%			4.33	%		$	82
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)			28,750				3.83	%			4.01	%			53
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)			28,750				3.69	%			3.67	%			(6	)
June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)			28,750				3.61	%			3.40	%			(59	)
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)			28,750				3.57	%			3.18	%			(111	)
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)			28,750				3.55	%			3.07	%			(141	)
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)			28,750				3.56	%			3.03	%			(151	)
June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)			28,750				3.56	%			3.05	%			(148	)
ERIS SOFR Swap Futures Contracts (Short Positions)(3)
September 2025 5-Year Term, 3.75% fixed rate, (Sep 2025 - Sep 2030 Hedge Period)		$	10,000				3.71	%			3.40	%		$	(129	)

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($ in thousands)
		December 31, 2024
		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 2025 5-year T-Note futures (Mar 2025 - Mar 2030 Hedge Period)		$	312,500				4.22	%			4.37	%		$	1,890
March 2025 10-year T-Note futures (Mar 2025 - Mar 2035 Hedge Period)			93,500				4.30	%			4.49	%			1,119
March 2025 10-year Ultra futures (Mar 2025 - Mar 2035 Hedge Period)			32,500				4.25	%			4.58	%			914

(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 $109.00 at  June 30, 2025 and $106.30 at  December 31, 2024. The contract values of the short positions were $531.4 million and $332.2 million at  June 30, 2025 and  December 31, 2024, respectively. 10-Year T-Note futures contracts were valued at a price of $112.13 at  June 30, 2025 and $108.75 at  December 31, 2024. The contract values of the short positions were $256.2 million and $101.7 million at  June 30, 2025 and  December 31, 2024, respectively. 10-Year Ultra futures contracts were valued at a price of $114.27 at  June 30, 2025 and $111.31 at  December 31, 2024. The contract values of the short positions were $225.7 million and $36.2 million at  June 30, 2025 and  December 31, 2024, 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 June 30, 2025 and December 31, 2024.

($ in thousands)
						Average
						Fixed				Average				Average
		Notional				Pay				Receive				Maturity
		Amount				Rate				Rate				(Years)
June 30, 2025
Expiration > 1 to ≤ 5 years		$	1,822,500				2.87	%			4.45	%			3.9
Expiration > 5 years			2,020,800				3.69	%			4.48	%			7.2
		$	3,843,300				3.30	%			4.46	%			5.7
December 31, 2024
Expiration > 1 to ≤ 5 years		$	1,450,000				1.69	%			4.58	%			3.4
Expiration > 5 years			2,066,800				3.55	%			4.52	%			7.0
		$	3,516,800				2.78	%			4.54	%			5.5

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.

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The following table summarizes the Company’s contracts to purchase and sell TBA securities as of December 31, 2024. The Company had no open TBA contracts as of  June 30, 2025.

($ in thousands)
		Notional
		Amount												Net
		Long				Cost				Market				Carrying
		(Short)(1)				Basis(2)				Value(3)				Value(4)
December 31, 2024
15-Year TBA securities:
5.0%		$	50,000			$	50,074			$	49,742			$	(332	)
30-Year TBA securities:
3.0%			(200,000	)			(174,406	)			(169,703	)			4,703
Total		$	(150,000	)		$	(124,332	)		$	(119,961	)		$	4,371

(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 for the six and three months ended June 30, 2025 and 2024.

(in thousands)
		Six Months Ended June 30,								Three Months Ended June 30,
		2025				2024				2025				2024
Interest rate futures contracts (short position)		$	(23,630	)		$	30,768			$	(8,688	)		$	11,678
Interest rate swaps			(100,251	)			70,616				(37,408	)			11,518
Payer swaptions (long positions)			-				(72	)			-				(14	)
Dual digital option			-				(395	)			-				(156	)
TBA securities (short positions)			(4,636	)			12,945				(7,662	)			3,042
TBA securities (long positions)			572				105				472				-
Total		$	(127,945	)		$	113,967			$	(53,286	)		$	26,068

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 derivative instruments are included in restricted cash on its balance sheets.

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.

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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 June 30, 2025 and December 31, 2024.

(in thousands)
		June 30, 2025												December 31, 2024
		Repurchase				Derivative								Repurchase				Derivative
Assets Pledged to Counterparties		Agreements				Agreements				Total				Agreements				Agreements				Total
PT RMBS - fair value		$	6,928,832			$	-			$	6,928,832			$	5,193,570			$	-			$	5,193,570
Structured RMBS - fair value			14,798				-				14,798				15,498				-				15,498
U.S. Treasury securities			-				123,187				123,187				-				100,551				100,551
Accrued interest on pledged securities			31,754				13				31,767				22,852				-				22,852
Restricted cash			7,916				7,656				15,572				22,818				2,905				25,723
Total		$	6,983,300			$	130,856			$	7,114,156			$	5,254,738			$	103,456			$	5,358,194

Assets Pledged from Counterparties

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of June 30, 2025 and December 31, 2024.

(in thousands)
		June 30, 2025												December 31, 2024
		Repurchase				Derivative								Repurchase				Derivative
Assets Pledged to Orchid		Agreements				Agreements				Total				Agreements				Agreements				Total
Cash		$	35,492			$	3,100			$	38,592			$	4,465			$	4,282			$	8,747
U.S. Treasury securities - fair value			6,748				-				6,748				4,146				-				4,146
Total		$	42,240			$	3,100			$	45,340			$	8,611			$	4,282			$	12,893

Cash received as margin is recognized as 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.

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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 June 30, 2025 and December 31, 2024.

(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
December 31, 2024
Interest rate swaps		$	4,574			$	-			$	4,574			$	-			$	-			$	4,574
Interest rate swaptions			4,703				-				4,703				-				(4,282	)			421
		$	9,277			$	-			$	9,277			$	-			$	(4,282	)		$	4,995

(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
June 30, 2025
Repurchase Agreements		$	6,655,879			$	-			$	6,655,879			$	(6,647,963	)		$	(7,916	)		$	-
Interest rate swaps			4,359				-				4,359				-				-				4,359
		$	6,660,238			$	-			$	6,660,238			$	(6,647,963	)		$	(7,916	)		$	4,359
December 31, 2024
Repurchase Agreements		$	5,025,543			$	-			$	5,025,543			$	(5,002,725	)		$	(22,818	)		$	-
TBA securities			332				-				332				-				(280	)			52
		$	5,025,875			$	-			$	5,025,875			$	(5,002,725	)		$	(23,098	)		$	52

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.

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NOTE 8. CAPITAL STOCK

Common Stock Issuances

During the six months ended June 30, 2025 and the year ended  December 31, 2024, 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)
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
								45,026,250			$	344,840
2024
At the Market Offering Program(3)	First Quarter		$	8.80				1,490,075			$	13,109
At the Market Offering Program(3)	Second Quarter			8.40				11,990,383				100,698
At the Market Offering Program(3)	Third Quarter			8.25				13,314,022				109,891
At the Market Offering Program(3)	Fourth Quarter			7.86				4,533,067				35,630
								31,327,547			$	259,328

(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 13 equity distribution agreements, 12 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.

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From the inception of the stock repurchase program through June 30, 2025, 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. During the three and six months ended June 30, 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. During the year ended  December 31, 2024, the Company repurchased a total of 396,241 shares at an aggregate cost of approximately $3.3 million, including commissions and fees, for a weighted average price of $8.30 per share. The remaining authorization under the stock repurchase program as of  July 24, 2025 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 - YTD(1)			0.840				93,603
Totals		$	68.730			$	798,509

(1) On July 9, 2025, the Company declared a dividend of $0.12 per share to be paid on August 28, 2025. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of June 30, 2025.

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, is recognized over the remaining vesting period once it becomes probable that the performance conditions will be achieved.

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The following table presents information related to PUs outstanding during the six months ended June 30, 2025 and 2024.

($ in thousands, except per share data)
		Six Months Ended June 30,
		2025								2024
						Weighted								Weighted
						Average								Average
						Grant Date								Grant Date
		Shares				Fair Value				Shares				Fair Value
Unvested, beginning of period			80,201			$	10.12				95,768			$	12.48
Granted			18,137				8.27				36,773				8.62
Forfeited(1)(2)			(2,393	)			9.13				(14,365	)			12.48
Vested and issued			(24,476	)			11.17				(20,624	)			14.97
Unvested, end of period			71,469			$	9.32				97,552			$	10.50
Compensation expense during period						$	171							$	184
Unrecognized compensation expense, end of period						$	286							$	551
Intrinsic value, end of period						$	501							$	814
Weighted-average remaining vesting term (in years)							1.1								1.4

(1)

During 2025, a participant's service as an employee of the Manager ended resulting in the forfeiture of 2,393 PUs as provided in the Plans.

(2)

During 2024, the number of shares of common stock issuable upon the vesting of the remaining outstanding PUs as of December 31, 2023 was reduced by 14,365 shares as a result of a book value impairment event that occurred pursuant to the terms of the long term equity incentive compensation plans (the “Plans”) established under the Company’s Incentive Plans. The book value impairment event occurred when the Company's book value per share declined by more than 15% during the quarter ended  September 30, 2023 and the Company’s book value per share decline from July 1, 2023 to December 31, 2023 was more than 10%. The Plans provide that if such a book value impairment event occurs, then the number of outstanding PUs that are outstanding as of the last day of such two quarter period shall be reduced by 15%.

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 six months ended June 30, 2025 and 2024. All of the fully vested shares of common stock issued during the six months ended June 30, 2025 and 2024, and the related compensation expense, were granted with respect to service performed during the fiscal years ended December 31, 2024 and 2023, respectively. 

($ in thousands, except per share data)
		Six Months Ended June 30,
		2025				2024
Fully vested shares granted			18,137				36,773
Weighted average grant date price per share		$	8.27			$	8.62
Compensation expense related to fully vested shares of common stock awards (1)		$	150			$	317

(1)  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.

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. 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.

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The following table presents information related to the DSUs outstanding during the six months ended June 30, 2025 and 2024.

($ in thousands, except per share data)
		Six Months Ended June 30,
		2025								2024
						Weighted								Weighted
						Average								Average
						Grant Date								Grant Date
		Shares				Fair Value				Shares				Fair Value
Outstanding, beginning of period			154,385			$	12.98				96,704			$	15.69
Granted and vested			36,797				7.63				26,563				8.66
Outstanding, end of period			191,182			$	11.95				123,267			$	14.17
Compensation expense during period						$	229							$	200
Intrinsic value, end of period						$	1,340							$	1,028

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  June 30, 2025.

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 an 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 six and three months ended June 30, 2025 and 2024. 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 six and three months ended June 30, 2025 and 2024.

(in thousands, except per share information)
		Six Months Ended June 30,								Three Months Ended June 30,
		2025				2024				2025				2024
Basic and diluted EPS per common share:
Numerator for basic and diluted EPS per share of common stock:
Net (loss) income - Basic and diluted		$	(16,456	)		$	14,797			$	(33,578	)		$	(4,979	)
Weighted average shares of common stock:
Shares of common stock outstanding at the balance sheet date			126,567				64,824				126,567				64,824
Unvested dividend eligible share based compensation outstanding at the balance sheet date			-				221				-				-
Effect of weighting			(21,824	)			(10,246	)			(12,114	)			(7,060	)
Weighted average shares-basic and diluted			104,743				54,799				114,453				57,764
Net (loss) income per common share:
Basic and diluted		$	(0.16	)		$	0.27			$	(0.29	)		$	(0.09	)
Anti-dilutive incentive shares not included in calculation			263				-				263				221

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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 are based on quoted prices for identical instruments in active markets and are classified as Level 1 assets. 

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 six and three months ended June 30, 2025 and 2024. 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.

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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  June 30, 2025 and December 31, 2024. 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.

The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024. 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)
June 30, 2025
Mortgage-backed securities		$	-			$	6,993,359			$	-
U.S. Treasury securities			125,151				-				-
Interest rate swaps			-				(4,359	)			-
December 31, 2024
Mortgage-backed securities		$	-			$	5,253,310			$	-
U.S. Treasury securities			100,551				-				-
Interest rate swaps			-				4,574				-
TBA securities			-				4,371				-

During the six and three months ended June 30, 2025 and 2024, 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, 2026 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.

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Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $7.4 million and $3.8 million for the six and three months ended June 30, 2025, respectively, compared to approximately $6.1 million and $3.2 million for six and three months ended June 30, 2024, respectively. At June 30, 2025 and December 31, 2024, the net amount due to affiliates was approximately $1.3 million and $1.2 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 June 30, 2025, Bimini owned 569,071 shares, or 0.4%, 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 but not limited to net income and net interest income. 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. 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.

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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 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 Agency RMBS, such as mortgage pass-through 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 and strategically allocating capital between 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. PT RMBS and structured Agency RMBS typically exhibit materially different sensitivities to movements in interest rates. Declines in the value of one portfolio may be offset by appreciation in the other. The percentage of capital that we allocate to our two Agency RMBS asset categories will vary and will be actively managed in an effort to maintain the level of income generated by the combined portfolios, the stability of that income stream and the stability of the value of the combined portfolios. We believe that this strategy will enhance our liquidity, earnings, book value stability and asset selection opportunities in various interest rate environments.

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”.

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Capital Raising Activities

On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 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 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 24,675,497 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $228.8 million and net proceeds of approximately $225.0 million, after commissions and fees, prior to its termination in June 2024.

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 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 may offer and sell, from time to time, up to an aggregate amount of $350,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. Through June 30, 2025, we issued a total of 34,355,086 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $265.4 million, and net proceeds of approximately $261.2 million, after commissions and fees. Subsequent to June 30, 2025, we issued a total of 162,498 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $1.2 million, and net proceeds of approximately $1.2 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 June 30, 2025, 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. During the six months ended June 30, 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. During the year ended December 31, 2024, the Company repurchased a total of 396,241 shares at an aggregate cost of approximately $3.3 million, including commissions and fees, for a weighted average price of $8.30 per share. The remaining authorization under the stock repurchase program as of July 24, 2025 was 2,719,137 shares.

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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 2024, 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 six and three months ended June 30, 2025, as compared to the Company’s results of operations for the six and three months ended June 30, 2024.

Net (Loss) Income Summary

Net loss for the six months ended June 30, 2025 was $16.5 million, or $0.16 per share. Net income for the six months ended June 30, 2024 was $14.8 million, or $0.27 per share. Net loss for the three months ended June 30, 2025 was $33.6 million, or $0.29 per share. Net loss for the three months ended June 30, 2024 was $5.0 million, or $0.09 per share. The components of net (loss) income for the six and three months ended June 30, 2025 and 2024, along with the changes in those components are presented in the table below:

(in thousands)
		Six Months Ended June 30,												Three Months Ended June 30,
		2025				2024				Change				2025				2024				Change
Interest income		$	173,379			$	101,935			$	71,444			$	92,289			$	53,064			$	39,225
Interest expense			(130,512	)			(105,122	)			(25,390	)			(69,135	)			(53,761	)			(15,374	)
Net interest income (expense)			42,867				(3,187	)			46,054				23,154				(697	)			23,851
(Losses) gains on RMBS and derivative contracts			(50,101	)			26,102				(76,203	)			(51,736	)			98				(51,834	)
Net portfolio (loss) income			(7,234	)			22,915				(30,149	)			(28,582	)			(599	)			(27,983	)
Expenses			(9,222	)			(8,118	)			(1,104	)			(4,996	)			(4,380	)			(616	)
Net (loss) income		$	(16,456	)		$	14,797			$	(31,253	)		$	(33,578	)		$	(4,979	)		$	(28,599	)

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.”

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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.

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 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 the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

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
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
December 31, 2024			5,545				1,759				3,786				0.07				0.02				0.05
September 30, 2024			17,320				21,249				(3,929	)			0.24				0.29				(0.05	)
June 30, 2024			(4,979	)			98				(5,077	)			(0.09	)			-				(0.09	)
March 31, 2024			19,776				26,004				(6,228	)			0.38				0.50				(0.12	)
Six Months Ended
June 30, 2025		$	(16,456	)		$	(50,101	)		$	33,645			$	(0.16	)		$	(0.48	)		$	0.32
June 30, 2024			14,797				26,102				(11,305	)			0.27				0.48				(0.21	)

(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 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.

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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.

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 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 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 the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

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Gains (Losses) on Derivative Instruments
(in thousands)
														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
June 30, 2025		$	(53,286	)		$	(7,662	)		$	472			$	20,937			$	(67,033	)
March 31, 2025			(74,659	)			3,026				100				20,912				(98,697	)
December 31, 2024			160,412				9,937				(683	)			27,782				123,376
September 30, 2024			(140,825	)			(16,315	)			348				31,924				(156,782	)
June 30, 2024			26,068				3,042				-				29,459				(6,433	)
March 31, 2024			87,899				9,903				105				27,587				50,304
Six Months Ended
June 30, 2025		$	(127,945	)		$	(4,636	)		$	572			$	41,849			$	(165,730	)
June 30, 2024			113,967				12,945				105				57,046				43,871

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
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
December 31, 2024			71,996				63,853				27,782				36,071				8,143				35,925
September 30, 2024			67,646				67,306				31,924				35,382				340				32,264
June 30, 2024			53,064				53,761				29,459				24,302				(697	)			28,762
March 31, 2024			48,871				51,361				27,587				23,774				(2,490	)			25,097
Six Months Ended
June 30, 2025		$	173,379			$	130,512			$	41,849			$	88,663			$	42,867			$	84,716
June 30, 2024			101,935				105,122				57,046				48,076				(3,187	)			53,859

(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 six months ended June 30, 2025, we earned net interest income of $42.9 million, consisting of $173.4 million of interest income from RMBS assets, offset by $130.5 million of interest expense on borrowings. For the comparable period ended June 30, 2024, we incurred $3.2 million of net interest expense, consisting of $101.9 million of interest income from RMBS assets offset by $105.1 million of interest expense on borrowings. The $71.5 million  increase in interest income was due to a 35 basis point ("bps")increase in the yield on average RMBS, combined with a $2.4 billion increase in average RMBS. The $25.4 million increase in interest expense was due to a 117 bps decrease in the average cost of funds, combined with a $2.3 billion increase in average outstanding borrowings.

During the three months ended June 30, 2025, we earned net interest income of $23.2 million consisting of $92.3 million of interest income from RMBS assets offset by $69.1 million of interest expense on borrowings. For the comparable period ended June 30, 2024, we incurred $0.7 million of net interest expense, consisting of $53.1 million of interest income from RMBS assets offset by $53.8 million of interest expense on borrowings. The $39.2 million increase in interest income was due to a 33 bps increase in the yield on average RMBS, combined with a $2.7 billion increase in average RMBS. The $15.3 million increase in interest expense was due to a 111 bps decrease in the average cost of funds, combined with a $2.5 billion increase in average outstanding borrowings.

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On an economic basis, our interest expense on borrowings for the six months ended June 30, 2025 and 2024 was $88.7 million and $48.1 million, respectively, resulting in $84.7 million and $53.9 million of economic net interest income, respectively.

On an economic basis, our interest expense on borrowings for the three months ended June 30, 2025 and 2024 was $48.2 million and $24.3 million, respectively, resulting in $44.1 million and $28.8 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 (expense) and net interest spread for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024 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
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	%
December 31, 2024			5,348,057				71,996				5.38	%			5,128,207				63,853				36,071				4.98	%			2.81	%
September 30, 2024			4,984,279				67,646				5.43	%			4,788,287				67,306				35,382				5.62	%			2.96	%
June 30, 2024			4,203,416				53,064				5.05	%			4,028,601				53,761				24,302				5.34	%			2.41	%
March 31, 2024			3,887,545				48,871				5.03	%			3,708,573				51,361				23,774				5.54	%			2.56	%
Six Months Ended
June 30, 2025		$	6,430,715			$	173,379				5.39	%		$	6,129,676			$	130,512			$	88,663				4.26	%			2.89	%
June 30, 2024			4,045,480				101,935				5.04	%			3,868,587				105,122				48,076				5.43	%			2.49	%

($ in thousands)
		Net Interest Income (Expense)								Net Interest Spread
		GAAP				Economic				GAAP				Economic
		Basis				Basis(2)				Basis				Basis(4)
Three Months Ended
June 30, 2025		$	23,154			$	44,091				1.15	%			2.43	%
March 31, 2025			19,713				40,625				1.12	%			2.58	%
December 31, 2024			8,143				35,925				0.40	%			2.57	%
September 30, 2024			340				32,264				(0.19	)%			2.47	%
June 30, 2024			(697	)			28,762				(0.29	)%			2.64	%
March 31, 2024			(2,490	)			25,097				(0.51	)%			2.47	%
Six Months Ended
June 30, 2025		$	42,867			$	84,716				1.13	%			2.50	%
June 30, 2024			(3,187	)			53,859				(0.39	)%			2.55	%

(1) Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 30-31 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 31 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.

Average Asset Yield

The table below presents the average portfolio size, income and yields of our respective sub-portfolios, consisting of structured RMBS and PT RMBS, for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

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($ in thousands)
		Average RMBS Held												Interest Income												Realized Yield on Average RMBS
		PT				Structured								PT				Structured								PT				Structured
		RMBS				RMBS				Total				RMBS				RMBS				Total				RMBS				RMBS				Total
Three Months Ended
June 30, 2025		$	6,850,786			$	14,941			$	6,865,727			$	92,030			$	259			$	92,289				5.37	%			6.93	%			5.38	%
March 31, 2025			5,980,412				15,290				5,995,702				80,808				282				81,090				5.40	%			7.37	%			5.41	%
December 31, 2024			5,332,441				15,616				5,348,057				71,703				293				71,996				5.38	%			7.51	%			5.38	%
September 30, 2024			4,968,076				16,203				4,984,279				67,328				318				67,646				5.42	%			7.87	%			5.43	%
June 30, 2024			4,186,794				16,622				4,203,416				52,705				359				53,064				5.04	%			8.64	%			5.05	%
March 31, 2024			3,870,794				16,751				3,887,545				48,483				388				48,871				5.01	%			9.27	%			5.03	%
Six Months Ended
June 30, 2025		$	6,415,599			$	15,116			$	6,430,715			$	172,839			$	540			$	173,379				5.39	%			7.15	%			5.39	%
June 30, 2024			4,028,794				16,686				4,045,480				101,188				747				101,935				5.02	%			8.95	%			5.04	%

Interest Expense and the Cost of Funds

We had average outstanding borrowings of $6.1 billion and $3.9 billion and total interest expense of $130.5 million and $105.1 million for the six months ended June 30, 2025 and 2024, respectively. Our average cost of funds was 4.26% for the six months ended June 30, 2025, compared to 5.43% for the comparable period in 2024. The $25.4 million increase in interest expense was due to the 117 bps decrease in the average cost of funds, combined with a $2.3 billion increase in average outstanding borrowings during the six months ended June 30, 2025, as compared to the comparable period in 2024.

We had average outstanding borrowings of $6.5 billion and $4.0 billion and total interest expense of $69.1 million and $53.8 million for the three months ended June 30, 2025 and 2024, respectively. Our average cost of funds was 4.23% for the three months ended June 30, 2025, compared to 5.34% for the comparable period in 2024. The $15.3 million increase in interest expense was due to the 111 bps decrease in the average cost of funds, combined with a $2.5 billion increase in average outstanding borrowings during the three months ended June 30, 2025, as compared to the comparable period in 2024.

Our economic interest expense was $88.7 million and $48.1 million for the six months ended June 30, 2025 and 2024, respectively. There was a 40 bps increase in the average economic cost of funds to 2.89% for the six months ended June 30, 2025, from 2.49% for the six months ended June 30, 2024.

Our economic interest expense was $48.2 million and $24.3 million for the three months ended June 30, 2025 and 2024, respectively. There was a 54 bps increase in the average economic cost of funds to 2.95% for the three months ended June 30, 2025, from 2.41% for the three months ended June 30, 2024.

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 9 bps below the one-month average SOFR and 14 bps below the six-month average SOFR for the quarter ended June 30, 2025. Our average economic cost of funds was 137 bps below the average one-month SOFR and 142 bps below the average six-month SOFR for the quarter ended June 30, 2025. The average term to maturity of the outstanding repurchase agreements was 35 days at June 30, 2025 and 26 days at December 31, 2024.

The tables below present the average balance of borrowings outstanding, interest expense and average cost of funds, and average one-month and six-month SOFR rates for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024, on both a GAAP and economic basis.

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($ in thousands)
		Average				Interest Expense								Average Cost of Funds
		Balance of				GAAP				Economic				GAAP				Economic
		Borrowings				Basis				Basis				Basis				Basis
Three Months Ended
June 30, 2025		$	6,537,260			$	69,135			$	48,198				4.23	%			2.95	%
March 31, 2025			5,722,092				61,377				40,465				4.29	%			2.83	%
December 31, 2024			5,128,207				63,853				36,071				4.98	%			2.81	%
September 30, 2024			4,788,287				67,306				35,382				5.62	%			2.96	%
June 30, 2024			4,028,601				53,761				24,302				5.34	%			2.41	%
March 31, 2024			3,708,573				51,361				23,774				5.54	%			2.56	%
Six Months Ended
June 30, 2025		$	6,129,676			$	130,512			$	88,663				4.26	%			2.89	%
June 30, 2024			3,868,587				105,122				48,076				5.43	%			2.49	%

										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
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	)%
December 31, 2024			4.53	%			5.03	%			0.45	%			(0.05	)%			(1.72	)%			(2.22	)%
September 30, 2024			5.16	%			5.37	%			0.46	%			0.25	%			(2.20	)%			(2.41	)%
June 30, 2024			5.34	%			5.39	%			0.00	%			(0.05	)%			(2.93	)%			(2.98	)%
March 31, 2024			5.32	%			5.39	%			0.22	%			0.15	%			(2.76	)%			(2.83	)%
Six Months Ended
June 30, 2025			4.33	%			4.46	%			(0.07	)%			(0.20	)%			(1.44	)%			(1.57	)%
June 30, 2024			5.33	%			5.39	%			0.10	%			0.04	%			(2.84	)%			(2.90	)%

Gains or Losses

The table below presents our gains or losses for the six and three months ended June 30, 2025 and 2024.

(in thousands)
		Six Months Ended June 30,												Three Months Ended June 30,
		2025				2024				Change				2025				2024				Change
Realized losses on sales of RMBS		$	(9,288	)		$	-			$	(9,288	)		$	(7,990	)		$	-			$	(7,990	)
Unrealized gains (losses) on RMBS and U.S. Treasury securities			87,132				(87,865	)			174,997				9,540				(25,970	)			35,510
Total gains (losses) on RMBS and U.S. Treasury securities			77,844				(87,865	)			165,709				1,550				(25,970	)			27,520
(Losses) gains on interest rate futures			(23,630	)			30,768				(54,398	)			(8,688	)			11,678				(20,366	)
(Losses) gains on interest rate swaps			(100,251	)			70,616				(170,867	)			(37,408	)			11,518				(48,926	)
Losses on payer swaptions (long positions)			-				(72	)			72				-				(14	)			14
Losses on dual digital option			-				(395	)			395				-				(156	)			156
(Losses) gains on TBA securities (short positions)			(4,636	)			12,945				(17,581	)			(7,662	)			3,042				(10,704	)
Gains on TBA securities (long positions)			572				105				467				472				-				472
Total (losses) gains from derivative instruments		$	(127,945	)		$	113,967			$	(241,912	)		$	(53,286	)		$	26,068			$	(79,354	)

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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 six months ended June 30, 2025, we received proceeds of $733.9 million from sales of RMBS, resulting in losses of approximately $9.3 million. During the six months ended June 30, 2024, we received proceeds of $221.7 million from sales of RMBS. The 2024 sales consisted entirely of pools that were consolidated into a larger pool and simultaneously acquired by us. No gain or loss was recorded on this resecuritization.  

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 end during 2025 to date and 2024.

		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)
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	%
December 31, 2024			4.38	%			4.57	%			6.00	%			6.85	%			4.69	%
September 30, 2024			3.58	%			3.80	%			5.16	%			6.08	%			5.31	%
June 30, 2024			4.33	%			4.34	%			6.16	%			6.86	%			5.35	%
March 31, 2024			4.22	%			4.21	%			6.11	%			6.79	%			5.35	%

(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.

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. 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.

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($ 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				As				Discount				Gains				Interest				Average
		Held				Income				RMBS				Reported(1)				Accretion(2)				(Losses)				Income(3)				RMBS(3)
Three Months Ended
June 30, 2025		$	6,865,727			$	92,289				5.38	%		$	9,264			$	(1,471	)		$	10,735			$	90,818				5.29	%
March 31, 2025			5,995,702				81,090				5.41	%			77,445				2,608				74,837				83,698				5.58	%
December 31, 2024			5,348,057				71,996				5.38	%			(153,880	)			(1,600	)			(152,280	)			70,396				5.27	%
September 30, 2024			4,984,279				67,646				5.43	%			161,919				5,048				156,871				72,694				5.83	%
June 30, 2024			4,203,416				53,064				5.05	%			(26,642	)			4,402				(31,044	)			57,466				5.47	%
March 31, 2024			3,887,545				48,871				5.03	%			(62,111	)			3,037				(65,148	)			51,908				5.34	%

(1) As reported in the Company’s statements of comprehensive income using the fair value accounting method.

(2) Premium amortization/discount accretion for each period is calculated using the beginning of period market value of all securities. Amounts presented are intended to approximate amortization/accretion using the yield method over the life of the security based on premium/discount present at purchase date.

(3) Interest Income – Inclusive of Premium Amortization/Discount Accretion and Yield on Average RMBS – Inclusive of Premium Amortization/Discount Accretion are non-GAAP measures. See “—GAAP and Non-GAAP Reconciliations,” for a description of our non-GAAP measures.

Expenses

For the six and three months ended June 30, 2025, the Company’s total operating expenses were approximately $9.2 million, and $5.0 million, respectively, compared to approximately $8.1 million and $4.4 million for the six and three months ended June 30, 2024. The table below presents a breakdown of operating expenses for the six and three months ended June 30, 2025 and 2024.

(in thousands)
		Six Months Ended June 30,												Three Months Ended June 30,
		2025				2024				Change				2025				2024				Change
Management fees		$	5,729			$	4,418			$	1,311			$	2,982			$	2,257			$	725
Allocated overhead			1,190				1,330				(140	)			582				732				(150	)
Incentive compensation			21				201				(180	)			228				290				(62	)
Directors fees and liability insurance			672				672				-				334				343				(9	)
Audit, legal and other professional fees			753				796				(43	)			360				320				40
Direct REIT operating expenses			474				348				126				247				178				69
Other administrative			383				353				30				263				260				3
Total expenses		$	9,222			$	8,118			$	1,104			$	4,996			$	4,380			$	616

As of December 31, 2024 and 2023, the Company had accrued a liability of $0.6 million for bonuses to be paid to the Manager's employees. During the six months ended June 30, 2025 and 2024, the Company awarded shares of Company common stock with a fair value of $0.2 million and $0.3 million, respectively. Accrued incentive compensation for the six months ended June 30, 2025 and 2024 includes a reversal of the over accrual of this liability.

We are 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, 2026 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.

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.

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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.

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.

The following table summarizes the management fee and overhead allocation expenses for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

($ in thousands)
		Average				Average				Advisory Services
		Orchid				Orchid				Management				Overhead
Three Months Ended		MBS				Equity				Fee				Allocation				Total
June 30, 2025		$	6,865,727			$	1,012,986			$	2,982			$	582			$	3,564
March 31, 2025			5,995,702				902,590				2,747				608				3,355
December 31, 2024			5,348,057				817,241				2,487				677				3,164
September 30, 2024			4,984,279				780,010				2,449				637				3,086
June 30, 2024			4,203,416				699,766				2,257				732				2,989
March 31, 2024			3,887,545				672,057				2,161				598				2,759
Six Months Ended
June 30, 2025		$	6,430,715			$	957,788			$	5,729			$	1,190			$	6,919
June 30, 2024			4,045,480				685,912				4,418				1,330				5,748

Financial Condition:

Mortgage-Backed Securities

As of June 30, 2025, our RMBS portfolio consisted of $7.0 billion of Agency RMBS at fair value and had a weighted average coupon on assets of 5.42%. During the six months ended June 30, 2025, we received principal repayments of $332.2 million, compared to $172.6 million for the six months ended June 30, 2024. The average three month prepayment speeds for the quarters ended June 30, 2025 and 2024 were 10.1% and 7.6%, respectively.

The following table presents the 3-month constant prepayment rate (“CPR”) experienced on our structured and PT RMBS sub-portfolios, on an annualized basis, for the quarterly periods presented. CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the CPR in the chart below represents the three month prepayment rate of the securities in the respective asset category.

						Structured
		PT RMBS				RMBS				Total
Three Months Ended		Portfolio (%)				Portfolio (%)				Portfolio (%)
June 30, 2025			10.1				6.3				10.1
March 31, 2025			7.8				4.5				7.8
December 31, 2024			10.6				7.0				10.5
September 30, 2024			8.8				6.4				8.8
June 30, 2024			7.6				7.1				7.6
March 31, 2024			6.0				5.9				6.0

The following tables summarize certain characteristics of the Company’s PT RMBS and structured RMBS as of June 30, 2025 and December 31, 2024:

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($ in thousands)
														Weighted
						Percentage								Average
						of				Weighted				Maturity
		Fair				Entire				Average				in			Longest
Asset Category		Value				Portfolio				Coupon				Months			Maturity
June 30, 2025
Fixed Rate RMBS		$	6,978,561				99.8	%			5.45	%			333		1-Jul-55
Interest-Only Securities			14,550				0.2	%			4.01	%			206		25-Jul-48
Inverse Interest-Only Securities			248				0.0	%			0.00	%			255		15-Jun-42
Total Mortgage Assets		$	6,993,359				100.0	%			5.42	%			331		1-Jul-55
December 31, 2024
Fixed Rate RMBS		$	5,237,812				99.7	%			5.03	%			330		1-Nov-54
Interest-Only Securities			15,308				0.3	%			4.01	%			212		25-Jul-48
Inverse Interest-Only Securities			190				0.0	%			0.00	%			261		15-Jun-42
Total Mortgage Assets		$	5,253,310				100.0	%			4.99	%			328		1-Nov-54

($ in thousands)
		June 30, 2025								December 31, 2024
						Percentage of								Percentage of
Agency		Fair Value				Entire Portfolio				Fair Value				Entire Portfolio
Fannie Mae		$	4,421,358				63.2	%		$	3,693,032				70.3	%
Freddie Mac			2,572,001				36.8	%			1,560,278				29.7	%
Total Portfolio		$	6,993,359				100.0	%		$	5,253,310				100.0	%

		June 30, 2025				December 31, 2024
Weighted Average Pass-through Purchase Price		$	102.38			$	102.45
Weighted Average Structured Purchase Price		$	18.74			$	18.74
Weighted Average Pass-through Current Price		$	99.98			$	96.44
Weighted Average Structured Current Price		$	14.65			$	14.38
Effective Duration (1)			3.271				4.200

(1) Effective duration is the approximate percentage change in price for a 100 bps change in rates. An effective duration of 3.271 indicates that an interest rate increase of 1.0% would be expected to cause a 3.271% decrease in the value of the RMBS in the Company’s investment portfolio at June 30, 2025. An effective duration of 4.200 indicates that an interest rate increase of 1.0% would be expected to cause a 4.200% decrease in the value of the RMBS in the Company’s investment portfolio at December 31, 2024. These figures include the structured securities in the portfolio, but do not include the effect of the Company’s funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

The following table presents a summary of portfolio assets acquired during the six months ended June 30, 2025 and 2024, including securities purchased during the period that settled after the end of the period, if any.

($ in thousands)
		2025												2024
		Total Cost				Average Price				Weighted Average Yield				Total Cost				Average Price				Weighted Average Yield
Pass-through RMBS		$	2,728,263			$	101.84				5.52	%		$	1,113,948			$	102.09				5.95	%

Borrowings

As of June 30, 2025, we had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with 24 of these counterparties. None of these lenders are affiliated with the Company. These borrowings are secured by the Company’s RMBS and cash, and bear interest at prevailing market rates. We believe our established repurchase agreement borrowing facilities provide borrowing capacity in excess of our needs.

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As of June 30, 2025, we had obligations outstanding under the repurchase agreements of approximately $6.7 billion with a net weighted average borrowing cost of 4.48%. The remaining maturity of our outstanding repurchase agreement obligations ranged from 8 to 136 days, with a weighted average remaining maturity of 35 days. Securing the repurchase agreement obligations as of June 30, 2025 are RMBS with an estimated fair value, including accrued interest, of approximately $7.0 billion, and cash pledged to counterparties of approximately $7.9 million. Through July 25, 2025, we have been able to maintain our repurchase facilities with comparable terms to those that existed at June 30, 2025, with maturities through November 13, 2025.

The table below presents information about our period end, maximum and average balances of borrowings for each quarter in 2025 to date and 2024.

($ in thousands)
														Difference Between Ending
		Ending				Maximum				Average				Borrowings and
		Balance of				Balance of				Balance of				Average Borrowings
Three Months Ended		Borrowings				Borrowings				Borrowings				Amount				Percent
June 30, 2025		$	6,655,879			$	6,655,879			$	6,537,260			$	118,619				1.81	%
March 31, 2025			6,418,641				6,453,905				5,722,092				696,549				12.17	%
December 31, 2024			5,025,543				5,230,871				5,128,207				(102,664	)			(2.00	)%
September 30, 2024			5,230,871				5,252,365				4,788,287				442,584				9.24	%
June 30, 2024			4,345,704				4,354,704				4,028,601				317,103				7.87	%
March 31, 2024			3,711,498				3,774,739				3,708,573				2,925				0.08	%

Leverage

We use two primary measures of leverage. Economic leverage is calculated by dividing the sum of total liabilities and our net notional TBA position, by stockholders' equity. We include our net TBA position in our calculation of economic leverage because a forward contract to purchase or sell an Agency RMBS in the TBA market carries similar risks to an Agency RMBS purchased or sold in the cash market and funded with repurchase agreement liabilities. Adjusted leverage is calculated by dividing our repurchase agreements by stockholders' equity. Our economic leverage as of June 30, 2025 was 7.3 to 1, compared to 7.3 to 1 as of December 31, 2024.  Our adjusted leverage as of June 30, 2025 was 7.3 to 1, compared to 7.5 to 1 as of December 31, 2024.  The following table presents information related to our historical leverage.

($ in thousands)
		Ending				Ending				Ending				Ending
		Repurchase				Total				Net TBA				Stockholders'				Adjusted		Economic
		Agreements				Liabilities				Positions				Equity				Leverage		Leverage
June 30, 2025		$	6,655,879			$	6,698,673			$	-			$	911,959			7.3:1		7.3:1
March 31, 2025			6,418,641				6,448,404				200,000				855,879			7.5:1		7.8:1
December 31, 2024			5,025,543				5,053,127				(150,000	)			668,500			7.5:1		7.3:1
September 30, 2024			5,230,871				5,260,469				(300,000	)			656,024			8.0:1		7.6:1
June 30, 2024			4,345,704				4,373,973				(400,000	)			555,932			7.8:1		7.1:1
March 31, 2024			3,711,498				3,733,031				(370,700	)			481,632			7.7:1		7.0:1

Liquidity and Capital Resources

Liquidity is our ability to turn non-cash assets into cash, purchase additional investments, repay principal and interest on borrowings, fund overhead, fulfill margin calls and pay dividends. We have both internal and external sources of liquidity. However, our material unused sources of liquidity include cash balances, unencumbered assets and our ability to sell encumbered assets to raise cash. Our balance sheet also generates liquidity on an on-going basis through payments of principal and interest we receive on our RMBS portfolio. Management believes that we currently have sufficient short-term and long-term liquidity and capital resources available for (a) the acquisition of additional investments consistent with the size and nature of our existing RMBS portfolio, (b) the repayments on borrowings and (c) the payment of dividends to the extent required for our continued qualification as a REIT. We may also generate liquidity from time to time by selling our equity or debt securities in public offerings or private placements.

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Internal Sources of Liquidity

Our internal sources of liquidity include our cash balances, unencumbered assets and our ability to liquidate our encumbered security holdings. Our balance sheet also generates liquidity on an on-going basis through payments of principal and interest we receive on our RMBS portfolio. Because our PT RMBS portfolio consists entirely of government and agency securities, we do not anticipate having difficulty converting our assets to cash should our liquidity needs ever exceed our immediately available sources of cash. Our structured RMBS portfolio also consists entirely of governmental agency securities, although they typically do not trade with comparable bid / ask spreads as PT RMBS. However, we anticipate that we would be able to liquidate such securities readily, even in distressed markets, although we would likely do so at prices below where such securities could be sold in a more stable market. To enhance our liquidity even further, we may pledge a portion of our structured RMBS as part of a repurchase agreement funding but retain the cash in lieu of acquiring additional assets. In this way we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash.

Our strategy for hedging our funding costs typically involves taking short positions in interest rate futures, interest rate swaps, interest rate swaptions or other instruments. When the market causes these short positions to decline in value we are required to meet margin calls with cash. This can reduce our liquidity position to the extent other securities in our portfolio move in price in such a way that we do not receive enough cash via margin calls to offset the derivative related margin calls. If this were to occur in sufficient magnitude, the loss of liquidity might force us to reduce the size of the levered portfolio, pledge additional structured securities to raise funds or risk operating the portfolio with less liquidity.

External Sources of Liquidity

Our primary external sources of liquidity are our ability to (i) borrow under master repurchase agreements, (ii) use the TBA security market and (iii) sell our equity or debt securities in public offerings or private placements. Our borrowing capacity will vary over time as the market value of our interest earning assets varies. 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. However, once a definitive repurchase agreement under a master repurchase agreement has been entered into, it generally may not be terminated by either party. A negotiated termination can occur but may involve a fee to be paid by the party seeking to terminate the repurchase agreement transaction.

Under our repurchase agreement funding arrangements, we are required to post margin at the initiation of the borrowing. The margin posted represents the haircut, which is a percentage of the market value of the collateral pledged. 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. Conversely, if the market value of the asset pledged increases in value, we would be over collateralized and we would be entitled to have excess margin returned to us by the counterparty. Our lenders typically value our pledged securities daily to ensure the adequacy of our margin and make margin calls as needed, as do we. Typically, but not always, the parties agree to a minimum threshold amount for margin calls so as to avoid the need for nuisance margin calls on a daily basis. Our master repurchase agreements do not specify the haircut; rather haircuts are determined on an individual repo transaction basis. Throughout the six months ended June 30, 2025, haircuts on our pledged collateral remained stable and as of June 30, 2025, our weighted average haircut was approximately 4.1% of the value of our collateral.

TBAs represent a form of off-balance sheet financing and are accounted for as derivative instruments. (See Note 5 to our Financial Statements in this Form 10-Q for additional details on our TBAs). Under certain market conditions, it may be uneconomical for us to roll our TBAs into future months and we may need to take or make physical delivery of the underlying securities. If we were required to take physical delivery to settle a long TBA, we would have to fund our total purchase commitment with cash or other financing sources and our liquidity position could be negatively impacted.

Our TBAs are also subject to margin requirements governed by the Mortgage-Backed Securities Division ("MBSD") of the FICC and by our Master Securities Forward Transaction Agreements (“MSFTAs”), which may establish margin levels in excess of the MBSD. Such provisions require that we establish an initial margin based on the notional value of the TBA, which is subject to increase if the estimated fair value of our TBAs or the estimated fair value of our pledged collateral declines. The MBSD has the sole discretion to determine the value of our TBAs and of the pledged collateral securing such contracts. In the event of a margin call, we must generally provide additional collateral on the same business day.

Settlement of our TBA obligations by taking delivery of the underlying securities as well as satisfying margin requirements could negatively impact our liquidity position. However, since we do not use TBA dollar roll transactions as our primary source of financing, we believe that we will have adequate sources of liquidity to meet such obligations.

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We invest a portion of our capital in structured Agency RMBS. We generally do not apply leverage to this portion of our portfolio. The leverage inherent in structured securities replaces the leverage obtained by acquiring PT securities and funding them in the repurchase market. This structured RMBS strategy has been a core element of the Company’s overall investment strategy since inception. However, we have and may continue to pledge a portion of our structured RMBS in order to raise our cash levels, but generally will not pledge these securities in order to acquire additional assets.

In future periods, we expect to continue to finance our activities in a manner that is consistent with our current operations through repurchase agreements. As of June 30, 2025, we had cash and cash equivalents of $440.8 million. We generated cash flows of $486.4 million from principal and interest payments on our RMBS and had average repurchase agreements outstanding of $6.1 billion during the six months ended June 30, 2025.

As described more fully below, we may also access liquidity by selling our equity or debt securities in public offerings or private placements.

Capital Expenditures

At June 30, 2025, we had no material commitments for capital expenditures.

Stockholders’ Equity

On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 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 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 24,675,497 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $228.8 million and net proceeds of approximately $225.0 million, after commissions and fees, prior to its termination in June 2024.

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 shares of the 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 may offer and sell, from time to time, up to an aggregate amount of $350,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. Through June 30, 2025, we issued a total of 34,355,086 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $265.4 million, and net proceeds of approximately $261.2 million, after commissions and fees. Subsequent to June 30, 2025, we issued a total of 162,498 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $1.2 million, and net proceeds of approximately $1.2 million, after commissions and fees.

Outlook

Economic Summary

The start of the second quarter of 2025 was extremely turbulent and re-set the trajectory for all domestic markets. The trigger event was the announcement of the list of what were termed “reciprocal” tariffs introduced by President Trump on April 2^nd, “Liberation Day.”  While the implementation of the reciprocal tariffs – the most significant in percentage terms - was paused for 90 days a week later on April 9^th, tariff-related developments remained the dominant driver of markets and the economic outlook.  The pause in implementation of the reciprocal tariffs was intended to allow time for the administration to negotiate and execute trade agreements with the various trading partners of the United States.  The deadline for finalizing such deals is not far off, and to date not many deals have been reached.  There remains considerable uncertainty in the market regarding what will happen when the pause period ends and there are countries that have yet to reach a deal with the U.S. In the interim, statements regarding the negotiations and potential additional tariffs made by the President and members of his cabinet have been frequent and generally impacted markets when they occurred. However, a sense of “headline fatigue” has settled over the markets and successive statements seem to have a diminishing impact. 

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Over the course of the quarter, the focus of the administration shifted from purely tariff-related matters to passage of the President’s highest legislative priority.  What became known as the One Big Beautiful Bill Act (“the Act”) was signed into law by the President on July 4^th.  The Act made permanent most of the tax legislation originally enacted in 2017 as part of the Tax Cuts and Jobs Act of 2017, with minor revisions.  Importantly, the Act is likely to be stimulative for the economy and not likely to reduce pressure on the fiscal deficit in the near term.  The fiscal deficit has been a growing concern for markets as funding needs continue to escalate, putting upward pressure on treasury yields.  Growing fiscal deficits are also a global issue, as most advanced economies in the world are similarly situated.

Economic developments during the second quarter continued to confound market participants, as the anticipated slowdown triggered by the tremendous uncertainty introduced by the administration’s tariffs has yet to appear.  To date, any meaningful impact on goods inflation resulting from the tariffs has yet to materialize as well, although the data for June, released in July, did show modest upward pressure on goods prices.  It is likely that the continued deficits run by the federal government, as they have since the Covid-19 outbreak, continue to buttress the economy and prevent a likely economic slowdown from occurring. The key metrics the Fed focuses on – namely, the jobs market and inflation data – continue to suggest there is no urgent need for them to ease monetary policy.  Job growth, while not robust, remains above the level considered adequate to hold the unemployment rate steady, which has occurred, and inflation data remains above the Fed’s target level with the ultimate impact of the tariffs likely yet to come. Public comments by the Fed chair and most – but not all – members of the FOMC reflect the notion it would be prudent for the Fed to continue to watch the incoming economic data before determining when and by how much to adjust policy. 

Interest Rates

Interest rate developments followed a similar pattern to the economic developments described above.  The initial reaction to the tariff announcement in early April was for the Treasury curve to steepen, as the front end of the curve moved lower in yield, consistent with anticipated interest rate cuts by the Fed as the economy slowed in response to the coming trade war.  Yields on longer maturity Treasuries initially moved lower as well but then quickly reversed and moved higher in anticipation of significantly higher inflation driven by the impact of the tariffs on goods prices.  There was also the fear that reserve status of the dollar and Treasuries might be imperiled, and the risk premium associated with owning Treasuries, particularly long-maturity securities, would increase.

Over the course of April, the yield of the 2-year Treasury declined from 3.885% on March 31, 2025, to 3.605% on April 30, 2025, the lowest yield for the year. The yield of the 10-year Treasury moved from 4.207% on March 31, 2025, to 3.997% on April 4^th, but then moved considerably higher, eventually to 4.601% in late May.  The spread between the 2-year and 10-year Treasuries increased from approximately 30 bps at the end of the first quarter of 2025 to approximately 50 bps by the end of April. It generally remained around 50 bps for the balance of the quarter.  At the end of April, market pricing for the Fed funds rate reflected over 4 cuts of 25 bps by the end of 2025.

Over the balance of the second quarter of 2025, Treasury yields remained volatile on a daily basis, responding to frequent public comments regarding tariffs and trade negotiations by the administration, but the spread between the 2-year and 10-year Treasuries remained fairly stable at around 50 bps.  The yields on the 2-year and 10-year Treasuries both traded in approximately 20 bps ranges individually but were highly correlated with one another over the same period. On the other hand, market pricing for the Fed Funds rate changed after April as the administration’s focus shifted towards the Act and the economic data failed to live up to market expectations.  Jobs and economic growth data remained fairly stable, and the inflation data did not reflect significant pressure from the tariffs. By the end of the second quarter, the market was only expecting a little over 2.5 twenty-five bps reductions of the Fed Funds rate.  The number of cuts continues to decline and current market pricing is for less than two cuts of 25 bps by year end.

The Agency RMBS Market 

The market turmoil associated with the introductions of the reciprocal tariffs was nearly as severe as the initial days of the Covid-19 outbreak.  Prices for any assets with risk associated with them were sold and levered investors were forced to sell to meet margin calls.  Agency MBS, given their typical high liquidity and minimal risk, were also sold as investors generally sold what they could in an effort to minimize realized losses.  This period lasted until the pause in implementation of the reciprocal tariffs was announced on April 9^th, but losses sustained across markets were substantial and the confidence in the status of the dollar and Treasuries was shaken.  Spreads on Agency RMBS to comparable duration Treasuries, and especially to comparable duration swaps, increased by over 30 bps in early April and came withing approximately 10 bps of the extremes seen at the end of the Fed’s 525 bps tightening cycle in late 2023. Spreads to swaps have not recovered much of the widening since early April and are only approximately 15 bps lower currently. As the market anticipates continued elevated levels of Treasury issuance going forward, and the government runs fiscal deficits at or near $2 trillion per year, swap rates have continued to decline relative to nominal Treasury yields. As a result, swap spreads have become progressively more negative, and spreads of Agency RMBS to swaps have increased.  Swaps are a primary instrument used by the Company to hedge, and while this development has hurt the performance of our hedges and portfolio over the course of the second quarter, it has increased the potential returns associated with investing in new Agency RMBS.

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The Agency RMBS index generated a return for the second quarter of 1.1% and a return of -0.3% versus comparable duration swaps, as compared to 1.8% and 0.5%, respectively for these measures, for the investment grade corporate index, and 3.6% and 2.0%, respectively for these measures, for high yield debt.  Total returns for U.S. Treasury securities and most sectors of the fixed income markets generated positive total returns for the quarter, although excess returns, aside from Treasuries, versus comparable duration swaps were mixed.

Within Agency RMBS for the second quarter of 2025, conventional 30-year mortgages generated a total return of 1.0%, 15-year mortgages generated a total return of 1.8% and Ginnie Mae 30-year mortgages generated a total return of 1.1%.  Versus comparable duration swaps the returns were -0.3%, 0.3% and -0.3% for 30-year conventional, 15-year conventional and Ginnie Mae 30-year mortgages, respectively.  The Company invests predominantly in 30-year conventional mortgages.  Returns with the 30-year stack of coupons were correlated with the duration of the respective securities, as lower coupon, longer duration bonds generated the lowest total returns and the highest coupon – 7.0% - generated the highest total returns.  The range for the lower portion of the coupon stack was 0.0% to 1.4% (for coupons up to 4.5%) and 1.4% to 1.9% for higher coupons.  Excess returns versus comparable duration swaps were inversely related to coupons, as the higher coupons generated excess returns as high as 0.7% but excess returns for lower coupons were generally between -0.8% and -0.1%.

Recent Legislative and Regulatory Developments

In response to the deterioration in the markets for U.S. Treasuries, Agency RMBS and other mortgage and fixed income markets resulting from the impacts of the COVID-19 pandemic, the Fed implemented a program of quantitative easing. Through November of 2021, the Fed was committed to purchasing $80 billion of U.S. Treasuries and $40 billion of Agency RMBS each month. In November of 2021, it began tapering its net asset purchases each month, ended net asset purchases by early March of 2022, and ended asset purchases entirely in September of 2022. On May 4, 2022, the FOMC announced a plan for reducing the Fed’s balance sheet. In June of 2022, in accordance with this plan, the Fed began reducing its balance sheet by a maximum of $30 billion of U.S. Treasuries and $17.5 billion of Agency RMBS each month. On September 21, 2022, the FOMC announced the Fed’s decision to continue reducing its balance sheet by a maximum of $60 billion of U.S. Treasuries and $35 billion of Agency RMBS per month. On May 1, 2024, the FOMC announced the Fed’s decision to reduce its balance sheet by a maximum of $25 billion of U.S. Treasury securities and remove the cap on Agency RMBS reduction, with any amounts in excess of $35 billion per month being reinvested in U.S. Treasury securities.  On March 19, 2025, the FOMC announced the Fed's decision to reduce its balance sheet by a maximum of $5 billion of U.S. Treasury securities beginning April 1, 2025. Relatively high interest rates and slow prepayment speeds have kept the balance sheet reduction for Agency RMBS below $20 billion per month throughout 2024 and the second quarter of 2025.  As of June 30, 2025, the Fed had reduced its balance sheet for Agency RMBS by approximately $602 billion from the peak to $2.2 trillion, shedding approximately 44% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since March 2021.

On September 14, 2021, the U.S. Treasury and the FHFA suspended certain policy provisions in the Enterprise capital framework established in December 2020, including limits on loans acquired for cash consideration, multifamily loans, loans with higher risk characteristics and second homes and investment properties (the "September 2021 Provisions"). Effective April 26, 2022, the FHFA further amended this framework by, among other things, replacing the fixed leverage buffer equal to 1.5% of an Enterprise’s adjusted total assets with a dynamic leverage buffer equal to 50% of an Enterprise’s stability capital buffer, reducing the risk weight floor from 10% to 5%, and removing the requirement that the Enterprises must apply an overall effectiveness adjustment to their credit risk transfer exposures. On June 14, 2022, the Enterprises announced that they would each charge a 50 bps fee for commingled securities issued on or after July 1, 2022 to cover the additional capital required for such securities under the Enterprise capital framework, which was subsequently reduced on January 19, 2023 to 9.375 bps for commingled securities issued on or after April 1, 2023 to address industry concern that the fee posed a risk to the fungibility of the Uniform Mortgage-Backed Security and negatively impacted liquidity and pricing in the market for TBA securities. On November 30, 2023, the FHFA published a final rule, which became effective April 1, 2024, which reduced the risk weight and credit conversion factor for guarantees on commingled securities to 5% and 50%, respectively; replaced the current exposure methodology with the standardized approach for counterparty credit risk as the method for computing exposure and risk-weighted asset amounts for derivatives and cleared transactions; updated the credit score assumption to 680 for single-family mortgage exposures originated without a representative credit score; and introduced a risk weight of 20% for guarantee assets. On January 2, 2025, the U.S. Treasury and FHFA entered into a letter agreement deleting the September 2021 Provisions entirely, as well as providing additional guidance on the process for a potential end to the conservatorship of the Enterprises. In March 2025, the Trump administration's nominee for FHFA director, Bill Pulte, was confirmed and replaced 14 board members at the Enterprises. Although this led to some speculation in the market regarding an end to conservatorship, the new FHFA director signaled a more cautious approach, stating that significant study on the impact to mortgage rates would need to be done prior to any privatization of the Enterprises.

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On July 27, 2023, the federal banking regulators, including the Office of the Comptroller of the Currency, (the "OCC") the FDIC and the Fed, jointly issued a proposed rule that would revise large bank capital requirements (the "Basel III Endgame").  The Basel III Endgame, if implemented as originally proposed, would significantly increase the credit weight risk for balance-sheet mortgages and for Agency RMBS sold to the GSEs, which could disincentivize banks from originating mortgages for sale to the GSEs and impact pricing in the Agency RMBS markets.  The comment period for the Basel III Endgame closed on January 16, 2024, and the proposed rule was met with strong objections from the banking industry. While implementation of the Basel III Endgame has since stalled, Fed chairman Jerome Powell testified before the U.S. Senate Committee on Banking, Housing and Urban Affairs in June 2025 that the Fed was making a “fresh start” in reworking the Basel III Endgame. On June 27, 2025, the Fed, OCC and FDIC jointly issued a proposed rule to revise the enhanced supplementary leverage ratio for globally systemically important bank holding companies (“GSIBs”), with comments open to the public until August 26, 2025. The proposed rule seeks to promote effective GSIB capital management and remove disincentives for banks to engage in low-risk activities, particularly in the U.S. Treasury market. This shift is expected to free up significant capital, allowing GSIBs greater discretion in asset allocation and potentially fostering increased lending and economic activity.

The scope and nature of the actions the U.S. government or the Fed will ultimately undertake are unknown and will continue to evolve.

Effect on Us

Regulatory developments, movements in interest rates and prepayment rates affect us in many ways, including the following:

Effects on our Assets

A change in or elimination of the guarantee structure of Agency RMBS may increase our costs (if, for example, guarantee fees increase) or require us to change our investment strategy altogether. For example, the elimination of the guarantee structure of Agency RMBS may cause us to change our investment strategy to focus on non-Agency RMBS, which in turn would require us to significantly increase our monitoring of the credit risks of our investments in addition to interest rate and prepayment risks.

If prepayment rates are relatively low (due, in part, to the refinancing problems described above), lower long-term interest rates can increase the value of our Agency RMBS. This is because investors typically place a premium on assets with coupon/yields that are higher than coupon/yields available in the market. To the extent such securities pre-pay slower than would otherwise be the case, we benefit from an above market coupon/yield for longer, enhancing the return from the security. Although lower long-term interest rates may increase asset values in our portfolio, we may not be able to invest new funds in similarly yielding assets.

If prepayment levels increase, the value of any of our Agency RMBS that are carried at a premium to par that are affected by such prepayments may decline. This is because a principal prepayment accelerates the effective term of an Agency RMBS, which would shorten the period during which an investor would receive above-market returns (assuming the yield on the prepaid asset is higher than market yields). Also, prepayment proceeds may not be able to be reinvested in similar-yielding assets. Agency RMBS backed by mortgages with high interest rates are more susceptible to prepayment risk because holders of those mortgages are most likely to refinance to a lower rate. If prepayment levels decrease, the value of any of our Agency RMBS that are carried at a discount to par that are affected by such prepayments may increase. This is because a principal prepayment accelerates the effective term of an Agency RMBS, which would shorten the timeframe over which an investor would receive the principal of the underlying loans. Agency RMBS backed by mortgages with low interest rates are less susceptible to prepayment risk because holders of those mortgages are less likely to refinance to a higher rate. IOs and IIOs, however, may be the types of Agency RMBS most sensitive to increased prepayment rates. Because the holder of an IO or IIO receives no principal payments, the values of IOs and IIOs are entirely dependent on the existence of a principal balance on the underlying mortgages. If the principal balance is eliminated due to prepayment, IOs and IIOs essentially become worthless. Although increased prepayment rates can negatively affect the value of our IOs and IIOs, they have the opposite effect on POs. Because POs act like zero-coupon bonds, meaning they are purchased at a discount to their par value and have an effective interest rate based on the discount and the term of the underlying loan, an increase in prepayment rates would reduce the effective term of our POs and accelerate the yields earned on those assets, which would increase our net income.

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Higher long-term rates can also affect the value of our Agency RMBS.  As long-term rates rise, rates available to borrowers also rise.  This tends to cause prepayment activity to slow and extend the expected average life of mortgage cash flows.  As the expected average life of the mortgage cash flows increases, coupled with higher discount rates, the value of Agency RMBS declines.  Some of the instruments we use to hedge our Agency RMBS assets, such as interest rate futures, swaps and swaptions, are stable average life instruments.  This means that to the extent we use such instruments to hedge our Agency RMBS assets, our hedges may not adequately protect us from price declines, and therefore may negatively impact our book value.  It is for this reason we use interest only securities in our portfolio. As interest rates rise, the expected average life of these securities increases, causing generally positive price movements as the number and size of the cash flows increase the longer the underlying mortgages remain outstanding. This makes interest only securities desirable hedge instruments for pass-through Agency RMBS.

Because we base our investment decisions on risk management principles rather than anticipated movements in interest rates, in a volatile interest rate environment we may allocate more capital to structured Agency RMBS with shorter durations. We believe these securities have a lower sensitivity to changes in long-term interest rates than other asset classes. We may attempt to mitigate our exposure to changes in long-term interest rates by investing in IOs and IIOs, which typically have different sensitivities to changes in long-term interest rates than PT RMBS, particularly PT RMBS backed by fixed-rate mortgages.

Effects on our borrowing costs

We leverage our PT RMBS portfolio and a portion of our structured Agency RMBS with principal balances through the use of short-term repurchase agreement transactions. The interest rates on our debt are determined by the short term interest rate markets. Increases in the Fed Funds rate or SOFR typically increase our borrowing costs, which could affect our interest rate spread if there is no corresponding increase in the interest we earn on our assets. The impact of these increases would be most prevalent with respect to our Agency RMBS backed by fixed rate mortgage loans because the interest rate on a fixed-rate mortgage loan does not change even though market rates may change.

In order to protect our net interest margin against increases in short-term interest rates, we may enter into interest rate swaps, which economically convert our floating-rate repurchase agreement debt to fixed-rate debt or utilize other hedging instruments such as Fed Funds, SOFR and T-Note futures contracts, dual digital options or interest rate swaptions.

Summary

The second quarter of 2025 was a very turbulent period for financial markets, with two large catalysts driving the volatility. The initial shock, and clearly the larger of the two, was reciprocal tariffs announced by the Trump administration against essentially every trading partner of the United States. This announcement was expected, but the magnitude of the tariffs greatly exceeded market expectations. After the announcement, market conditions resembled those following the outbreak of Covid-19, if only slightly less severe. A week later, the administration announced a pause in implementation of the tariffs for 90 days and markets slowly recovered some semblance of stability. The markets expected a slowdown in economic activity and accelerated inflation as trade wars unfolded. The Fed was expected to be forced to lower rates by 100 bps or more by year end and the Treasury curve steepened. While market conditions remained volatile for the balance of the quarter, the market slowly grew less affected by subsequent developments on the tariff front and most risk assets recovered fully, to a large extent driven by the second catalyst. 

The second catalyst emerged as the administration’s focus shifted to their highest legislative objective, the Act. The beneficial impact of the Act on the economy drove expectations as the market became somewhat immunized to tariff developments, especially as the feared surge in inflation failed to materialize, at least to date. In conjunction with this shift in market perception, the incoming economic data proved resilient and expectations for Fed rate cuts continued to subside and get pushed further into the future. Notably for the Company, while risk assets generally recovered from the severe turmoil early in the second quarter, the Agency RMBS sector did not fully recover, as least versus comparable duration hedges, resulting in negative excess returns for the quarter. 

As the third quarter unfolds, the trend of strong risk asset performance and resilient economic data continues. The inflation data has begun to show some impact from the tariffs, but the economy appears sufficiently resilient to absorb them, certainly benefiting from continued fiscal stimulus (large fiscal deficits), the unfolding benefits of artificial intelligence, progress on trade negotiations, and a very pro-business administration as evidenced by the Act. The Agency RMBS market continues to languish, although returns available in the market remain elevated. The Company has significantly increased its capital base year-to-date to take advantage of these favorable investment opportunities, while maintaining leverage levels below historical levels.

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Critical Accounting Estimates

Our condensed financial statements are prepared in accordance with GAAP. GAAP requires our management to make some complex and subjective decisions and assessments. Our most critical accounting estimates involve decisions and assessments which could significantly affect reported assets, liabilities, revenues and expenses. There have been no changes to our critical accounting estimates as discussed in our annual report on Form 10-K for the year ended December 31, 2024.

Dividends

In addition to other requirements that must be satisfied to continue to qualify as a REIT, we must pay annual dividends to our stockholders of at least 90% of our REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gains. REIT taxable income (loss) is computed in accordance with the Code and can be greater than or less than our financial statement net income (loss) computed in accordance with GAAP. These book to tax differences primarily relate to the recognition of interest income on RMBS, unrealized gains and losses on RMBS, and the amortization of losses on derivative instruments that are treated as funding hedges for tax purposes.

We intend to pay regular monthly dividends to our stockholders and have declared the following dividends since the completion of our IPO.

(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 - YTD(1)			0.840				93,603
Totals		$	68.730			$	798,509

(1) On July 9, 2025, the Company declared a dividend of $0.12 per share to be paid on August 28, 2025. The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of June 30, 2025.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Market risk is the exposure to loss resulting from changes in market factors such as interest rates, foreign currency exchange rates, commodity prices and equity prices. The primary market risks that we are exposed to are interest rate risk, prepayment risk, spread risk, liquidity risk, extension risk and counterparty credit risk.

Interest Rate Risk

Interest rate risk is highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control.

Changes in the general level of interest rates can affect our net interest income, which is the difference between the interest income earned on interest-earning assets and the interest expense incurred in connection with our interest-bearing liabilities, by affecting the spread between our interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates can also affect the rate of prepayments of our securities and the value of the RMBS that constitute our investment portfolio, which affects our net income, ability to realize gains from the sale of these assets and ability to borrow, and the amount that we can borrow against these securities.

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We may utilize a variety of financial instruments in order to limit the effects of changes in interest rates on our operations. The principal instruments that we use are futures contracts, dual digital options, interest rate swaps and swaptions, and interest rate floors and caps. These instruments are intended to serve as an economic hedge against future interest rate increases on our repurchase agreement borrowings. Hedging techniques are partly based on assumed levels of prepayments of our Agency RMBS. If prepayments are slower or faster than assumed, the life of the Agency RMBS will be longer or shorter, which would reduce the effectiveness of any hedging strategies we may use and may cause losses on such transactions. Hedging strategies involving the use of derivative securities are highly complex and may produce volatile returns. Hedging techniques are also limited by the rules relating to REIT qualification. In order to preserve our REIT status, we may be forced to terminate a hedging transaction at a time when the transaction is most needed.

Our profitability and the value of our investment portfolio (including derivatives used for hedging purposes) may be adversely affected during any period as a result of changing interest rates, including changes in the forward yield curve.

Our portfolio of PT RMBS is typically comprised of fixed-rate RMBS, adjustable-rate RMBS (“ARMs”) and hybrid adjustable-rate RMBS. We generally seek to acquire low duration assets that offer high levels of protection from mortgage prepayments provided that they are reasonably priced by the market. Although the duration of an individual asset can change as a result of changes in interest rates, we strive to maintain a hedged PT RMBS portfolio with an effective duration of less than 2.0. The stated contractual final maturity of the mortgage loans underlying our portfolio of PT RMBS generally ranges up to 30 years. However, the effect of prepayments of the underlying mortgage loans tends to shorten the resulting cash flows from our investments substantially. Prepayments occur for various reasons, including refinancing of underlying mortgages and loan payoffs in connection with home sales, and borrowers paying more than their scheduled loan payments, which accelerates the amortization of the loans.

The duration of our IO and IIO portfolios will vary greatly depending on the structural features of the securities. While prepayment activity will always affect the cash flows associated with the securities, the interest only nature of IOs may cause their durations to become extremely negative when prepayments are high, and less negative when prepayments are low. Prepayments affect the durations of IIOs similarly, but the floating rate nature of the coupon of IIOs (which is inversely related to the level of one month SOFR) causes their price movements, and model duration, to be affected by changes in both prepayments and one month SOFR, both current and anticipated levels. As a result, the duration of IIO securities will also vary greatly.

Prepayments on the loans underlying our RMBS can alter the timing of the cash flows from the underlying loans to us. As a result, we gauge the interest rate sensitivity of our assets by measuring their effective duration. While modified duration measures the price sensitivity of a bond to movements in interest rates, effective duration captures both the movement in interest rates and the fact that cash flows to a mortgage related security are altered when interest rates move. Accordingly, when the contract interest rate on a mortgage loan is substantially above prevailing interest rates in the market, the effective duration of securities collateralized by such loans can be quite low because of expected prepayments.

We face the risk that the market value of our PT RMBS assets will increase or decrease at different rates than that of our structured RMBS or liabilities, including our hedging instruments. Accordingly, we assess our interest rate risk by estimating the duration of our assets and the duration of our liabilities. We generally calculate duration using various third party models. However, empirical results and various third party models may produce different duration numbers for the same securities.

The following sensitivity analysis shows the estimated impact on the fair value of our interest rate-sensitive investments and hedge positions as of June 30, 2025 and December 31, 2024, assuming rates instantaneously fall 200 bps, fall 100 bps, fall 50 bps, rise 50 bps, rise 100 bps and rise 200 bps, adjusted to reflect the impact of convexity, which is the measure of the sensitivity of our hedge positions and Agency RMBS’ effective duration to movements in interest rates. We have a negatively convex asset profile and a linear to slightly positively convex hedge portfolio (short positions). It is common for us to have losses in both directions.

All changes in value in the table below are measured as percentage changes from the investment portfolio value and net asset value at the base interest rate scenario. The base interest rate scenario assumes interest rates and prepayment projections as of June 30, 2025 and December 31, 2024.

Actual results could differ materially from estimates, especially in the current market environment. To the extent that these estimates or other assumptions do not hold true, which is likely in a period of high price volatility, actual results will likely differ materially from projections and could be larger or smaller than the estimates in the table below. Moreover, if different models were employed in the analysis, materially different projections could result. Lastly, while the table below reflects the estimated impact of interest rate increases and decreases on a static portfolio, we may from time to time sell any of our agency securities as a part of the overall management of our investment portfolio.

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Interest Rate Sensitivity(1)
		Portfolio
		Market				Book
Change in Interest Rate		Value(2)(3)				Value(2)(4)
As of June 30, 2025
-200 Basis Points			(3.06	)%			(23.47	)%
-100 Basis Points			(0.94	)%			(7.22	)%
-50 Basis Points			(0.31	)%			(2.38	)%
+50 Basis Points			(0.03	)%			(0.23	)%
+100 Basis Points			(0.38	)%			(2.92	)%
+200 Basis Points			(1.85	)%			(14.20	)%
As of December 31, 2024
-200 Basis Points			(1.20	)%			(9.41	)%
-100 Basis Points			(0.06	)%			(0.43	)%
-50 Basis Points			0.10	%			0.80	%
+50 Basis Points			(0.35	)%			(2.75	)%
+100 Basis Points			(0.93	)%			(7.31	)%
+200 Basis Points			(2.67	)%			(20.99	)%

(1) Interest rate sensitivity is derived from models that are dependent on inputs and assumptions provided by third parties as well as by our Manager and assumes there are no changes in mortgage spreads and assumes a static portfolio. Actual results could differ materially from these estimates.

(2) Includes the effect of derivatives and other securities used for hedging purposes.

(3) Estimated dollar change in investment portfolio value expressed as a percent of the total fair value of our investment portfolio as of such date.

(4) Estimated dollar change in portfolio value expressed as a percent of stockholders' equity as of such date.

In addition to changes in interest rates, other factors impact the fair value of our interest rate-sensitive investments, such as the shape of the yield curve, market expectations as to future interest rate changes and other market conditions. Accordingly, in the event of changes in actual interest rates, the change in the fair value of our assets would likely differ from that shown above and such difference might be material and adverse to our stockholders.

Prepayment Risk

Because residential borrowers have the option to prepay their mortgage loans at par at any time, we face the risk that we will experience a return of principal on our investments faster than anticipated. Various factors affect the rate at which mortgage prepayments occur, including changes in the level of and directional trends in housing prices, interest rates, general economic conditions, loan age and size, loan-to-value ratio, the location of the property and social and demographic conditions. Additionally, changes to government sponsored entity underwriting practices or other governmental programs could also significantly impact prepayment rates or expectations. Generally, prepayments on Agency RMBS increase during periods of falling mortgage interest rates and decrease during periods of rising mortgage interest rates. However, this may not always be the case. We may reinvest principal repayments at a yield that is lower or higher than the yield on the repaid investment, thus affecting our net interest income by altering the average yield on our assets.

Spread Risk

When the market spread widens between the yield on our Agency RMBS and benchmark interest rates, our net book value could decline if the value of our Agency RMBS falls by more than the offsetting fair value increases on our hedging instruments tied to the underlying benchmark interest rates. We refer to this as "spread risk" or "basis risk." The spread risk associated with our mortgage assets and the resulting fluctuations in fair value of these securities can occur independent of changes in benchmark interest rates and may relate to other factors impacting the mortgage and fixed income markets, such as actual or anticipated monetary policy actions by the Fed, market liquidity, or changes in required rates of return on different assets. Consequently, while we use futures contracts, dual digital options, interest rate swaps and swaptions, and interest rate caps and floors to attempt to protect against moves in interest rates, such instruments typically will not protect our net book value against spread risk.

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Liquidity Risk

The primary liquidity risk for us arises from financing long-term assets with shorter-term borrowings through repurchase agreements. Our assets that are pledged to secure repurchase agreements are Agency RMBS and cash. As of June 30, 2025, we had unrestricted cash and cash equivalents of $440.8 million and unpledged securities of approximately $51.7 million (not including unsettled securities purchases or securities pledged to us) available to meet margin calls on our repurchase agreements and derivative contracts, and for other corporate purposes. However, should the value of our Agency RMBS pledged as collateral or the value of our derivative instruments suddenly decrease, margin calls relating to our repurchase and derivative agreements could increase, causing an adverse change in our liquidity position. Further, there is no assurance that we will always be able to renew (or roll) our repurchase agreements. In addition, our counterparties have the option to increase our haircuts (margin requirements) on the assets we pledge against repurchase agreements, thereby reducing the amount that can be borrowed against an asset even if they agree to renew or roll the repurchase agreement. Significantly higher haircuts can reduce our ability to leverage our portfolio or even force us to sell assets, especially if correlated with asset price declines or faster prepayment rates on our assets.

Extension Risk

The projected weighted average life and the duration (or interest rate sensitivity) of our investments is based on our Manager's assumptions regarding the rate at which the borrowers will prepay the underlying mortgage loans. In general, we use futures contracts, dual digital options and interest rate swaps and swaptions to help manage our funding cost on our investments in the event that interest rates rise. These hedging instruments allow us to reduce our funding exposure on the notional amount of the instrument for a specified period of time.

However, if prepayment rates decrease in a rising interest rate environment, the average life or duration of our fixed-rate assets or the fixed-rate portion of the ARMs or other assets generally extends. This could have a negative impact on our results from operations, as our hedging instrument expirations are fixed and will, therefore, cover a smaller percentage of our funding exposure on our mortgage assets to the extent that their average lives increase due to slower prepayments. This situation may also cause the market value of our Agency RMBS and CMOs collateralized by fixed rate mortgages or hybrid ARMs to decline by more than otherwise would be the case while most of our hedging instruments would not receive any incremental offsetting gains. In extreme situations, we may be forced to sell assets to maintain adequate liquidity, which could cause us to incur realized losses.

Counterparty Credit Risk

We are exposed to counterparty credit risk relating to potential losses that could be recognized in the event that the counterparties to our repurchase agreements and derivative contracts fail to perform their obligations under such agreements. The amount of assets we pledge as collateral in accordance with our agreements varies over time based on the market value and notional amount of such assets as well as the value of our derivative contracts. In the event of a default by a counterparty, we may not receive payments provided for under the terms of our agreements and may have difficulty obtaining our assets pledged as collateral under such agreements. Our credit risk related to certain derivative transactions is largely mitigated through daily adjustments to collateral pledged based on changes in market value and we limit our counterparties to registered central clearing exchanges and major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting collateral posted as required. However, there is no guarantee our efforts to manage counterparty credit risk will be successful and we could suffer significant losses if unsuccessful.

ITEM 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

As of the end of the period covered by this report (the “evaluation date”), we carried out an evaluation, under the supervision and with the participation of our management, including our Chief Executive Officer (the “CEO”) and Chief Financial Officer (the “CFO”), of the effectiveness of the design and operation of our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act. Based on this evaluation, the CEO and CFO concluded our disclosure controls and procedures, as designed and implemented, were effective as of the evaluation date (1) in ensuring that information regarding the Company is accumulated and communicated to our management, including our CEO and CFO, by our Manager's employees, as appropriate to allow timely decisions regarding required disclosure and (2) in providing reasonable assurance that information we must disclose in our periodic reports under the Exchange Act is recorded, processed, summarized and reported within the time periods prescribed by the SEC’s rules and forms.

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Changes in Internal Control over Financial Reporting

There were no significant changes in the Company’s internal control over financial reporting that occurred during the Company’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

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PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

We are not party to any material pending legal proceedings as described in Item 103 of Regulation S-K.

ITEM 1A. RISK FACTORS

A description of certain factors that may affect our future results and risk factors is set forth in our Annual Report on Form 10-K for the year ended December 31, 2024. As of June 30, 2025, there have been no material changes in our risk factors from those set forth in our Annual Report on Form 10-K for the year ended December 31, 2024.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

The Company did not have any unregistered sales of its equity securities during the three months ended June 30, 2025.

The table below presents the Company’s share repurchase activity for the three months ended June 30, 2025.

		Total Number								Shares Purchased				Maximum Number
		of Shares of				Weighted-Average				as Part of Publicly				of Shares That May Yet
		Common Stock				Price Paid				Announced				Be Repurchased Under
		Repurchased(1)				Per Share				Programs				the Authorization
April 1, 2025 - April 30, 2025			1,113,224			$	6.52				1,113,224				2,719,137
May 1, 2025 - May 31, 2025			-				-				-				2,719,137
June 1, 2025 - June 30, 2025			2,786				7.01				-				2,719,137
Totals / Weighted Average			1,116,010			$	6.52				1,113,224				2,719,137

(1) Includes 2,786 shares of the Company’s common stock acquired by the Company in connection with the satisfaction of tax withholding obligations on vested employment related awards under equity incentive plans. These repurchases do not reduce the number of shares available under the stock repurchase program authorization.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

Trading Arrangements

During the quarter ended June 30, 2025, none of the Company’s directors or officers (as defined in Rule 16a-1(f) under the Exchange Act) adopted, modified or terminated a Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement (as each term is defined in Item 408 of Regulation S-K).

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ITEM 6. EXHIBITS

Exhibit No.

3.1	Articles of Amendment and Restatement of Orchid Island Capital, Inc. (filed as Exhibit 3.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-184538) filed on November 28, 2012 and incorporated herein by reference).
3.2	Certificate of Correction of Orchid Island Capital, Inc. (filed as Exhibit 3.2 to the Company’s Annual Report on Form 10-K filed on February 22, 2019 and incorporated herein by reference).
3.3	Articles of Amendment to the Articles of Amendment and Restatement of the Company (filed as Exhibit 3.1 to the Company’s Current Report on Form 8-K filed on August 30, 2022 and incorporated herein by reference).
3.4	Articles of Amendment to the Articles of Amendment and Restatement of the Company (filed as Exhibit 3.1 to the Company’s Current Report on Form 8-K filed on February 14, 2025 and incorporated herein by reference).
3.5	Amended and Restated Bylaws of Orchid Island Capital, Inc. (filed as Exhibit 3.1 to the Company’s Current Report on Form 8-K filed on December 13, 2022 and incorporated herein by reference).
4.1	Specimen Certificate of common stock of Orchid Island Capital, Inc. (filed as Exhibit 4.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-184538) filed on November 28, 2012 and incorporated herein by reference).
31.1	Certification of Robert E. Cauley, Chief Executive Officer and President of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
31.2	Certification of George H. Haas, IV, Chief Financial Officer of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
32.1	Certification of Robert E. Cauley, Chief Executive Officer and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
32.2	Certification of George H. Haas, IV, Chief Financial Officer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**

Exhibit 101.INS	Inline XBRL Instance Document – the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.***
Exhibit 101.SCH	Inline XBRL Taxonomy Extension Schema Document ***
Exhibit 101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document***
Exhibit 101.DEF	Inline XBRL Additional Taxonomy Extension Definition Linkbase Document Created***
Exhibit 101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document ***
Exhibit 101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document ***
Exhibit 104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)

* Filed herewith.

** Furnished herewith.

*** Submitted electronically herewith.

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Signatures

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

			Orchid Island Capital, Inc.
			Registrant
Date:          July 25, 2025		By:	/s/ Robert E. Cauley
			Robert E. Cauley Chief Executive Officer, President and Chairman of the Board (Principal Executive Officer)
Date:           July 25, 2025		By:	/s/ George H. Haas, IV
			George H. Haas, IV Secretary, Chief Financial Officer, Chief Investment Officer and Director (Principal Financial and Accounting Officer)

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FAQ

What was ScanTech AI Systems' revenue in Q1 2025?

STAI reported $365,471 in revenue, its first recorded sales (none in Q1 2024).

How large is STAI's net loss for the quarter?

Net loss totaled $2.69 million ($0.12 per share), versus $18.44 million a year earlier.

How much debt was converted to equity during the SPAC merger?

Approximately $104 million of debt, warrants and derivatives were exchanged for 6.7 million shares.

What is STAI's cash position after the quarter?

Cash rose to $771,171 as of 31 Mar 2025, up from $22,317 at year-end.

Does the filing raise a going-concern warning?

Yes. Management states there is substantial doubt about the company’s ability to continue for 12 months without new funding.

How many common shares are outstanding?

There were 25.6 million shares at 31 Mar 2025 and 48.3 million at 15 Jul 2025.