Orchid Island Capital, Inc.

EX-99.1 · ex_973761.htm

EX-99.1
 2
 ex_973761.htm
 EXHIBIT 99.1

 Exhibit 99.1

 ORCHID ISLAND CAPITAL ANNOUNCES

 JUNE 2026 MONTHLY DIVIDEND AND

 MAY 31, 2026 RMBS PORTFOLIO CHARACTERISTICS

 ●

 June 2026 Monthly Dividend of $ 0.10 Per Share of Common Stock

 ●

 RMBS Portfolio Characteristics as of May 31, 2026

 ●

 Next Dividend Announcement Expected July 8, 2026

 Vero Beach, Fla., June 9, 2026 - Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of June 2026 . The dividend of $ 0.10 per share will be paid July 30, 2026 to holders of record of the Company’s common stock on June 30, 2026 , with an ex-dividend date of June 30, 2026 . The Company plans on announcing its next common stock dividend on July 8, 2026 .

 The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

 As of June 9, 2026 and May 31, 2026 , the Company had 200,700,226 shares of common stock outstanding. As of March 31, 2026 , the Company had 196,700,226 shares of common stock outstanding.

 RMBS Portfolio Characteristics

 Details of the RMBS portfolio as of May 31, 2026 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

 ●

 RMBS Valuation Characteristics

 ●

 RMBS Assets by Agency

 ●

 Investment Company Act of 1940 (Whole Pool) Test Results

 ●

 Repurchase Agreement Exposure by Counterparty

 ●

 RMBS Risk Measures

 About Orchid Island Capital, Inc.

 Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in 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 and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

 Forward-Looking Statements

 This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2025.

 RMBS Valuation Characteristics

 ($ in thousands)

 Realized

 Realized

 Mar-26 -

 May-26

 May-26

 Net

 Weighted

 CPR

 CPR

 Weighted

 Average

 (1-Month)

 (3-Month)

 Modeled Interest

 Current

 Fair

 % of

 Current

 Average

 Maturity

 (Reported

 (Reported

 Rate Sensitivity (1)

 Type

 Face

 Value

 Portfolio

 Price

 Coupon

 GWAC

 Age

 (Months)

 in Jun)

 in Jun)

 (-50 BPS)

 (+50 BPS)

 Fixed Rate RMBS

 30yr 3.0

 $
 318,536

 $
 282,755

 2.52
 %

 88.77

 3.00
 %

 3.52
 %

 61

 292

 7.4
 %

 6.9
 %

 $
 8,512

 $
 (8,623
 )

 30yr 3.5

 37,510

 34,253

 0.31
 %

 91.32

 3.50
 %

 4.30
 %

 80

 261

 7.4
 %

 3.4
 %

 1,013

 (1,030
 )

 30yr 4.0

 48,111

 45,664

 0.41
 %

 94.91

 4.00
 %

 4.77
 %

 84

 271

 11.0
 %

 10.4
 %

 1,192

 (1,230
 )

 30yr 4.5

 440,113

 425,236

 3.79
 %

 96.62

 4.50
 %

 5.46
 %

 29

 327

 7.0
 %

 5.9
 %

 9,449

 (10,375
 )

 30yr 5.0

 2,176,760

 2,152,687

 19.20
 %

 98.89

 5.00
 %

 6.00
 %

 12

 345

 5.4
 %

 5.3
 %

 42,179

 (49,229
 )

 30yr 5.5

 3,607,056

 3,657,606

 32.62
 %

 101.40

 5.50
 %

 6.46
 %

 14

 342

 6.7
 %

 7.8
 %

 57,224

 (71,121
 )

 30yr 6.0

 3,096,813

 3,194,305

 28.49
 %

 103.15

 6.00
 %

 6.92
 %

 17

 338

 14.8
 %

 20.4
 %

 33,662

 (46,561
 )

 30yr 6.5

 1,286,355

 1,349,093

 12.03
 %

 104.88

 6.50
 %

 7.39
 %

 19

 336

 19.6
 %

 25.1
 %

 9,260

 (14,210
 )

 30yr 7.0

 54,824

 58,190

 0.52
 %

 106.14

 7.00
 %

 7.92
 %

 30

 322

 32.1
 %

 45.5
 %

 470

 (629
 )

 30yr Total

 11,066,078

 11,199,789

 99.89
 %

 101.21

 5.54
 %

 6.48
 %

 18

 338

 10.4
 %

 13.2
 %

 162,961

 (203,008
 )

 Total Pass-Through RMBS

 11,066,078

 11,199,789

 99.89
 %

 101.21

 5.54
 %

 6.48
 %

 18

 338

 10.4
 %

 13.2
 %

 162,961

 (203,008
 )

 Structured RMBS

 IO 20yr 4.0

 4,774

 361

 0.00
 %

 7.56

 4.00
 %

 4.56
 %

 172

 63

 14.5
 %

 14.3
 %

 1

 (1
 )

 IO 30yr 4.0

 60,486

 10,896

 0.10
 %

 18.01

 4.00
 %

 4.60
 %

 140

 210

 5.7
 %

 5.0
 %

 (128
 )

 72

 IO 30yr 4.5

 2,619

 486

 0.00
 %

 18.57

 4.50
 %

 4.99
 %

 190

 156

 11.8
 %

 10.1
 %

 (1
 )

 -

 IO 30yr 5.0

 1,388

 271

 0.00
 %

 19.50

 5.00
 %

 5.37
 %

 191

 156

 1.6
 %

 4.7
 %

 (2
 )

 -

 IO Total

 69,267

 12,014

 0.11
 %

 17.34

 4.04
 %

 4.62
 %

 146

 197

 6.4
 %

 5.9
 %

 (130
 )

 71

 IIO 30yr 4.0

 14,292

 71

 0.00
 %

 0.50

 0.16
 %

 4.40
 %

 104

 244

 0.6
 %

 4.9
 %

 58

 (35
 )

 Total Structured RMBS

 83,559

 12,085

 0.11
 %

 14.46

 3.37
 %

 4.59
 %

 138

 205

 5.4
 %

 5.7
 %

 (72
 )

 36

 Total Mortgage Assets

 $
 11,149,637

 $
 11,211,874

 100.00
 %

 5.52
 %

 6.46
 %

 18

 337

 10.4
 %

 13.1
 %

 $
 162,889

 $
 (202,972
 )

 Hedge

 Modeled Interest

 Notional

 Period

 Rate Sensitivity (1)

 Hedge

 Balance

 End

 (-50 BPS)

 (+50 BPS)

 3-Month SOFR Futures

 $
 (390,000
 )
 Dec-26

 $
 (2,048
 )

 $
 2,048

 10-Year Treasury Future(2)

 (188,600
 )
 May-33

 (6,037
 )

 5,860

 10-Year Ultra Treasury Future(3)

 (60,000
 )
 Feb-36

 (2,638
 )

 2,526

 ERIS SOFR Swap Futures

 (10,000
 )
 Jun-31

 (195
 )

 190

 Swaps

 (7,814,200
 )
 Feb-31

 (164,240
 )

 158,827

 Swaptions

 (1,000,000
 )
 Dec-31

 (2,809
 )

 4,875

 TBA Short

 (300,000
 )
 Jun-26

 (3,351
 )

 4,667

 Hedge Total

 $
 (9,762,800
 )

 $
 (181,318
 )

 $
 178,993

 Rate Shock Grand Total

 $
 (18,429
 )

 $
 (23,979
 )

 (1)

 Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.

 (2)
 Ten-year Treasury futures contracts were valued at prices of $109.83 at May 31, 2026 . The market value of the short position was $207.1 million .

 (3)

 Ten-year Ultra Treasury futures contracts were valued at prices of $112.08 at May 31, 2026 . The market value of the short position was $67.3 million .

 RMBS Assets by Agency

 ($ in thousands)

 Percentage

 Fair

 of

 Asset Category

 Value

 Portfolio

 As of May 31, 2026

 Fannie Mae

 $
 5,895,030

 52.6
 %

 Freddie Mac

 5,316,844

 47.4
 %

 Total Mortgage Assets

 $
 11,211,874

 100.0
 %

 Investment Company Act of 1940 Whole Pool Test

 ($ in thousands)

 Percentage

 Fair

 of

 Asset Category

 Value

 Portfolio

 As of May 31, 2026

 Non-Whole Pool Assets

 $
 581,118

 5.2
 %

 Whole Pool Assets

 10,630,756

 94.8
 %

 Total Mortgage Assets

 $
 11,211,874

 100.0
 %

 Borrowings By Counterparty

 ($ in thousands)

 Weighted

 Weighted

 % of

 Average

 Average

 Total

 Total

 Repo

 Maturity

 Longest

 As of May 31, 2026

 Borrowings

 Debt

 Rate

 in Days

 Maturity

 Marex Capital Markets Inc.

 $
 498,421

 4.7
 %

 3.78
 %

 49

 7/23/2026

 Citigroup Global Markets Inc

 486,749

 4.5
 %

 3.76
 %

 23

 7/27/2026

 StoneX Financial Inc.

 486,529

 4.5
 %

 3.79
 %

 103

 9/23/2026

 ABN AMRO Bank N.V.

 478,711

 4.5
 %

 3.74
 %

 38

 7/20/2026

 Wells Fargo Securities, LLC

 475,199

 4.4
 %

 3.78
 %

 40

 8/19/2026

 ASL Capital Markets Inc.

 472,828

 4.4
 %

 3.77
 %

 87

 9/21/2026

 South Street Securities, LLC

 466,233

 4.4
 %

 3.82
 %

 78

 11/13/2026

 The Bank of Nova Scotia

 460,634

 4.3
 %

 3.75
 %

 57

 8/13/2026

 J.P. Morgan Securities LLC

 453,205

 4.2
 %

 3.73
 %

 26

 6/26/2026

 RBC Capital Markets, LLC

 449,008

 4.2
 %

 3.82
 %

 47

 7/27/2026

 Hidden Road Partners Civ US LLC

 444,505

 4.2
 %

 3.76
 %

 87

 8/26/2026

 Clear Street LLC

 431,670

 4.0
 %

 3.78
 %

 27

 7/13/2026

 Cantor Fitzgerald & Co

 430,958

 4.0
 %

 3.75
 %

 25

 6/25/2026

 DV Securities, LLC Repo

 423,823

 4.0
 %

 3.77
 %

 77

 8/27/2026

 Daiwa Securities America Inc.

 422,808

 3.9
 %

 3.79
 %

 50

 8/18/2026

 Banco Santander SA

 413,756

 3.9
 %

 3.77
 %

 44

 7/20/2026

 Goldman, Sachs & Co

 399,848

 3.7
 %

 3.76
 %

 57

 7/27/2026

 Bank of Montreal

 380,100

 3.5
 %

 3.77
 %

 15

 6/15/2026

 Merrill Lynch, Pierce, Fenner & Smith

 370,892

 3.5
 %

 3.75
 %

 18

 6/26/2026

 ING Financial Markets LLC

 370,344

 3.5
 %

 3.80
 %

 43

 7/13/2026

 Mirae Asset Securities (USA) Inc.

 322,701

 3.0
 %

 3.73
 %

 21

 6/22/2026

 Brean Capital, LLC

 300,096

 2.8
 %

 3.74
 %

 23

 7/27/2026

 Mitsubishi UFJ Securities (USA), Inc.

 240,338

 2.2
 %

 3.71
 %

 22

 6/22/2026

 MUFG Securities Canada, Ltd.

 223,362

 2.1
 %

 3.78
 %

 4

 6/4/2026

 Nomura Securities International, Inc.

 221,512

 2.1
 %

 3.79
 %

 18

 7/10/2026

 Mizuho Securities USA LLC

 186,103

 1.7
 %

 3.73
 %

 18

 6/18/2026

 TD Securities (USA) LLC

 172,185

 1.6
 %

 3.80
 %

 12

 6/12/2026

 Natixis, New York Branch

 94,018

 0.9
 %

 3.73
 %

 26

 6/26/2026

 Morgan Stanley & Co. LLC

 48,571

 0.5
 %

 3.77
 %

 45

 7/15/2026

 BNP Paribas Securities Corp.

 36,970

 0.3
 %

 3.76
 %

 12

 6/12/2026

 Lucid Prime Fund, LLC

 30,867

 0.3
 %

 3.77
 %

 11

 6/11/2026

 Canyon Partners, LLC

 14,394

 0.1
 %

 3.72
 %

 17

 6/17/2026

 Total Borrowings

 $
 10,707,338

 100.0
 %

 3.77
 %

 45

 11/13/2026

 Contact:

 Orchid Island Capital, Inc.

 Robert E. Cauley

 3305 Flamingo Drive, Vero Beach, Florida 32963

 Telephone: (772) 231-1400