Orchid Island Capital, Inc. Liquidation Value

Orchid Island Capital (ORC) is an externally managed Agency RMBS REIT with a balance sheet structured around a single highly-leveraged asset class. As of March 31, 2026, total assets were $12.67B against total liabilities of $11.28B, yielding reported stockholders' equity of $1.39B. Under a liquidation lens, the recovery picture is broadly positive relative to book but carries material execution risk given scale and leverage.

The primary asset is $11.34B of Agency RMBS (Fannie Mae/Freddie Mac pass-throughs) carried at fair value under the fair value option. Agency RMBS is the closest analog to cash in the fixed-income universe—these are government-guaranteed instruments with active secondary markets. Under a fire-sale liquidation scenario, a haircut of 1-3% on $11.34B is realistic given the 4.1% weighted-average repo haircut already in place and the portfolio's effective duration of 3.0 (implying meaningful price sensitivity to rate moves). The filing also discloses that a +200bps rate shock would reduce portfolio market value by approximately 3.34%, which bounds the plausible discount range on a distressed unwind. Unrestricted cash was $674M (100% recovery) and restricted cash (repo margin pledged to counterparties) was $86M.

The dominant liability is $10.86B in repurchase agreements, which must be settled at face value on wind-up. Remaining maturity is 2-227 days (weighted average 46 days), meaning essentially all repo debt would need to be settled or rolled within the wind-up period—a material execution constraint. At face value liabilities of $11.28B versus a conservative 98% haircut on RMBS ($11.11B recovered) plus $760M cash, gross recoverable assets approximate $11.87B against $11.28B of liabilities, yielding a thin positive recovery buffer of roughly $590M before transaction costs, hedging unwind losses, and management termination fees (equal to 3x trailing annual management fees, approximately $48M based on Q1 2026 annualized run-rate of $16M). The TBA net long position of $95M notional adds incremental exposure that would need physical delivery or cash settlement.

Compared to December 31, 2025, the RMBS portfolio grew by $710M (from $10.63B to $11.34B), repurchase agreement obligations increased by $749M (from $10.12B to $10.86B), and equity grew modestly from $1.37B to $1.39B, funded largely by $107.8M in ATM equity issuance. Economic leverage ticked up from 7.3x to 7.9x. The portfolio's effective duration extended from 2.513 to 3.005, increasing mark-to-market sensitivity. Three-month CPR accelerated to 14.7% from 15.7% at year-end but remains elevated relative to the 7.8% pace a year ago—prepayment acceleration reduces premium amortization drag but also shrinks the collateral base. The filing discusses a war in Iran commencing February 28, 2026 as creating market dislocation and elevated interest rate volatility; no specific credit loss or mark-down event on the RMBS portfolio is disclosed. The management termination fee contingency is discussed in MD&A but is not separately XBRL-tagged.