SharkWater Trading  •  Income Desk • Mortgage REIT Orchid Island Marks Book Value Down 16.6 Percent in One Quarter. The $0.10 Dividend Did Not Move. October 26, 2026 Bottom Line Up Front Orchid Island Capital (NYSE: ORC) estimated its September 30, 2026 book value at $6.02 per share, down $1.20 from June 30, 2026. That is a 16.6 percent drop in one quarter (our arithmetic: $1.20 divided by an implied $7.22). Estimated Q3 GAAP loss was $0.90 per share and total return on equity was (12.5) percent. The company still declared a $0.10 monthly dividend, which annualizes to 19.9 percent of the new book value (our arithmetic). The market price and the premium or discount to book are NOT VERIFIED here. What the filing says The October 14, 2026 8-K exhibit lays out the preliminary quarter. Orchid declared $0.30 per share in dividends during Q3, so the $1.20 loss in book value is the part the payout did not cover. The numbers tie: a $1.20 book decline plus $0.30 of dividends on $7.22 gives the reported (12.5) percent return. Item Figure As of Estimated book value per share $6.02 Sep 30, 2026 Change from prior quarter-end -$1.20 vs Jun 30, 2026 Estimated Q3 GAAP loss per share -$0.90 Q3 2026, preliminary Net realized and unrealized losses on RMBS and derivatives about $1.17 per share Q3 2026 Total return on equity (12.5)% Q3 2026 October monthly dividend $0.10 Ex-date Oct 30, pay Nov 27, 2026 Shares outstanding 194,661,864 Sep 30, 2026 Shares outstanding 192,992,160 Oct 14, 2026 Total borrowings about $10.36 billion Sep 30, 2026 Weighted average repo rate 3.99% Sep 30, 2026 Estimated stockholders' equity about $1.2 billion Sep 30, 2026 Source: Orchid Island Capital Form 8-K exhibit 99, filed October 14, 2026 (SEC EDGAR). Figures are estimated and preliminary. Total mortgage assets are inconsistent inside the exhibit ($10.77 billion in one table, $10.67 billion in others), so we do not use them. A separate filing dated October 23, 2026 carries a September 30, 2026 period and the file name of a 10-Q. We could read the directory listing only, not the contents. The audited-style figures have not been checked against the 10-Q, so treat every number above as the October 14 estimate. Paying out water while the hull takes on more. The deck stays level for a while. The waterline does not. Rate sensitivity The exhibit models a loss in both directions: about $4.2 million for a 50 basis point decline and about $21.0 million for a 50 basis point rise, including hedges. Against roughly $1.2 billion of equity, the larger figure is about 1.75 percent of book (our arithmetic). The portfolio is hedged against a drop and still exposed to a climb. The Bull Case Book is marked, not hidden. A 16.6 percent mark in one quarter is on the table. The 8-K shows the damage instead of burying it. Share count is shrinking. Shares fell from 194.7 million to 193.0 million between September 30 and October 14, 2026. The cause is not stated in what we read. If the stock trades below book, retiring shares adds to book per share. Price is NOT VERIFIED. Rate-fall exposure is small. A 50 basis point decline costs about $4.2 million per the exhibit, a rounding error against $1.2 billion of equity. The Bear Case The dividend outruns the earnings. The quarter lost $0.90 per share and paid $0.30. Book per share cannot fund that for long. The yield is mostly capital returned. $1.20 a year on $6.02 of book is 19.9 percent. Taxable earnings and return-of-capital split for 2026 is NOT VERIFIED, and that split is the real yield story. Rate-rise exposure is five times larger. About $21.0 million for a 50 basis point rise, versus $4.2 million for a fall. A bad rates week hurts more than a good one helps. The SharkWater Take I do not chase a 19.9 percent number on a book that just lost 16.6 percent. The payout is a rate on a shrinking base, and the next mark is a rate decision away. I would want the 10-Q, the November 10 dividend announcement, the live price against book, and the return-of-capital estimate before this is worth a trade. Until then it is an income story I am watching, not one I am taking. Tight lines. SharkWater Educational and informational purposes only. Not personalized investment advice. All figures sourced as noted and accurate as of publication. Options involve substantial risk of loss. The author may hold positions in securities discussed. Do your own work.