0001437749-24-013395 | 10-Q | XBRL Viewer | Orchid Island Capital INC

Offsetting Assets and Liabilities [Text Block]

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.

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 March 31, 2024 and December 31, 2023.

(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*
March 31, 2024
Interest rate swaps	$	11,252	$	-	$	11,252	$	-	$	-		$	11,252
Interest rate swaptions		14		-		14		-		-			14
Dual digital option		261		-		261		-		-			261
TBA securities		984		-		984		-		(240	)		744
	$	12,511	$	-	$	12,511	$	-	$	(240	)	$	12,271
December 31, 2023
Interest rate swaps	$	6,348	$	-	$	6,348	$	-	$	-		$	6,348
Interest rate swaptions		72		-		72		-		-			72
	$	6,420	$	-	$	6,420	$	-	$	-		$	6,420

(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*
March 31, 2024
Repurchase Agreements	$	3,711,498	$	-	$	3,711,498	$	(3,704,080	)	$	(7,418	)	$	-
TBA securities		80		-		80		-			(65	)		15
	$	3,711,578	$	-	$	3,711,578	$	(3,704,080	)	$	(7,483	)	$	15
December 31, 2023
Repurchase Agreements	$	3,705,649	$	-	$	3,705,649	$	(3,705,649	)	$	-		$	-
TBA securities		12,694		-		12,694		-			(12,694	)		-
	$	3,718,343	$	-	$	3,718,343	$	(3,705,649	)	$	(12,694	)	$	-

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.

Note 9 - Stock Incentive Plan (Details Textual) - shares	3 Months Ended		6 Months Ended
	Mar. 31, 2024	Sep. 30, 2023	Dec. 31, 2023
Minimum [Member]
Decline of Book Value Per Share		15.00%	10.00%
Performance Shares [Member]
Share-Based Compensation Arrangement by Share-Based Payment Award, Increase (Decrease) in Number of Awards Due to Impairment (in shares)	(14,365)
The 2021 Incentive Plan [Member]
Share-Based Compensation Arrangement by Share-Based Payment Award, Percentage of Outstanding Stock Maximum	10.00%
Share-Based Compensation Arrangement by Share-Based Payment Award, Number of Shares Authorized (in shares)	1,473,324

Note 12 - Earnings Per Share (EPS)

3 Months Ended

Mar. 31, 2024

Earnings Per Share [Text Block]

NOTE 12. EARNINGS PER SHARE (EPS)

The Company had dividend eligible PUs and DSUs that were outstanding during the three months ended March 31, 2024 and 2023. 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 three months ended March 31, 2024 and 2023.

(in thousands, except per share information)
	*Three Months Ended March 31,*
	*2024*			*2023*
Basic and diluted EPS per common share:
Numerator for basic and diluted EPS per share of common stock:
Net income - Basic and diluted	$	19,776		$	3,530
Weighted average shares of common stock:
Shares of common stock outstanding at the balance sheet date		52,826			39,086
Unvested dividend eligible share based compensation outstanding at the balance sheet date		218			96
Effect of weighting		(1,440	)		(690	)
Weighted average shares-basic and diluted		51,604			38,492
Net income per common share:
Basic and diluted	$	0.38		$	0.09

Note 13 - Fair Value - Schedule of Fair Value Assets and Liabilities Measured on Recurring Basis (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Mortgage-backed securities	$ 3,881,078	$ 3,894,012
Fair Value, Inputs, Level 1 [Member] \| Fair Value, Recurring [Member] \| Interest Rate Swap [Member]
Derivative assets, at fair value	0	0
Fair Value, Inputs, Level 1 [Member] \| Fair Value, Recurring [Member] \| Payer Swaptions [Member]
Derivative assets, at fair value	0	0
Fair Value, Inputs, Level 1 [Member] \| Fair Value, Recurring [Member] \| Dual Digital Option [Member]
Derivative assets, at fair value	0
Fair Value, Inputs, Level 1 [Member] \| Fair Value, Recurring [Member] \| TBA Contracts [Member]
Derivative assets, at fair value	0	0
Fair Value, Inputs, Level 1 [Member] \| Fair Value, Recurring [Member] \| Collateralized Mortgage-Backed Securities [Member]
Mortgage-backed securities	0	0
Fair Value, Inputs, Level 1 [Member] \| Fair Value, Recurring [Member] \| US Treasury Securities [Member]
Mortgage-backed securities	99,496
Derivative asset, fair value		148,820
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Recurring [Member] \| Interest Rate Swap [Member]
Derivative assets, at fair value	11,252	6,348
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Recurring [Member] \| Payer Swaptions [Member]
Derivative assets, at fair value	14	72
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Recurring [Member] \| Dual Digital Option [Member]
Derivative assets, at fair value	261
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Recurring [Member] \| TBA Contracts [Member]
Derivative assets, at fair value	904	(12,694)
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Recurring [Member] \| Collateralized Mortgage-Backed Securities [Member]
Mortgage-backed securities	3,881,078	3,894,012
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Recurring [Member] \| US Treasury Securities [Member]
Mortgage-backed securities	0
Derivative asset, fair value		0
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Recurring [Member] \| Interest Rate Swap [Member]
Derivative assets, at fair value	0	0
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Recurring [Member] \| Payer Swaptions [Member]
Derivative assets, at fair value	0	0
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Recurring [Member] \| Dual Digital Option [Member]
Derivative assets, at fair value	0
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Recurring [Member] \| TBA Contracts [Member]
Derivative assets, at fair value	0	0
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Recurring [Member] \| Collateralized Mortgage-Backed Securities [Member]
Mortgage-backed securities	0	0
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Recurring [Member] \| US Treasury Securities [Member]
Mortgage-backed securities	$ 0
Derivative asset, fair value		$ 0

Note 8 - Capital Stock (Details Textual) - USD ($)
$ / shares in Units, $ in Thousands

3 Months Ended

4 Months Ended

12 Months Ended

104 Months Ended

135 Months Ended

Apr. 10, 2024

Mar. 31, 2024

Mar. 31, 2023

Apr. 26, 2024

^[1]

Dec. 31, 2023

Dec. 31, 2022

Dec. 31, 2021

Dec. 31, 2020

Dec. 31, 2019

Dec. 31, 2018

Dec. 31, 2017

Dec. 31, 2016

Dec. 31, 2015

Dec. 31, 2014

Dec. 31, 2013

Mar. 31, 2024

Apr. 25, 2024

Oct. 12, 2022

Dec. 09, 2021

Feb. 08, 2018

Feb. 01, 2018

Jul. 29, 2015

Stock Repurchased and Retired During Period, Value

$ 2,778

$ 3,963

Common Stock, Dividends, Per Share, Declared (in dollars per share)

$ 0.36

$ 0.48

$ 1.8

$ 2.475

$ 3.9

$ 3.95

$ 4.8

$ 5.35

$ 8.4

$ 9.6

$ 10.8

$ 6.975

$ 66.93

Subsequent Event [Member]

Common Stock, Dividends, Per Share, Declared (in dollars per share)

$ 0.12

$ 0.48

Share Repurchase Program [Member]

Stock Repurchase Program, Number of Shares Authorized to be Repurchased (in shares)

400,000

Stock Repurchase Program, Additional Shares Authorized (in shares)

4,300,000

3,372,399

904,564

Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased (in shares)

6,183,601

3,539,861

1,061,315

156,751

Stock Repurchased and Retired During Period, Shares (in shares)

332,773

1,072,789

5,081,134

Stock Repurchased and Retired During Period, Value

$ 2,800

$ 9,400

$ 77,000

Shares Acquired, Average Cost Per Share (in dollars per share)

$ 8.35

$ 8.79

$ 15.16

Share Repurchase Program [Member] | Subsequent Event [Member]

Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased (in shares)

3,895,829

[1]	On April 10, 2024, the Company declared a dividend of $0.12 per share to be paid on May 30, 2024. 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, 2024.

Note 9 - Stock Incentive Plan - Schedule of Nonvested Performance Based Units Activity (Details) - USD ($)
$ / shares in Units, $ in Thousands

3 Months Ended

12 Months Ended

Mar. 31, 2024

Mar. 31, 2023

Dec. 31, 2023

Stock based compensation

$ (140)

$ 409

Performance Shares [Member]

Unvested, shares (in shares)

^[1]

81,403

36,921

Unvested, grant date fair value (in dollars per share)

^[1]

$ 12.48

$ 20.57

Fully vested shares granted (in shares)

36,773

Weighted average grant date price per share (in dollars per share)

$ 8.62

$ 0

Vested and issued, shares (in shares)

(10,312)

(4,462)

Vested and issued, grant date fair value (in dollars per share)

$ 14.97

$ 22.09

Unvested, shares (in shares)

107,864

32,459

81,403

^[1]

Unvested, grant date fair value (in dollars per share)

$ 10.92

$ 20.36

$ 12.48

^[1]

Stock based compensation

$ 44

$ 90

Unrecognized compensation expense, end of period

692

267

Intrinsic value, end of period

$ 963

$ 348

Weighted-average remaining vesting term (in years) (Year)

1 year 6 months

1 year 1 month 6 days

[1]

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%.

Note 5 - Derivative and Other Hedging Instruments (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

(in thousands)
Derivative and Other Hedging Instruments	*Balance Sheet Location*	*March 31, 2024*			*December 31, 2023*
Assets
Interest rate swaps	Derivative assets, at fair value	$	11,252		$	6,348
Payer swaption (long position)	Derivative assets, at fair value		14			72
Dual digital option	Derivative assets, at fair value		261			-
TBA securities	Derivative assets, at fair value		984			-
Total derivative assets, at fair value		$	12,511		$	6,420

Liabilities
TBA securities	Derivative liabilities, at fair value	$	80		$	12,694
Total derivative liabilities, at fair value		$	80		$	12,694

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	5,009		$	4,096
TBA securities	Restricted cash		65			23,720
TBA securities	Other liabilities		(240	)		-
Interest rate swaption contracts	Restricted cash		755			580
Total margin balances on derivative contracts		$	5,589		$	28,396

Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block]

($ in thousands)
	*March 31, 2024*
	*Average*		*Weighted*			*Weighted*
	*Contract*		*Average*			*Average*
	*Notional*		*Entry*			*Effective*			*Open*
Expiration Year	*Amount*		*Rate*			*Rate*			Equity⁽¹⁾
Treasury Note Futures Contracts (Short Positions)⁽²⁾
June 2024 5-year T-Note futures (Jun 2024 - Jun 2029 Hedge Period)	$	421,500		4.26	%		4.42	%	$	(1,099	)
March 2024 10-year T-Note futures (Mar 2024 - Mar 2034 Hedge Period)		320,000		4.29	%		4.64	%		(2,475	)
SOFR Futures Contracts (Short Positions)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)	$	25,000		4.27	%		4.87	%	$	149
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)		25,000		3.90	%		4.57	%		168
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)		25,000		3.58	%		4.30	%		179
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		25,000		3.37	%		4.07	%		175
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		25,000		3.25	%		3.88	%		158
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)		25,000		3.21	%		3.76	%		138

($ in thousands)
	*December 31, 2023*
	*Average*		*Weighted*			*Weighted*
	*Contract*		*Average*			*Average*
	*Notional*		*Entry*			*Effective*			*Open*
Expiration Year	*Amount*		*Rate*			*Rate*			Equity⁽¹⁾
Treasury Note Futures Contracts (Short Positions)⁽²⁾
March 2024 5-year T-Note futures (Mar 2024 - Mar 2029 Hedge Period)	$	421,500		4.36	%		4.04	%	$	(9,936	)
March 2024 10-year T-Note futures (Mar 2024 - Mar 2034 Hedge Period)		320,000		4.38	%		4.39	%		(11,393	)
SOFR Futures Contracts (Short Positions)
June 2024 3-Month SOFR futures (Mar 2024 - Jun 2024 Hedge Period)	$	25,000		5.08	%		4.99	%	$	(24	)
September 2024 3-Month SOFR futures (Jun 2024 - Sep 2024 Hedge Period)		25,000		4.67	%		4.52	%		(39	)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)		25,000		4.27	%		4.10	%		(44	)
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)		25,000		3.90	%		3.73	%		(43	)
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)		25,000		3.58	%		3.42	%		(41	)
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		25,000		3.37	%		3.21	%		(39	)
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		25,000		3.25	%		3.10	%		(37	)
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)		25,000		3.21	%		3.07	%		(35	)

Schedule of Interest Rate Swaps [Table Text Block]

($ in thousands)
			*Average*
			*Fixed*			*Average*			*Average*
	*Notional*		*Pay*			*Receive*			*Maturity*
	*Amount*		*Rate*			*Rate*			*(Years)*
March 31, 2024
Expiration > 1 to ≤ 5 years	$	1,200,000		1.34	%		5.45	%		3.9
Expiration > 5 years		1,331,800		3.28	%		5.38	%		7.4
	$	2,531,800		2.36	%		5.41	%		5.7
December 31, 2023
Expiration > 1 to ≤ 5 years	$	500,000		0.84	%		5.64	%		2.7
Expiration > 5 years		1,826,500		2.62	%		5.40	%		6.8
	$	2,326,500		2.24	%		5.45	%		5.9

Schedule of Interest Rate Swaption Agreements [Table Text Block]

($ in thousands)
	*Option*						*Underlying Swap*
					*Weighted*								*Weighted*
					*Average*				*Average*			*Adjustable*	*Average*
			*Fair*		*Months to*		*Notional*		*Fixed*			*Rate*	*Term*
	*Cost*		*Value*		*Expiration*		*Amount*		*Rate*			*Index*	*(Years)*
March 31, 2024
Payer Swaption (long position)	$	1,619	$	14		2.0	$	800,000		5.40	%	SOFR		1.0
Dual Digital Option⁽¹⁾	$	500	$	261		5.7	$	9,412		n/a		n/a		n/a
December 31, 2023
Payer Swaption (long position)	$	1,619	$	72		5.0	$	800,000		5.40	%	SOFR		1.0

Schedule of To Be Announced Securities [Table Text Block]

($ in thousands)
	Notional
	Amount									Net
	Long			Cost			Market			Carrying
	(Short)⁽¹⁾			Basis⁽²⁾			Value⁽³⁾			Value⁽⁴⁾
March 31, 2024
*30-Year TBA securities:*
3.0%	$	(170,700	)	$	(147,202	)	$	(147,282	)	$	(80	)
3.5%		(200,000	)		(180,219	)		(179,235	)		984
Total	$	(370,700	)	$	(327,421	)	$	(326,517	)	$	904
December 31, 2023
*30-Year TBA securities:*
3.0%	$	(70,700	)	$	(59,278	)	$	(62,647	)	$	(3,369	)
5.0%		(250,000	)		(242,725	)		(247,657	)		(4,932	)
5.5%		(325,000	)		(322,410	)		(326,803	)		(4,393	)
Total	$	(645,700	)	$	(624,413	)	$	(637,107	)	$	(12,694	)

Derivative Instruments, Gain (Loss) [Table Text Block]

(in thousands)
	*Three Months Ended March 31,*
	*2024*			*2023*
Interest rate futures contracts (short position)	$	19,090		$	(4,038	)
Interest rate swaps		59,098			(26,144	)
Payer swaptions (short positions)		-			6,585
Payer swaptions (long positions)		(58	)		(12,109	)
Interest rate caps		-			(645	)
Dual digital option		(239	)		-
Interest rate floors (long positions)		-			1,185
TBA securities (short positions)		9,903			(5,990	)
TBA securities (long positions)		105			-
Total	$	87,899		$	(41,156	)

Note 9 - Stock Incentive Plan - Schedule of Stock Awards (Details) - Stock Awards [Member] - USD ($) $ / shares in Units, $ in Thousands	12 Months Ended
	Dec. 31, 2023	Dec. 31, 2022
Fully vested shares granted (in shares)	36,773	0
Weighted average grant date price per share (in dollars per share)	$ 8.62	$ 0
Compensation expense related to fully vested shares of common stock awards	$ 317	$ 0

Note 13 - Fair Value (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

(in thousands)
	*Quoted Prices*
	*in Active*		*Significant*
	*Markets for*		*Other*			*Significant*
	*Identical*		*Observable*			*Unobservable*
	*Assets*		*Inputs*			*Inputs*
	*(Level 1)*		*(Level 2)*			*(Level 3)*
March 31, 2024
Mortgage-backed securities	$	-	$	3,881,078		$	-
U.S. Treasury securities		99,496		-			-
Interest rate swaps		-		11,252			-
Interest rate swaptions		-		14			-
Dual digital option		-		261			-
TBA securities		-		904			-
December 31, 2023
Mortgage-backed securities	$	-	$	3,894,012		$	-
U.S. Treasury securities		148,820		-			-
Interest rate swaps		-		6,348			-
Interest rate swaptions		-		72			-
TBA securities		-		(12,694	)		-

Note 9 - Stock Incentive Plan (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Nonvested Performance-Based Units Activity [Table Text Block]

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2024*					*2023*
				*Weighted*					*Weighted*
				*Average*					*Average*
				*Grant Date*					*Grant Date*
	*Shares*			*Fair Value*		*Shares*			*Fair Value*
Unvested, beginning of period ⁽¹⁾		81,403		$	12.48		36,921		$	20.57
Granted		36,773			8.62		-			-
Vested and issued		(10,312	)		14.97		(4,462	)		22.09
Unvested, end of period		107,864		$	10.92		32,459		$	20.36

Compensation expense during period				$	44				$	90
Unrecognized compensation expense, end of period				$	692				$	267
Intrinsic value, end of period				$	963				$	348
Weighted-average remaining vesting term (in years)					1.5					1.1

Share-Based Payment Arrangement, Outstanding Award, Activity, Excluding Option [Table Text Block]

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2024*		*2023*
Fully vested shares granted		36,773		-
Weighted average grant date price per share	$	8.62	$	-
Compensation expense related to fully vested shares of common stock awards	$	317	$	-

Disclosure of Share-Based Compensation Arrangements by Share-Based Payment Award [Table Text Block]

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2024*				*2023*
			*Weighted*				*Weighted*
			*Average*				*Average*
			*Grant Date*				*Grant Date*
	*Shares*		*Fair Value*		*Shares*		*Fair Value*
Outstanding, beginning of period		96,704	$	15.69		54,197	$	20.29
Granted and vested		13,484		8.46		9,302		10.59
Outstanding, end of period		110,188	$	14.80		63,499	$	18.87

Compensation expense during period			$	99			$	89
Intrinsic value, end of period			$	984			$	681

Note 3 - U.S. Treasury Securities, Available-for-sale - Available-for-sale- Investments (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Fair value	$ 99,496	$ 148,820
Treasury Bill 4/30/2024 Maturity [Member]
Amortized cost	49,791	49,140
Gross unrealized gains	0	0
Gross unrealized losses	(24)	0
Fair value	49,767	49,140
Gross unrealized losses	24	0
Treasury Note 5/31/2024 Maturity [Member]
Amortized cost	49,735
Gross unrealized gains	0
Gross unrealized losses	(6)
Fair value	49,729
Gross unrealized losses	6
US Treasury Securities [Member]
Amortized cost	99,526	148,803
Gross unrealized gains	0	17
Gross unrealized losses	(30)	0
Fair value	99,496	148,820
Gross unrealized losses	$ 30	0
Treasury Bill 1/2/2024 Maturity [Member]
Amortized cost		49,671
Gross unrealized gains		9
Gross unrealized losses		0
Fair value		49,680
Gross unrealized losses		0
Treasury Bill 2/15/2024 Maturity [Member]
Amortized cost		49,992
Gross unrealized gains		8
Gross unrealized losses		0
Fair value		50,000
Gross unrealized losses		$ 0

Amount of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale).

Reference 1: http://www.xbrl.org/2003/role/exampleRef
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-URI https://asc.fasb.org/1943274/2147479130/326-30-45-1

Note 11 - Income Taxes

3 Months Ended

Mar. 31, 2024

Income Tax Disclosure [Text Block]

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.

The entire disclosure for income tax.

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
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Reference 14: http://www.xbrl.org/2003/role/disclosureRef
-Topic 740
-SubTopic 30
-Name Accounting Standards Codification
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-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482603/740-30-50-2

Condensed Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Interest income	$ 48,871	$ 38,012
Interest expense	(51,361)	(42,217)
Net interest expense	(2,490)	(4,205)
Unrealized (losses) gains on mortgage-backed securities and U.S. Treasury securities	(61,895)	53,895
Gains (losses) on derivative and other hedging instruments	87,899	(41,156)
Net portfolio income	23,514	8,534
Management fees	2,161	2,642
Allocated overhead	598	576
Incentive compensation	(89)	470
Directors' fees and liability insurance	329	323
Audit, legal and other professional fees	476	451
Direct REIT operating expenses	170	165
Other administrative	93	377
Total expenses	3,738	5,004
Net income	19,776	3,530
Unrealized losses on U.S. Treasury securities measured at fair value through other comprehensive net income	(47)	0
Comprehensive net income	$ 19,729	$ 3,530
Basic and diluted net income per share (in dollars per share)	$ 0.38	$ 0.09
Weighted Average Shares Outstanding (in shares)	51,604,135	38,491,767

Note 4 - Repurchase Agreements (Details Textual) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Restricted Cash and Cash Equivalents, Current	$ 13,247	$ 28,396
Repurchase Agreement Counterparty, Amount at Risk	174,100
Asset Pledged as Collateral [Member]
Restricted Cash and Cash Equivalents, Current	13,247	$ 28,396
Asset Pledged as Collateral [Member] \| Repurchase Agreements [Member]
Restricted Cash and Cash Equivalents, Current	$ 7,418

Note 7 - Offsetting Assets and Liabilities - Offsetting Assets (Details) - Assets [Member] - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Gross amount, recognized	$ 12,511	$ 6,420
Gross Amount, offset	0	0
Net Amount	12,511	6,420
Gross Amount, not recognized	0	0
Gross amount, not offset	(240)	0
Net amount, after deduction	12,271	6,420
Interest Rate Swap [Member]
Gross amount, recognized	11,252	6,348
Gross Amount, offset	0	0
Net Amount	11,252	6,348
Gross Amount, not recognized	0	0
Gross amount, not offset	0	0
Net amount, after deduction	11,252	6,348
Payer Swaptions [Member]
Gross amount, recognized	14	72
Gross Amount, offset	0	0
Net Amount	14	72
Gross Amount, not recognized	0	0
Gross amount, not offset	0	0
Net amount, after deduction	14	$ 72
Dual Digital Option [Member]
Gross amount, recognized	261
Gross Amount, offset	0
Net Amount	261
Gross Amount, not recognized	0
Gross amount, not offset	0
Net amount, after deduction	261
TBA Contracts [Member]
Gross amount, recognized	984
Gross Amount, offset	0
Net Amount	984
Gross Amount, not recognized	0
Gross amount, not offset	(240)
Net amount, after deduction	$ 744

Note 8 - Capital Stock

3 Months Ended

Mar. 31, 2024

Equity [Text Block]

NOTE 8. CAPITAL STOCK

Common Stock Issuances

During the three months ended March 31, 2024 and the year ended December 31, 2023, 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⁾
2024
At the Market Offering Program⁽³⁾	First Quarter	$	8.80		1,490,075	$	13,109
					1,490,075	$	13,109
2023
At the Market Offering Program⁽³⁾	First Quarter	$	11.77		2,690,000	$	31,657
At the Market Offering Program⁽³⁾	Second Quarter		9.95		4,757,953		47,355
At the Market Offering Program⁽³⁾	Third Quarter		9.54		8,432,086		80,426
At the Market Offering Program⁽³⁾	Fourth Quarter		-		-		-
					15,880,039	$	159,438

(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 eleven equity distribution agreements, ten 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 and the program may be suspended or discontinued at the Company’s discretion without prior notice. The stock repurchase program has no termination date.

From the inception of the stock repurchase program through March 31, 2024, the Company repurchased a total of 5,081,134 shares at an aggregate cost of approximately $77.0 million, including commissions and fees, for a weighted average price of $15.16 per share. During the three months ended March 31, 2024, the Company repurchased a total of 332,773 shares at an aggregate cost of approximately $2.8 million, including commissions and fees, for a weighted average price of $8.35 per share. During the year ended December 31, 2023, the Company repurchased a total of 1,072,789 shares at an aggregate cost of approximately $9.4 million, including commissions and fees, for a weighted average price of $8.79 per share. The remaining authorization under the stock repurchase program as of April 25, 2024 was 3,895,829 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 - YTD⁽¹⁾		0.480		25,089
Totals	$	66.930	$	633,686

(1)	On April 10, 2024, the Company declared a dividend of $0.12 per share to be paid on May 30, 2024. 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, 2024.

The entire disclosure for equity.

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
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Payer Swaptions [Member] | Long [Member]

Note 2 - Mortgage-backed Securities, At Fair Value (Details Textual) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Notional Balance, Interest Only Securities Portfolio, Amount	$ 94,900		$ 98,600
Notional Balance, Inverse Interest Only Securities Portfolio, Amount	25,800		$ 26,800
Collateralized Mortgage-Backed Securities [Member]
Investment Sold at Carrying Value	$ (221,700)	$ (0)

Condensed Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income	$ 19,776	$ 3,530
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Stock based compensation	(140)	409
Discount accretion on U.S. Treasury Bills	(1,221)	0
Unrealized losses (gains) on mortgage-backed securities and U.S. Treasury securities	61,895	(53,895)
Realized and unrealized (gains) losses on derivative instruments	(39,176)	43,563
Changes in operating assets and liabilities:
Accrued interest receivable	(663)	(1,601)
Other assets	(530)	(459)
Accrued interest payable	4,830	5,544
Other liabilities	244	182
Due to affiliates	(6)	98
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES	45,009	(2,629)
CASH FLOWS FROM INVESTING ACTIVITIES:
Purchases	(98,643)	0
Proceeds from maturity of U.S. Treasury securities, available-for-sale	100,000	0
Net proceeds from (payments on) derivative instruments	8,435	(42,450)
NET CASH USED IN INVESTING ACTIVITIES	(39,169)	(448,889)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from repurchase agreements	8,529,398	7,849,145
Principal payments on repurchase agreements	(8,523,549)	(7,458,153)
Cash dividends	(18,564)	(18,422)
Proceeds from issuance of common stock, net of issuance costs	13,109	31,657
Common stock repurchases, including shares withheld from employee stock awards for payment of taxes	(2,903)	(3,970)
NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES	(2,509)	400,257
NET INCREASE (DECREASE) IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH	3,331	(51,261)
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period	200,289	237,219
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of the period	203,620	185,958
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Interest	46,531	36,673
Collateralized Mortgage-Backed Securities [Member]
CASH FLOWS FROM INVESTING ACTIVITIES:
Purchases	(345,032)	(467,460)
Sales and maturities	221,733	0
Principal repayments	$ 74,338	$ 61,021

Note 5 - Derivative and Other Hedging Instruments - Schedule of Fair Value of Derivative Instruments (Details) - USD ($)
$ in Thousands

3 Months Ended

12 Months Ended

Mar. 31, 2024

Dec. 31, 2023

Cost

$ 1,619

Fair Value

$ 14

$ 72

Weighted average months to expiration (Year)

2 years

5 years

Weighted average term (Year)

$ 800,000

Average fixed pay rate

5.40%

1 year

Dual Digital Option [Member]

Fair Value

^[1]

$ 261

Weighted average months to expiration (Year)

^[1]

5 years 8 months 12 days

^[1]

$ 9,412

Cost

^[1]

$ 500

[1]	If, on September, 20, 2024, the S&P 500 Index (SPX) is lower than 4,725.166, and the SOFR 10 Year Swap Rate is above 3.883%, the Company will receive the notional amount. If either condition is not met, the Company will receive $0.

Insider Trading Arrangements	3 Months Ended
Insider Trading Arrangements	Mar. 31, 2024
Insider Trading Arr Line Items
Material Terms of Trading Arrangement [Text Block]	ITEM 5. OTHER INFORMATION None.
Rule 10b5-1 Arrangement Adopted [Flag]	false
Non-Rule 10b5-1 Arrangement Adopted [Flag]	false
Rule 10b5-1 Arrangement Terminated [Flag]	false
Non-Rule 10b5-1 Arrangement Terminated [Flag]	false

Note 7 - Offsetting Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2024

Offsetting Assets [Table Text Block]

(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*
March 31, 2024
Interest rate swaps	$	11,252	$	-	$	11,252	$	-	$	-		$	11,252
Interest rate swaptions		14		-		14		-		-			14
Dual digital option		261		-		261		-		-			261
TBA securities		984		-		984		-		(240	)		744
	$	12,511	$	-	$	12,511	$	-	$	(240	)	$	12,271
December 31, 2023
Interest rate swaps	$	6,348	$	-	$	6,348	$	-	$	-		$	6,348
Interest rate swaptions		72		-		72		-		-			72
	$	6,420	$	-	$	6,420	$	-	$	-		$	6,420

Offsetting Liabilities [Table Text Block]

(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*
March 31, 2024
Repurchase Agreements	$	3,711,498	$	-	$	3,711,498	$	(3,704,080	)	$	(7,418	)	$	-
TBA securities		80		-		80		-			(65	)		15
	$	3,711,578	$	-	$	3,711,578	$	(3,704,080	)	$	(7,483	)	$	15
December 31, 2023
Repurchase Agreements	$	3,705,649	$	-	$	3,705,649	$	(3,705,649	)	$	-		$	-
TBA securities		12,694		-		12,694		-			(12,694	)		-
	$	3,718,343	$	-	$	3,718,343	$	(3,705,649	)	$	(12,694	)	$	-

Note 13 - Fair Value

3 Months Ended

Mar. 31, 2024

Fair Value Disclosures [Text Block]

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 (based on the fair value option), U.S. Treasury securities, derivatives and TBA securities were recorded at fair value on a recurring basis during the three months ended March 31, 2024 and 2023. 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.

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 March 31, 2024 and December 31, 2023. 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 March 31, 2024 and December 31, 2023. 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)*
March 31, 2024
Mortgage-backed securities	$	-	$	3,881,078		$	-
U.S. Treasury securities		99,496		-			-
Interest rate swaps		-		11,252			-
Interest rate swaptions		-		14			-
Dual digital option		-		261			-
TBA securities		-		904			-
December 31, 2023
Mortgage-backed securities	$	-	$	3,894,012		$	-
U.S. Treasury securities		148,820		-			-
Interest rate swaps		-		6,348			-
Interest rate swaptions		-		72			-
TBA securities		-		(12,694	)		-

During the three months ended March 31, 2024 and 2023, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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Note 2 - Mortgage-backed Securities, At Fair Value

3 Months Ended

Mar. 31, 2024

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

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 March 31, 2024 and December 31, 2023:

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Par Value*		Cost⁽¹⁾		*Fair Value*		*Par Value*		Cost⁽¹⁾		*Fair Value*
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	4,351,259	$	4,466,595	$	3,864,505	$	4,051,145	$	4,198,424	$	3,877,082
Total Pass-Through Certificates		4,351,259		4,466,595		3,864,505		4,051,145		4,198,424		3,877,082
Structured RMBS Certificates:
Interest-Only Securities⁽²⁾		n/a		19,142		16,326		n/a		19,839		16,572
Inverse Interest-Only Securities⁽³⁾		n/a		1,756		247		n/a		1,825		358
Total Structured RMBS Certificates				20,898		16,573				21,664		16,930
Total	$	4,351,259	$	4,487,493	$	3,881,078	$	4,051,145	$	4,220,088	$	3,894,012

(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 $94.9 million and $98.6 million as of March 31, 2024 and December 31, 2023, respectively.

(3)	The notional balance for the inverse interest-only securities portfolio was $25.8 million and $26.8 million as of March 31, 2024 and December 31, 2023, respectively.

During the three months ended March 31, 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. There were no sales of RMBS during the three months ended March 31, 2023.

Note 9 - Stock Incentive Plan

3 Months Ended

Mar. 31, 2024

Compensation and Employee Benefit Plans [Text Block]

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.

The following table presents information related to PUs outstanding during the three months ended March 31, 2024 and 2023.

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2024*					*2023*
				*Weighted*					*Weighted*
				*Average*					*Average*
				*Grant Date*					*Grant Date*
	*Shares*			*Fair Value*		*Shares*			*Fair Value*
Unvested, beginning of period ⁽¹⁾		81,403		$	12.48		36,921		$	20.57
Granted		36,773			8.62		-			-
Vested and issued		(10,312	)		14.97		(4,462	)		22.09
Unvested, end of period		107,864		$	10.92		32,459		$	20.36

Compensation expense during period				$	44				$	90
Unrecognized compensation expense, end of period				$	692				$	267
Intrinsic value, end of period				$	963				$	348
Weighted-average remaining vesting term (in years)					1.5					1.1

(1)

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 three months ended March 31, 2024 and 2023. All of the fully vested shares of common stock issued during the three months ended March 31, 2024, and the related compensation expense, were granted with respect to service performed during the fiscal year ended December 31, 2023.

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2024*		*2023*
Fully vested shares granted		36,773		-
Weighted average grant date price per share	$	8.62	$	-
Compensation expense related to fully vested shares of common stock awards	$	317	$	-

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. Beginning in 2022, each non-employee director could 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.

The following table presents information related to the DSUs outstanding during the three months ended March 31, 2024 and 2023.

($ in thousands, except per share data)
	*Three Months Ended March 31,*
	*2024*				*2023*
			*Weighted*				*Weighted*
			*Average*				*Average*
			*Grant Date*				*Grant Date*
	*Shares*		*Fair Value*		*Shares*		*Fair Value*
Outstanding, beginning of period		96,704	$	15.69		54,197	$	20.29
Granted and vested		13,484		8.46		9,302		10.59
Outstanding, end of period		110,188	$	14.80		63,499	$	18.87

Compensation expense during period			$	99			$	89
Intrinsic value, end of period			$	984			$	681

Significant Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2024

Accounting Policies [Abstract]

Basis of Accounting, Policy [Policy Text Block]

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 8 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 three month period ended March 31, 2024 are not necessarily indicative of the results that may be expected for the year ending December 31, 2024.

The balance sheet at December 31, 2023 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, 2023.

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 March 31, 2024.

Consolidation, Variable Interest Entity, Policy [Policy Text Block]

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, Policy [Policy Text Block]

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)
	*March 31, 2024*		*December 31, 2023*
Cash and cash equivalents	$	190,373	$	171,893
Restricted cash		13,247		28,396
Total cash, cash equivalents and restricted cash	$	203,620	$	200,289

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. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. 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.

Marketable Securities, Policy [Policy Text Block]

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 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 and U.S. Treasury securities under the fair value option. Electing the fair value option requires the Company to record changes in fair value in net income, which, in management’s view, more appropriately reflects the results of the Company’s operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company has designated its U.S. Treasury securities purchased after August 2023 as available-for-sale, and changes in fair value 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.

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 and U.S. Treasury Notes 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. 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.

U.S. Treasury Bills are zero-coupon bonds that are purchased at a discount to the par amount. This discount is accreted into income over the life of the investment and reported in the statements of comprehensive income as interest 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.

Derivatives, Policy [Policy Text Block]

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 Treasury Note (“T-Note”), Secured Overnight Financing Rate ("SOFR"), federal funds (“Fed Funds”) and Eurodollar 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.

Fair Value of Financial Instruments, Policy [Policy Text Block]

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 and Resale Agreements Policy [Policy Text Block]

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.

Management Fees Policy [Policy Text Block]

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, Policy [Policy Text Block]

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 Tax, Policy [Policy Text Block]

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.

New Accounting Pronouncements, Policy [Policy Text Block]

Recent Accounting Pronouncements

In November 2023, the FASB issued Accounting Standards Update ("ASU:) 2023-07 "Segment Reporting (Topic 820): Improvements to Reportable Segment Disclosures. ASU 2023-07 requires additional disclosures about reportable segments’ significant expenses on an interim and annual basis. The guidance in ASU 2023-07 is effective in annual periods beginning after December 15, 2023 and subsequent interim periods, with early adoption permitted. The Company is currently evaluating the provisions of the amendments and the impact on its future financial statements.

Note 8 - Capital Stock - Issuance of Common Stock (Details) - USD ($)
$ / shares in Units, $ in Thousands

3 Months Ended

12 Months Ended

15 Months Ended

Mar. 31, 2024

Sep. 30, 2023

Jun. 30, 2023

Mar. 31, 2023

Dec. 31, 2023

Issuance of common stock pursuant to public offerings, net (in shares)

^[1]

1,490,075

15,880,039

Issuance of common stock pursuant to public offerings, net

$ 13,109

^[2]

$ 31,657

$ 159,438

^[2]

At the Market Offering Program [Member]

Price per share (in dollars per share)

^[1],[3],[4]

$ 8.8

$ 9.54

$ 9.95

$ 11.77

$ 0

Issuance of common stock pursuant to public offerings, net (in shares)

^[1],[3]

1,490,075

8,432,086

4,757,953

2,690,000

Issuance of common stock pursuant to public offerings, net

^[1],[2]

$ 13,109

$ 80,426

$ 47,355

$ 31,657

$ 0

[1]	The Company has entered into eleven equity distribution agreements, ten of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.
[2]	Net proceeds are net of the underwriters' discount, if applicable, and other offering costs.
[3]	As of December 31, 2023, the Company had entered into eleven equity distribution agreements, ten of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.
[4]	Weighted average price received per share is after deducting the underwriters’ discount, if applicable, and other offering costs.

Equity impact of the value of new stock issued during the period. Includes shares issued in an initial public offering or a secondary public offering.

+ References + Details

Note 5 - Derivative and Other Hedging Instruments

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Text Block]

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 March 31, 2024 and December 31, 2023.

(in thousands)
Derivative and Other Hedging Instruments	*Balance Sheet Location*	*March 31, 2024*			*December 31, 2023*
Assets
Interest rate swaps	Derivative assets, at fair value	$	11,252		$	6,348
Payer swaption (long position)	Derivative assets, at fair value		14			72
Dual digital option	Derivative assets, at fair value		261			-
TBA securities	Derivative assets, at fair value		984			-
Total derivative assets, at fair value		$	12,511		$	6,420

Liabilities
TBA securities	Derivative liabilities, at fair value	$	80		$	12,694
Total derivative liabilities, at fair value		$	80		$	12,694

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	5,009		$	4,096
TBA securities	Restricted cash		65			23,720
TBA securities	Other liabilities		(240	)		-
Interest rate swaption contracts	Restricted cash		755			580
Total margin balances on derivative contracts		$	5,589		$	28,396

Fed Funds, T-Note and SOFR futures are cash settled futures contracts on an interest rate, 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 March 31, 2024 and December 31, 2023.

($ in thousands)
	*March 31, 2024*
	*Average*		*Weighted*			*Weighted*
	*Contract*		*Average*			*Average*
	*Notional*		*Entry*			*Effective*			*Open*
Expiration Year	*Amount*		*Rate*			*Rate*			Equity⁽¹⁾
Treasury Note Futures Contracts (Short Positions)⁽²⁾
June 2024 5-year T-Note futures (Jun 2024 - Jun 2029 Hedge Period)	$	421,500		4.26	%		4.42	%	$	(1,099	)
March 2024 10-year T-Note futures (Mar 2024 - Mar 2034 Hedge Period)		320,000		4.29	%		4.64	%		(2,475	)
SOFR Futures Contracts (Short Positions)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)	$	25,000		4.27	%		4.87	%	$	149
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)		25,000		3.90	%		4.57	%		168
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)		25,000		3.58	%		4.30	%		179
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		25,000		3.37	%		4.07	%		175
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		25,000		3.25	%		3.88	%		158
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)		25,000		3.21	%		3.76	%		138

($ in thousands)
	*December 31, 2023*
	*Average*		*Weighted*			*Weighted*
	*Contract*		*Average*			*Average*
	*Notional*		*Entry*			*Effective*			*Open*
Expiration Year	*Amount*		*Rate*			*Rate*			Equity⁽¹⁾
Treasury Note Futures Contracts (Short Positions)⁽²⁾
March 2024 5-year T-Note futures (Mar 2024 - Mar 2029 Hedge Period)	$	421,500		4.36	%		4.04	%	$	(9,936	)
March 2024 10-year T-Note futures (Mar 2024 - Mar 2034 Hedge Period)		320,000		4.38	%		4.39	%		(11,393	)
SOFR Futures Contracts (Short Positions)
June 2024 3-Month SOFR futures (Mar 2024 - Jun 2024 Hedge Period)	$	25,000		5.08	%		4.99	%	$	(24	)
September 2024 3-Month SOFR futures (Jun 2024 - Sep 2024 Hedge Period)		25,000		4.67	%		4.52	%		(39	)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)		25,000		4.27	%		4.10	%		(44	)
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)		25,000		3.90	%		3.73	%		(43	)
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)		25,000		3.58	%		3.42	%		(41	)
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		25,000		3.37	%		3.21	%		(39	)
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		25,000		3.25	%		3.10	%		(37	)
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)		25,000		3.21	%		3.07	%		(35	)

(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 $107.02 at March 31, 2024 and $108.77 at December 31, 2023. The contract values of the short positions were $451.1 million and $458.5 million at March 31, 2024 and December 31, 2023, respectively. 10-Year T-Note futures contracts were valued at a price of $110.80 at March 31, 2024 and $112.89 at December 31, 2023.The contract values of the short positions were $354.6 million and $361.2 million at March 31, 2024 and December 31, 2023, respectively.

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 March 31, 2024 and December 31, 2023.

($ in thousands)
			*Average*
			*Fixed*			*Average*			*Average*
	*Notional*		*Pay*			*Receive*			*Maturity*
	*Amount*		*Rate*			*Rate*			*(Years)*
March 31, 2024
Expiration > 1 to ≤ 5 years	$	1,200,000		1.34	%		5.45	%		3.9
Expiration > 5 years		1,331,800		3.28	%		5.38	%		7.4
	$	2,531,800		2.36	%		5.41	%		5.7
December 31, 2023
Expiration > 1 to ≤ 5 years	$	500,000		0.84	%		5.64	%		2.7
Expiration > 5 years		1,826,500		2.62	%		5.40	%		6.8
	$	2,326,500		2.24	%		5.45	%		5.9

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.

The table below presents information related to the Company’s option positions at March 31, 2024 and December 31, 2023.

($ in thousands)
	*Option*						*Underlying Swap*
					*Weighted*								*Weighted*
					*Average*				*Average*			*Adjustable*	*Average*
			*Fair*		*Months to*		*Notional*		*Fixed*			*Rate*	*Term*
	*Cost*		*Value*		*Expiration*		*Amount*		*Rate*			*Index*	*(Years)*
March 31, 2024
Payer Swaption (long position)	$	1,619	$	14		2.0	$	800,000		5.40	%	SOFR		1.0
Dual Digital Option⁽¹⁾	$	500	$	261		5.7	$	9,412		n/a		n/a		n/a
December 31, 2023
Payer Swaption (long position)	$	1,619	$	72		5.0	$	800,000		5.40	%	SOFR		1.0

(1)	If, on September, 20, 2024, the S&P 500 Index (SPX) is lower than 4,725.166, and the SOFR 10 Year Swap Rate is above 3.883%, the Company will receive the notional amount. If either condition is not met, the Company will receive $0.

We purchase interest rate swaptions to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our interest rate swaption agreements are not subject to central clearing. The difference between the premium paid and the fair value of the swaption is reported in gain (loss) on derivative and other hedging instruments in our statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap and the premium paid.

A dual digital option is a type of binary, or digital option, that involves both upper and lower conditions. A dual digital option will only activate if both conditions are met at expiration. If both conditions are met, we will receive the notional amount. If either condition is not met, we will lose our premium.

The following table summarizes the Company’s contracts to purchase and sell TBA securities as of March 31, 2024 and December 31, 2023.

($ in thousands)
	Notional
	Amount									Net
	Long			Cost			Market			Carrying
	(Short)⁽¹⁾			Basis⁽²⁾			Value⁽³⁾			Value⁽⁴⁾
March 31, 2024
*30-Year TBA securities:*
3.0%	$	(170,700	)	$	(147,202	)	$	(147,282	)	$	(80	)
3.5%		(200,000	)		(180,219	)		(179,235	)		984
Total	$	(370,700	)	$	(327,421	)	$	(326,517	)	$	904
December 31, 2023
*30-Year TBA securities:*
3.0%	$	(70,700	)	$	(59,278	)	$	(62,647	)	$	(3,369	)
5.0%		(250,000	)		(242,725	)		(247,657	)		(4,932	)
5.5%		(325,000	)		(322,410	)		(326,803	)		(4,393	)
Total	$	(645,700	)	$	(624,413	)	$	(637,107	)	$	(12,694	)

(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 three months ended March 31, 2024 and 2023.

(in thousands)
	*Three Months Ended March 31,*
	*2024*			*2023*
Interest rate futures contracts (short position)	$	19,090		$	(4,038	)
Interest rate swaps		59,098			(26,144	)
Payer swaptions (short positions)		-			6,585
Payer swaptions (long positions)		(58	)		(12,109	)
Interest rate caps		-			(645	)
Dual digital option		(239	)		-
Interest rate floors (long positions)		-			1,185
TBA securities (short positions)		9,903			(5,990	)
TBA securities (long positions)		105			-
Total	$	87,899		$	(41,156	)

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.

Note 5 - Derivative and Other Hedging Instruments - Schedule of Derivative Instruments in Balance Sheet (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Restricted Cash and Cash Equivalents, Current	$ 13,247	$ 28,396
Other liabilites	(917)	(1,031)
Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative assets, at fair value	12,511	6,420
Derivative liabilities, at fair value	80	12,694
Total margin balances on derivative contracts	5,589	28,396
Not Designated as Hedging Instrument, Economic Hedge [Member] \| Long [Member]
Derivative assets, at fair value	14	72
Not Designated as Hedging Instrument, Economic Hedge [Member] \| Interest Rate Swap [Member]
Derivative assets, at fair value	11,252	6,348
Not Designated as Hedging Instrument, Economic Hedge [Member] \| Dual Digital Option [Member]
Derivative assets, at fair value	261	0
Not Designated as Hedging Instrument, Economic Hedge [Member] \| TBA Contracts [Member]
Derivative assets, at fair value	984	0
Derivative liabilities, at fair value	80	12,694
Restricted Cash and Cash Equivalents, Current	65	23,720
Other liabilites	(240)	0
Not Designated as Hedging Instrument, Economic Hedge [Member] \| Eurodollar Future Margin [Member]
Restricted Cash and Cash Equivalents, Current	5,009	4,096
Not Designated as Hedging Instrument, Economic Hedge [Member] \| Interest Rate Swaption [Member]
Restricted Cash and Cash Equivalents, Current	$ 755	$ 580

Note 8 - Capital Stock - Dividends Declared (Details) - USD ($)
$ / shares in Units, $ in Thousands

3 Months Ended

4 Months Ended

12 Months Ended

135 Months Ended

Apr. 10, 2024

Mar. 31, 2024

Mar. 31, 2023

Apr. 26, 2024

Dec. 31, 2023

Dec. 31, 2022

Dec. 31, 2021

Dec. 31, 2020

Dec. 31, 2019

Dec. 31, 2018

Dec. 31, 2017

Dec. 31, 2016

Dec. 31, 2015

Dec. 31, 2014

Dec. 31, 2013

Mar. 31, 2024

Cash dividends declared, per share (in dollars per share)

$ 0.36

$ 0.48

$ 1.8

$ 2.475

$ 3.9

$ 3.95

$ 4.8

$ 5.35

$ 8.4

$ 9.6

$ 10.8

$ 6.975

$ 66.93

Dividends

$ 81,127

$ 87,906

$ 97,601

$ 53,570

$ 54,421

$ 55,814

$ 70,717

$ 41,388

$ 38,748

$ 22,643

$ 4,662

$ 633,686

Subsequent Event [Member]

Cash dividends declared, per share (in dollars per share)

$ 0.12

$ 0.48

^[1]

Dividends

^[1]

$ 25,089

[1]	On April 10, 2024, the Company declared a dividend of $0.12 per share to be paid on May 30, 2024. 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, 2024.

Note 2 - Mortgage-backed Securities, At Fair Value - Schedule of RMBS Portfolio (Details) - USD ($)
$ in Thousands

Mar. 31, 2024

Dec. 31, 2023

$ 4,351,259

$ 4,051,145

^[1]

4,487,493

4,220,088

Pass Through Certificate [Member]

3,881,078

3,894,012

4,351,259

4,051,145

^[1]

4,466,595

4,198,424

Pass Through Certificate [Member] | Fixed Rate Mortgages [Member]

3,864,505

3,877,082

4,351,259

4,051,145

^[1]

4,466,595

4,198,424

Structured Finance [Member]

3,864,505

3,877,082

^[1]

20,898

21,664

Structured Finance [Member] | Interest Only Securities [Member]

16,573

16,930

^[1],[2]

19,142

19,839

Structured Finance [Member] | Inverse Interest Only Securities [Member]

^[2]

16,326

16,572

^[1],[3]

1,756

1,825

^[3]

$ 247

$ 358

[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 $94.9 million and $98.6 million as of March 31, 2024 and December 31, 2023, respectively.
[3]	The notional balance for the inverse interest-only securities portfolio was $25.8 million and $26.8 million as of March 31, 2024 and December 31, 2023, respectively.

Note 5 - Derivatives and Other Hedging Instruments - Schedule of Interest Rate Swaps (Details) - Interest Rate Swap [Member] - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Notional amount	$ 2,531.8	$ 2,326.5
Average fixed pay rate	2.36%	2.24%
Average receive rate	5.41%	5.45%
Average maturity (Year)	5 years 8 months 12 days	5 years 10 months 24 days
One to Five Years [Member]
Notional amount	$ 1,200.0	$ 500.0
Average fixed pay rate	1.34%	0.84%
Average receive rate	5.45%	5.64%
Average maturity (Year)	3 years 10 months 24 days	2 years 8 months 12 days
More Than Five Years [Member]
Notional amount	$ 1,331.8	$ 1,826.5
Average fixed pay rate	3.28%	2.62%
Average receive rate	5.38%	5.40%
Average maturity (Year)	7 years 4 months 24 days	6 years 9 months 18 days

Nominal or face amount used to calculate payments on the derivative asset.

+ References + Details

Note 6 - Pledged Assets (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Financial Instruments Owned and Pledged as Collateral [Table Text Block]

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Counterparties	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
PT RMBS - fair value	$	3,859,132	$	-	$	3,859,132	$	3,868,624	$	-	$	3,868,624
Structured RMBS - fair value		16,573		-		16,573		16,930		-		16,930
U.S. Treasury securities		-		79,590		79,590		-		79,680		79,680
Accrued interest on pledged securities		15,262		336		15,598		14,922		-		14,922
Restricted cash		7,418		5,829		13,247		-		28,396		28,396
Total	$	3,898,385	$	85,755	$	3,984,140	$	3,900,476	$	108,076	$	4,008,552

Schedule of Financial Instruments Pledged as Collateral From Counterparties [Table Text Block]

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Orchid	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
Cash	$	6,475	$	240	$	6,715	$	42,179	$	-	$	42,179
U.S. Treasury securities - fair value		1,418		-		1,418		10,429		-		10,429
Total	$	7,893	$	240	$	8,133	$	52,608	$	-	$	52,608

Note 1 - Organization and Significant Accounting Policies (Tables)

3 Months Ended

Mar. 31, 2024

Cash, Cash Equivalents and Investments [Table Text Block]

(in thousands)
	*March 31, 2024*		*December 31, 2023*
Cash and cash equivalents	$	190,373	$	171,893
Restricted cash		13,247		28,396
Total cash, cash equivalents and restricted cash	$	203,620	$	200,289

Note 14 - Related Party Transactions

3 Months Ended

Mar. 31, 2024

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, 2025 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.

Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $2.9 million and $3.4 million for the three months ended March 31, 2024 and 2023, respectively. At March 31, 2024 and December 31, 2023, the net amount due to affiliates was approximately $1.0 million and $1.0 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 March 31, 2024, Bimini owned 569,071 shares, or 1.1%, of the Company’s common stock.

The entire disclosure for related party transactions. Examples of related party transactions include transactions between (a) a parent company and its subsidiary; (b) subsidiaries of a common parent; (c) and entity and its principal owners; and (d) affiliates.

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
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-Name Accounting Standards Codification
-Section 50
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Reference 2: http://www.xbrl.org/2003/role/disclosureRef
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Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 946
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Reference 4: http://www.xbrl.org/2003/role/disclosureRef
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Reference 5: http://www.xbrl.org/2003/role/disclosureRef
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Reference 6: http://www.xbrl.org/2003/role/disclosureRef
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Reference 7: http://www.xbrl.org/2003/role/disclosureRef
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Reference 8: http://www.xbrl.org/2003/role/disclosureRef
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Reference 9: http://www.xbrl.org/2003/role/disclosureRef
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Reference 10: http://www.xbrl.org/2003/role/disclosureRef
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Reference 11: http://www.xbrl.org/2003/role/disclosureRef
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Reference 13: http://www.xbrl.org/2003/role/disclosureRef
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-URI https://asc.fasb.org/1943274/2147483326/850-10-50-1

Note 14 - Related Party Transactions (Details Textual) - USD ($) $ in Millions	3 Months Ended		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Bimini Advisors LLC [Member]
Automatic Renewal Period Of Management Agreement (Year)			1 year
Management Fee and Overhead Expense	$ 2.9	$ 3.4
Accounts Payable, Current	$ 1.0	$ 1.0
Bimini Capital Management Inc [Member]
Entity Shares Owned (in shares)	569,071
Entity Ownership Percentage	1.10%

Note 6 - Pledged Assets

3 Months Ended

Mar. 31, 2024

Pledged Assets [Text Block]

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 March 31, 2024 and December 31, 2023.

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Counterparties	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
PT RMBS - fair value	$	3,859,132	$	-	$	3,859,132	$	3,868,624	$	-	$	3,868,624
Structured RMBS - fair value		16,573		-		16,573		16,930		-		16,930
U.S. Treasury securities		-		79,590		79,590		-		79,680		79,680
Accrued interest on pledged securities		15,262		336		15,598		14,922		-		14,922
Restricted cash		7,418		5,829		13,247		-		28,396		28,396
Total	$	3,898,385	$	85,755	$	3,984,140	$	3,900,476	$	108,076	$	4,008,552

Assets Pledged from Counterparties

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of March 31, 2024 and December 31, 2023.

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Orchid	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
Cash	$	6,475	$	240	$	6,715	$	42,179	$	-	$	42,179
U.S. Treasury securities - fair value		1,418		-		1,418		10,429		-		10,429
Total	$	7,893	$	240	$	8,133	$	52,608	$	-	$	52,608

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 4 - Repurchase Agreements - Schedule of Repurchase Agreements (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Fair market value of securities pledged, including accrued interest receivable	$ 3,890,967	$ 3,900,476
Repurchase agreement liabilities associated with these securities	$ 3,711,498	$ 3,705,649
Net weighted average borrowing rate	5.46%	5.55%
Maturity Overnight [Member]
Fair market value of securities pledged, including accrued interest receivable	$ 94,362	$ 0
Repurchase agreement liabilities associated with these securities	$ 88,946	$ 0
Net weighted average borrowing rate	5.47%	0.00%
Maturity 2 to 30 Days [Member]
Fair market value of securities pledged, including accrued interest receivable	$ 3,406,836	$ 3,125,315
Repurchase agreement liabilities associated with these securities	$ 3,251,797	$ 2,966,650
Net weighted average borrowing rate	5.46%	5.55%
Maturity 30 to 90 Days [Member]
Fair market value of securities pledged, including accrued interest receivable	$ 361,390	$ 710,055
Repurchase agreement liabilities associated with these securities	$ 343,299	$ 674,696
Net weighted average borrowing rate	5.45%	5.54%
Maturity Greater than 90 Days [Member]
Fair market value of securities pledged, including accrued interest receivable	$ 28,379	$ 65,106
Repurchase agreement liabilities associated with these securities	$ 27,456	$ 64,303
Net weighted average borrowing rate	5.37%	5.46%

Note 12 - Earnings Per Share (EPS) (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Earnings Per Share, Basic and Diluted [Table Text Block]

(in thousands, except per share information)
	*Three Months Ended March 31,*
	*2024*			*2023*
Basic and diluted EPS per common share:
Numerator for basic and diluted EPS per share of common stock:
Net income - Basic and diluted	$	19,776		$	3,530
Weighted average shares of common stock:
Shares of common stock outstanding at the balance sheet date		52,826			39,086
Unvested dividend eligible share based compensation outstanding at the balance sheet date		218			96
Effect of weighting		(1,440	)		(690	)
Weighted average shares-basic and diluted		51,604			38,492
Net income per common share:
Basic and diluted	$	0.38		$	0.09

Note 1 - Organization and Significant Accounting Policies

3 Months Ended

Mar. 31, 2024

Organization, Consolidation and Presentation of Financial Statements Disclosure and Significant Accounting Policies [Text Block]

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 October 29, 2021, Orchid entered into an equity distribution agreement (the “October 2021 Equity Distribution Agreement”) with four 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 9,742,188 shares under the October 2021 Equity Distribution Agreement for aggregate gross proceeds of approximately $151.8 million, and net proceeds of approximately $149.3 million, after commissions and fees, prior to its termination in March 2023.

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 may 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 are deemed to be “at the market” offerings and privately negotiated transactions. Through March 31, 2024, the Company issued a total of 14,680,114 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $143.2 million, and net proceeds of approximately $140.9 million, after commissions and fees.

Basis of Presentation and Use of Estimates

Variable Interest Entities (“VIEs”)

Cash and Cash Equivalents and Restricted Cash

(in thousands)
	*March 31, 2024*		*December 31, 2023*
Cash and cash equivalents	$	190,373	$	171,893
Restricted cash		13,247		28,396
Total cash, cash equivalents and restricted cash	$	203,620	$	200,289

Mortgage-Backed Securities and U.S. Treasury Securities

Derivative and Other Hedging Instruments

Financial Instruments

Repurchase Agreements

Manager Compensation

Earnings Per Share

Stock-Based Compensation

Income Taxes

Recent Accounting Pronouncements

Note 4 - Repurchase Agreements

3 Months Ended

Mar. 31, 2024

Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block]

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 March 31, 2024, the Company had met all margin call requirements.

As of March 31, 2024 and December 31, 2023, 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*
March 31, 2024
Fair market value of securities pledged, including accrued interest receivable	$	94,362		$	3,406,836		$	361,390		$	28,379		$	3,890,967
Repurchase agreement liabilities associated with these securities	$	88,946		$	3,251,797		$	343,299		$	27,456		$	3,711,498
Net weighted average borrowing rate		5.47	%		5.46	%		5.45	%		5.37	%		5.46	%
December 31, 2023
Fair market value of securities pledged, including accrued interest receivable	$	-		$	3,125,315		$	710,055		$	65,106		$	3,900,476
Repurchase agreement liabilities associated with these securities	$	-		$	2,966,650		$	674,696		$	64,303		$	3,705,649
Net weighted average borrowing rate		-			5.55	%		5.54	%		5.46	%		5.55	%

In addition, cash pledged to counterparties for repurchase agreements was approximately $7.4 million as of March 31, 2024.

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 March 31, 2024, 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 $174.1 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 March 31, 2024 or December 31, 2023.

Condensed Statements of Stockholders' Equity (Unaudited) (Parentheticals) - $ / shares	3 Months Ended		12 Months Ended											135 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Mar. 31, 2024
Cash dividends declared, per share (in dollars per share)	$ 0.36	$ 0.48	$ 1.8	$ 2.475	$ 3.9	$ 3.95	$ 4.8	$ 5.35	$ 8.4	$ 8.4	$ 9.6	$ 10.8	$ 6.975	$ 66.93

Note 3 - U.S. Treasury Securities, Available-for-sale (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Available-for-Sale Securities Reconciliation [Table Text Block]

(in thousands)
			*Gross*		*Gross*
	*Amortized*		*Unrealized*		*Unrealized*			*Fair*
	*Cost*		*Gains*		*Losses*			*Value*
March 31, 2024
U.S. Treasury Bill maturing 4/30/2024	$	49,791	$	-	$	(24	)	$	49,767
U.S. Treasury Note maturing 5/31/2024		49,735		-		(6	)		49,729
	$	99,526	$	-	$	(30	)	$	99,496
December 31, 2023
U.S. Treasury Bill maturing 1/2/2024	$	49,671	$	9	$	-		$	49,680
U.S. Treasury Bill maturing 2/15/2024		49,992		8		-			50,000
U.S. Treasury Bill maturing 4/30/2024		49,140		-		-			49,140
	$	148,803	$	17	$	-		$	148,820

Note 4 - Repurchase Agreements (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Repurchase Agreements [Table Text Block]

($ in thousands)
	*OVERNIGHT*			*BETWEEN 2*			*BETWEEN 31*			*GREATER*
	*(1 DAY OR*			*AND*			*AND*			*THAN*
	*LESS)*			*30 DAYS*			*90 DAYS*			*90 DAYS*			*TOTAL*
March 31, 2024
Fair market value of securities pledged, including accrued interest receivable	$	94,362		$	3,406,836		$	361,390		$	28,379		$	3,890,967
Repurchase agreement liabilities associated with these securities	$	88,946		$	3,251,797		$	343,299		$	27,456		$	3,711,498
Net weighted average borrowing rate		5.47	%		5.46	%		5.45	%		5.37	%		5.46	%
December 31, 2023
Fair market value of securities pledged, including accrued interest receivable	$	-		$	3,125,315		$	710,055		$	65,106		$	3,900,476
Repurchase agreement liabilities associated with these securities	$	-		$	2,966,650		$	674,696		$	64,303		$	3,705,649
Net weighted average borrowing rate		-			5.55	%		5.54	%		5.46	%		5.55	%

Note 1 - Organization and Significant Accounting Policies - Schedule of Cash and Cash Equivalents (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Cash and cash equivalents	$ 190,373	$ 171,893
Restricted cash	13,247	28,396
Total cash, cash equivalents and restricted cash	$ 203,620	$ 200,289

Note 3 - U.S. Treasury Securities, Available-for-sale (Details Textual) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Debt Securities, Available-for-Sale	$ 99,496	$ 148,820
US Treasury Securities [Member]
Debt Securities, Available-for-Sale	$ 99,496	$ 148,820

Amount of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale).

Balances (in shares) at Dec. 31, 2022

Condensed Statements of Stockholders' Equity (Unaudited) - USD ($)

Common Stock [Member]

Additional Paid-in Capital [Member]

Retained Earnings [Member]

AOCI Attributable to Parent [Member]

Total

36,765,000

Balances at Dec. 31, 2022

$ 368,000

$ 779,602,000

$ (341,207,000)

$ 0

$ 438,763,000

Net income

3,530,000

Unrealized loss on available-for-sale securities

Cash dividends declared

$ 0

(18,807,000)

Stock based awards and amortization (in shares)

4,000

Stock based awards and amortization

$ 0

181,000

Issuance of common stock pursuant to public offerings, net (in shares)

2,690,000

Issuance of common stock pursuant to public offerings, net

$ 26,000

31,631,000

31,657,000

Shares repurchased and retired (in shares)

(373,000)

Shares repurchased and retired

$ (3,000)

(3,960,000)

$ (3,963,000)

Balances (in shares) at Mar. 31, 2023

39,086,000

Balances at Mar. 31, 2023

$ 391,000

788,647,000

(337,677,000)

$ 451,361,000

Balances (in shares) at Dec. 31, 2022

36,765,000

Balances at Dec. 31, 2022

$ 368,000

779,602,000

(341,207,000)

$ 438,763,000

Issuance of common stock pursuant to public offerings, net (in shares)

^[1]

15,880,039

Issuance of common stock pursuant to public offerings, net

^[2]

$ 159,438,000

Balances (in shares) at Dec. 31, 2023

51,636,000

Balances at Dec. 31, 2023

$ 516,000

849,845,000

(380,433,000)

17,000

469,945,000

Net income

19,776,000

Unrealized loss on available-for-sale securities

(47,000)

Cash dividends declared

$ 0

(18,724)

Stock based awards and amortization (in shares)

33,000

Stock based awards and amortization

$ 0

350,000

$ 350,000

Issuance of common stock pursuant to public offerings, net (in shares)

1,490,000

1,490,075

^[1]

Issuance of common stock pursuant to public offerings, net

$ 15,000

13,094,000

$ 13,109,000

^[2]

Shares repurchased and retired (in shares)

(333,000)

Shares repurchased and retired

$ (3,000)

(2,775,000)

$ (2,778,000)

Balances (in shares) at Mar. 31, 2024

52,826,000

Balances at Mar. 31, 2024

$ 528,000

$ 841,790,000

$ (360,657,000)

$ (30,000)

$ 481,631,000

[1]	The Company has entered into eleven equity distribution agreements, ten of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.
[2]	Net proceeds are net of the underwriters' discount, if applicable, and other offering costs.

Note 8 - Capital Stock (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of Common Stock Outstanding Roll Forward [Table Text Block]

($ in thousands, except per share amounts)
		*Weighted*
		*Average*
		*Price*
		*Received*				*Net*
Type of Offering	*Period*	Per Share⁽¹⁾		*Shares*		Proceeds⁽²⁾
2024
At the Market Offering Program⁽³⁾	First Quarter	$	8.80		1,490,075	$	13,109
					1,490,075	$	13,109
2023
At the Market Offering Program⁽³⁾	First Quarter	$	11.77		2,690,000	$	31,657
At the Market Offering Program⁽³⁾	Second Quarter		9.95		4,757,953		47,355
At the Market Offering Program⁽³⁾	Third Quarter		9.54		8,432,086		80,426
At the Market Offering Program⁽³⁾	Fourth Quarter		-		-		-
					15,880,039	$	159,438

Dividends Declared [Table Text Block]

(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 - YTD⁽¹⁾		0.480		25,089
Totals	$	66.930	$	633,686

Note 10 - Commitments and Contingencies

3 Months Ended

Mar. 31, 2024

Commitments and Contingencies Disclosure [Text Block]

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 at March 31, 2024.

Note 12 - Earnings Per Share (EPS) - Schedule of Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Net income - Basic and diluted	$ 19,776	$ 3,530
Shares of common stock outstanding at the balance sheet date (in shares)	52,826,000	39,086,000
Unvested dividend eligible share based compensation outstanding at the balance sheet date (in shares)	218,000	96,000
Effect of weighting (in shares)	(1,440,000)	(690,000)
Weighted Average Shares Outstanding (in shares)	51,604,135	38,491,767
Basic and diluted net income per share (in dollars per share)	$ 0.38	$ 0.09

The amount of net income (loss) for the period per each share of common stock or unit outstanding during the reporting period.

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Amount, after deduction of tax, noncontrolling interests, dividends on preferred stock and participating securities; of income (loss) available to common shareholders.

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Note 9 - Stock Incentive Plan - Share Based Compensation Arrangements by Share Based Payment Award (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Stock based compensation	$ (140)	$ 409
Deferred Stock Units [Member]
Outstanding, shares (in shares)	96,704	54,197
Outstanding, grant date fair value (in dollars per share)	$ 15.69	$ 20.29
Granted and vested, shares (in shares)	13,484	9,302
Granted and vested, grant date fair value (in dollars per share)	$ 8.46	$ 10.59
Outstanding, shares (in shares)	110,188	63,499
Outstanding, grant date fair value (in dollars per share)	$ 14.8	$ 18.87
Stock based compensation	$ 99	$ 89
Intrinsic value, end of period	$ 984	$ 681

Note 5 - Derivative and Other Hedging Instruments (Details Textual) $ in Thousands	Mar. 31, 2024 USD ($) $ / item	Dec. 31, 2023 USD ($) $ / item
Dual Digital Option, Covenant, S&P 500 Index	4,725.166
Dual Digital Option, Covenant, SOFR 10 Year Swap Rate	3.883%
Dual Digital Option, Amount, Covenants Not Met	$ 0
Five Year Treasury Note Futures [Member] \| Short [Member]
Derivative, Forward Price (in USD per Per Share) \| $ / item	107.02	108.77
Derivative, Fair Value, Net	$ 451,100	$ 458,500
Ten Year Ultra Future [Member] \| Short [Member]
Derivative, Forward Price (in USD per Per Share) \| $ / item	110.8	112.89
Derivative, Fair Value, Net	$ 354,600	$ 361,200

Note 3 - U.S. Treasury Securities, Available-for-sale

3 Months Ended

Mar. 31, 2024

Available-for-sale Debt Securities [Text Block]

NOTE 3. U.S. TREASURY SECURITIES, AVAILABLE-FOR-SALE

As of March 31, 2024 and December 31, 2023, the Company held U.S. Treasury securities with a fair value of approximately $99.5 million and $148.8 million, respectively, that were classified as available-for-sale. U.S. Treasury securities are held primarily to satisfy collateral requirements of the Company's repurchase and derivative counterparties.

The amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of March 31, 2024 and December 31, 2023 are as follows:

(in thousands)
			*Gross*		*Gross*
	*Amortized*		*Unrealized*		*Unrealized*			*Fair*
	*Cost*		*Gains*		*Losses*			*Value*
March 31, 2024
U.S. Treasury Bill maturing 4/30/2024	$	49,791	$	-	$	(24	)	$	49,767
U.S. Treasury Note maturing 5/31/2024		49,735		-		(6	)		49,729
	$	99,526	$	-	$	(30	)	$	99,496
December 31, 2023
U.S. Treasury Bill maturing 1/2/2024	$	49,671	$	9	$	-		$	49,680
U.S. Treasury Bill maturing 2/15/2024		49,992		8		-			50,000
U.S. Treasury Bill maturing 4/30/2024		49,140		-		-			49,140
	$	148,803	$	17	$	-		$	148,820

Since 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 2 - Mortgage-backed Securities, At Fair Value (Tables)

3 Months Ended

Mar. 31, 2024

Marketable Securities [Table Text Block]

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Par Value*		Cost⁽¹⁾		*Fair Value*		*Par Value*		Cost⁽¹⁾		*Fair Value*
Pass-Through RMBS Certificates:
Fixed-rate Mortgages	$	4,351,259	$	4,466,595	$	3,864,505	$	4,051,145	$	4,198,424	$	3,877,082
Total Pass-Through Certificates		4,351,259		4,466,595		3,864,505		4,051,145		4,198,424		3,877,082
Structured RMBS Certificates:
Interest-Only Securities⁽²⁾		n/a		19,142		16,326		n/a		19,839		16,572
Inverse Interest-Only Securities⁽³⁾		n/a		1,756		247		n/a		1,825		358
Total Structured RMBS Certificates				20,898		16,573				21,664		16,930
Total	$	4,351,259	$	4,487,493	$	3,881,078	$	4,051,145	$	4,220,088	$	3,894,012

Document And Entity Information - shares	3 Months Ended
Document And Entity Information - shares	Mar. 31, 2024	Apr. 25, 2024
Document Information [Line Items]
Entity Central Index Key	0001518621
Entity Registrant Name	Orchid Island Capital, Inc.
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Document Fiscal Period Focus	Q1
Document Fiscal Year Focus	2024
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2024
Document Transition Report	false
Entity File Number	001-35236
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	27-3269228
Entity Address, Address Line One	3305 Flamingo Drive
Entity Address, City or Town	Vero Beach
Entity Address, State or Province	FL
Entity Address, Postal Zip Code	32963
City Area Code	772
Local Phone Number	231-1400
Title of 12(b) Security	Common Stock, $0.01 par value
Trading Symbol	ORC
Security Exchange Name	NYSE
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		52,973,989

Note 5 - Derivative and Other Hedging Instruments - Schedule of Derivative Instruments Gain (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Gains (losses) on derivative and other hedging instruments	$ 87,899	$ (41,156)
Treasury Note Future [Member] \| Short [Member]
Gains (losses) on derivative and other hedging instruments	19,090	(4,038)
Interest Rate Swap [Member]
Gains (losses) on derivative and other hedging instruments	59,098	(26,144)
Payer Swaptions [Member] \| Short [Member]
Gains (losses) on derivative and other hedging instruments	0	6,585
Payer Swaptions [Member] \| Long [Member]
Gains (losses) on derivative and other hedging instruments	(58)	(12,109)
Interest Rate Cap [Member]
Gains (losses) on derivative and other hedging instruments	0	(645)
Dual Digital Option [Member]
Gains (losses) on derivative and other hedging instruments	(239)	0
Interest Rate Floor [Member] \| Short [Member]
Gains (losses) on derivative and other hedging instruments	0	1,185
TBA Contracts [Member] \| Short [Member]
Gains (losses) on derivative and other hedging instruments	9,903	(5,990)
TBA Contracts [Member] \| Long [Member]
Gains (losses) on derivative and other hedging instruments	$ 105	$ 0

Note 6 - Pledged Assets - Schedule of Financial Instruments Owned and Pledged as Collateral (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Accrued interest receivable	$ 15,614	$ 14,951
Restricted cash	13,247	28,396
Asset Pledged as Collateral [Member]
Accrued interest receivable	15,598	14,922
Restricted cash	13,247	28,396
Total	3,984,140	4,008,552
Asset Pledged as Collateral [Member] \| Residential Mortgage-Backed Securities [Member] \| Pass Through Certificate [Member]
Investment at fair value	3,859,132	3,868,624
Asset Pledged as Collateral [Member] \| Residential Mortgage-Backed Securities [Member] \| Structured Finance [Member]
Investment at fair value	16,573	16,930
Asset Pledged as Collateral [Member] \| US Treasury Securities [Member]
Investment at fair value	79,590	79,680
Asset Pledged as Collateral [Member] \| Repurchase Agreements [Member]
Accrued interest receivable	15,262	14,922
Restricted cash	7,418
Total	3,898,385	3,900,476
Asset Pledged as Collateral [Member] \| Repurchase Agreements [Member] \| Residential Mortgage-Backed Securities [Member] \| Pass Through Certificate [Member]
Investment at fair value	3,859,132	3,868,624
Asset Pledged as Collateral [Member] \| Repurchase Agreements [Member] \| Residential Mortgage-Backed Securities [Member] \| Structured Finance [Member]
Investment at fair value	16,573	16,930
Asset Pledged as Collateral [Member] \| Derivative [Member]
Accrued interest receivable	336	0
Restricted cash	5,829	28,396
Total	85,755	108,076
Asset Pledged as Collateral [Member] \| Derivative [Member] \| US Treasury Securities [Member]
Investment at fair value	$ 79,590	$ 79,680

Note 7 - Offsetting Assets and Liabilities - Offsetting Liabilities (Details) - Liability [Member] - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Gross amount, recognized	$ 3,711,578	$ 3,718,343
Gross Amount, offset	0	0
Net Amount	3,711,578	3,718,343
Gross Amount, not recognized	(3,704,080)	(3,705,649)
Gross amount, not offset	(7,483)	(12,694)
Net amount, after deduction	15	0
Repurchase Agreements [Member]
Gross amount, recognized	3,711,498	3,705,649
Gross Amount, offset	0	0
Net Amount	3,711,498	3,705,649
Gross Amount, not recognized	(3,704,080)	(3,705,649)
Gross amount, not offset	(7,418)	0
Net amount, after deduction	0	0
TBA Contracts [Member]
Gross amount, recognized	80	12,694
Gross Amount, offset	0	0
Net Amount	80	12,694
Gross Amount, not recognized	0	0
Gross amount, not offset	(65)	(12,694)
Net amount, after deduction	$ 15	$ 0

Note 5 - Derivative and Other Hedging Instruments - Schedule of To Be Announced Securities (Details) - Short [Member] - USD ($)
$ in Thousands

Mar. 31, 2024

Dec. 31, 2023

Three Percent TBA Securities [Member]

^[1]

$ (170,700)

$ (70,700)

^[2]

(147,202)

(59,278)

^[3]

(147,282)

(62,647)

Three and a Half Percent TBA Securities [Member]

^[4]

(80)

(3,369)

^[1]

(200,000)

^[2]

(180,219)

^[3]

(179,235)

^[4]

984

TBA Contracts [Member]

^[1]

(370,700)

(645,700)

^[2]

(327,421)

(624,413)

^[3]

(326,517)

(637,107)

Five Percent TBA Securities [Member]

^[4]

$ 904

(12,694)

^[1]

(250,000)

^[2]

(242,725)

^[3]

(247,657)

Five and a Half Percent TBA Securities [Member]

^[4]

(4,932)

^[1]

(325,000)

^[2]

(322,410)

^[3]

(326,803)

Stock Issued During Period, Shares, New Issues (in shares)

^[4]

$ (4,393)

[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 our balance sheets

Note 5 - Derivative and Other Hedging Instruments - Schedule of Derivative Positions (Details) - Short [Member] - USD ($)	Mar. 31, 2024	Dec. 31, 2023
Five Year Treasury Note Futures [Member]
Average contract notional amount	$ 421,500,000	$ 421,500,000
Weighted average entry rate	4.26%	4.36%
Average receive rate	4.42%	4.04%
Open Equity	$ (1,099,000)	$ (9,936,000)
Ten Year Ultra Futures [Member]
Average contract notional amount	$ 320,000	$ 320,000,000
Weighted average entry rate	4.29%	4.38%
Average receive rate	4.64%	4.39%
Open Equity	$ (2,475)	$ (11,393,000)
Three Month SOFR Futures, Ending June 2024 [Member}
Average contract notional amount	$ 25,000,000	$ 25,000,000
Weighted average entry rate	4.27%	5.08%
Average receive rate	4.87%	4.99%
Open Equity	$ 149,000	$ (24,000)
Three Month SOFR Futures Ending September 2024 [Member]
Average contract notional amount	$ 25,000,000	$ 25,000,000
Weighted average entry rate	3.90%	4.67%
Average receive rate	4.57%	4.52%
Open Equity	$ 168,000	$ (39,000)
Three Month SOFR Futures Ending in December 2024 [Member]
Average contract notional amount	$ 25,000,000	$ 25,000,000
Weighted average entry rate	3.58%	4.27%
Average receive rate	4.30%	4.10%
Open Equity	$ 179,000	$ (44,000)
Three Month SOFR Futures Ending in March 2025 [Member]
Average contract notional amount	$ 25,000,000	$ 25,000,000
Weighted average entry rate	3.37%	3.90%
Average receive rate	4.07%	3.73%
Open Equity	$ 175,000	$ (43,000)
Three Month SOFR Futures Ending in June 2025 [Member]
Average contract notional amount	$ 25,000,000	$ 25,000,000
Weighted average entry rate	3.25%	3.58%
Average receive rate	3.88%	3.42%
Open Equity	$ 158,000	$ (41,000)
Three Month SOFR Futures Ending in September 2025 [Member]
Average contract notional amount	$ 25,000,000	$ 25,000,000
Weighted average entry rate	3.21%	3.37%
Average receive rate	3.76%	3.21%
Open Equity	$ 138,000	$ (39,000)
Three Month SOFR Futures Ending in December 2025 [Member]
Average contract notional amount		$ 25,000,000
Weighted average entry rate		3.25%
Average receive rate		3.10%
Open Equity		$ (37,000)
Three Month SOFR Futures Ending in March 2026 [Member]
Average contract notional amount		$ 25,000,000
Weighted average entry rate		3.21%
Average receive rate		3.07%
Open Equity		$ (35,000)

Note 1 - Organization and Significant Accounting Policies (Details Textual) - USD ($)
$ in Thousands

3 Months Ended

4 Months Ended

12 Months Ended

13 Months Ended

Mar. 07, 2023

Oct. 29, 2021

Mar. 31, 2024

Mar. 31, 2023

Oct. 28, 2021

Dec. 31, 2023

Mar. 31, 2024

^[1]

1,490,075

15,880,039

Stock Issued During Period, Value, New Issues

$ 13,109

^[2]

$ 31,657

$ 159,438

^[2]

Proceeds from Issuance of Common Stock

$ 13,109

$ 31,657

June 2021 Equity Distribution Agreement [Member]

Equity Agreement, Maximum Number of Shares Issuable (in shares)

250,000,000

October 2021 Equity Distribution Agreement [Member]

Stock Issued During Period, Shares, New Issues (in shares)

9,742,188

Stock Issued During Period, Value, New Issues

$ 151,800

Proceeds from Issuance of Common Stock

$ 149,300

March 2023 Equity Distribution Agreement [Member]

Equity Agreement, Maximum Number of Shares Issuable (in shares)

250,000,000

Stock Issued During Period, Shares, New Issues (in shares)

14,680,114

Stock Issued During Period, Value, New Issues

$ 143,200

Proceeds from Issuance of Common Stock

$ 140,900

[1]	The Company has entered into eleven equity distribution agreements, ten of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.
[2]	Net proceeds are net of the underwriters' discount, if applicable, and other offering costs.