------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- -------
Structured RMBS
-----------------
IO 20yr 4.0 7,414 693 0.01% 9.35 4.00% 4.57% 153 81 11.0% 11.5% 3 (4)
IO 30yr 3.0 2,690 376 0.01% 13.98 3.00% 3.64% 116 234 0.9% 1.2% (2) -
IO 30yr 4.0 73,719 13,339 0.25% 18.09 4.00% 4.60% 121 230 5.8% 6.3% (424) 302
IO 30yr 4.5 3,218 620 0.01% 19.26 4.50% 4.99% 171 176 8.6% 7.8% (11) 7
IO 30yr 5.0 1,733 354 0.01% 20.45 5.00% 5.37% 171 177 1.1% 4.4% (10) 7
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- -------
IO Total 88,774 15,382 0.28% 17.33 4.01% 4.60% 126 214 6.1% 6.6% (444) 312
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- -------
IIO 30yr 4.0 23,450 353 0.01% 1.50 0.00% 4.40% 84 264 0.6% 5.7% 121 (99)
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- -------
Total Structured
RMBS 112,224 15,735 0.29% 14.02 3.17% 4.55% 117 225 4.9% 6.4% (323) 213
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- -------
Total Mortgage
Assets $5,600,056 $5,442,804 100.00% 4.90% 5.70% 29 325 9.2% 8.8% $ 85,560 $ (96,327)
================== ========= ========= ========= ======= ======== ==== === ======== ========= ========= ======= =======
Hedge Modeled Interest
Notional Period Rate Sensitivity (1)
Hedge Balance End (-50 BPS) (+50 BPS)
----------- ----------- ------ ---------- -----------
3-Month SOFR
Futures(2) $ (455,900) Oct-25 $ (5,699) $ 5,699
10-Year
Treasury
Future(3) (12,500) Dec-24 (410) 397
Swaps (3,486,800) Jun-30 (91,274) 88,057
TBA (300,000) Oct-24 (8,387) 8,827
Swaptions - Jan-00 - -
----------- ---------- ------ --------- -------
Hedge Total $(4,255,200) $ (105,770) $ 102,980
============ ========== ====== ========= =======
Rate Shock
Grand
Total $ (20,210) $ 6,653
============ ========== ====== ========= =======
(1) Modeled results from Citigroup Global Markets Inc.
Yield Book. Interest rate shocks assume instantaneous
parallel shifts and horizon prices are calculated
assuming constant SOFR option-adjusted spreads. These
results are for illustrative purposes only and actual
results may differ materially.
(2) Amounts for SOFR futures contracts represents the
average quarterly notional amount.
(3) Ten-year Treasury futures contracts were valued at
prices of $114.28 at September 30, 2024. The market
value of the short position was $14.3 million.
RMBS Assets by Agency
($ in thousands)
------------------------- --------- ----------
Percentage
Fair of
Asset Category Value Portfolio
------------------------- ---------- ----------
As of September 30, 2024
Fannie Mae $3,692,047 67.8%
Freddie Mac 1,750,757 32.2%
-------------------------- --------- ----------
Total Mortgage Assets $5,442,804 100.0%
========================== ========= ==========
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
Percentage
Fair of
Asset Category Value Portfolio
--------------------------- ---------- ----------
As of September 30, 2024
Non-Whole Pool Assets $ 161,835 3.0%
Whole Pool Assets 5,280,969 97.0%
---------------------------- --------- ----------
Total Mortgage Assets $5,442,804 100.0%
============================ ========= ==========
Borrowings By
Counterparty
($ in thousands)
----------------- --------- ----- -------- -------- ----------
Weighted Weighted
% of Average Average
Total Total Repo Maturity Longest
As of September
30, 2024 Borrowings Debt Rate in Days Maturity
----------------- ---------- ----- -------- -------- ----------
ABN AMRO Bank N.V. $ 381,192 7.3% 5.37% 15 10/15/2024
Merrill Lynch,
Pierce, Fenner &
Smith 379,748 7.3% 5.20% 35 11/15/2024
ASL Capital
Markets Inc. 346,397 6.6% 5.35% 31 11/15/2024
Cantor Fitzgerald
& Co 289,468 5.5% 5.30% 11 10/18/2024
DV Securities, LLC
Repo 274,284 5.2% 5.24% 19 10/28/2024
Mitsubishi UFJ
Securities $(USA)$,
Inc 263,580 5.0% 5.35% 23 10/28/2024
J.P. Morgan
Securities LLC 254,798 4.9% 5.33% 9 10/25/2024
Banco Santander SA 248,472 4.8% 5.33% 49 11/18/2024
Daiwa Securities
America Inc. 247,191 4.7% 5.04% 28 11/19/2024
Citigroup Global
Markets Inc 244,746 4.7% 5.04% 25 10/25/2024
Wells Fargo Bank,
N.A. 241,641 4.6% 5.29% 16 10/16/2024
ING Financial
Markets LLC 225,593 4.3% 5.01% 39 11/8/2024
Marex Capital
Markets Inc. 223,192 4.3% 5.00% 21 10/21/2024
Goldman, Sachs &
Co 208,485 4.0% 5.32% 16 10/16/2024
Bank of Montreal 204,522 3.9% 5.31% 15 10/15/2024
South Street
Securities, LLC 194,516 3.7% 5.20% 19 10/24/2024
Clear Street LLC 193,535 3.7% 5.21% 48 11/20/2024
Mirae Asset
Securities $(USA.UK)$
Inc. 193,120 3.7% 5.26% 26 11/18/2024
StoneX Financial
Inc. 159,098 3.0% 5.03% 21 10/21/2024
The Bank of Nova
Scotia 149,958 2.9% 5.29% 15 10/15/2024
RBC Capital
Markets, LLC 143,225 2.7% 5.31% 45 11/14/2024
Nomura Securities
International,
Inc. 75,278 1.4% 5.31% 15 10/15/2024
Lucid Prime Fund,
LLC 48,322 0.9% 5.29% 17 10/17/2024
Wells Fargo
Securities, LLC 23,004 0.4% 5.06% 25 10/25/2024
Lucid Cash Fund
USG LLC 17,506 0.3% 5.31% 17 10/17/2024
------------------ --------- ----- -------- -------- ----------
Total Borrowings $5,230,871 100.0% 5.24% 25 11/20/2024
================== ========= ===== ======== ======== ==========
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
(END) Dow Jones Newswires
October 16, 2024 17:17 ET (21:17 GMT)
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