-----------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------    -------- 
30yr Total          5,431,275   5,237,812      98.77%       96.44      5.03%     5.84%      28       326        8.1%          10.6%         105,097    (115,040) 
-----------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------    -------- 
Total 
 Pass-Through 
 MBS                5,481,275   5,287,554      99.71%       96.47      5.03%     5.84%      28       325        8.1%          10.6%         105,839    (115,857) 
-----------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------    -------- 
 Structured MBS 
----------------- 
IO 20yr 4.0             6,998         643       0.01%        9.19      4.00%     4.57%     156        78        9.0%           9.3%               4          (3) 
IO 30yr 3.0             2,599         366       0.01%       14.07      3.00%     3.64%     119       230        1.2%           9.8%               2          (2) 
IO 30yr 4.0            71,388      13,342       0.25%       18.69      4.00%     4.60%     124       227        6.8%           6.6%            (130)         86 
IO 30yr 4.5             3,125         604       0.01%       19.32      4.50%     4.99%     174       173        9.3%           7.5%               -          (1) 
IO 30yr 5.0             1,675         353       0.01%       21.09      5.00%     5.37%     174       173        2.8%           9.3%              (2)          1 
-----------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------    -------- 
IO Total               85,785      15,308       0.29%       17.84      4.01%     4.60%     129       212        6.8%           7.0%            (126)         81 
-----------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------    -------- 
IIO 30yr 4.0           21,971         190       0.00%        0.86      0.00%     4.40%      87       261        0.4%           7.3%              97         (66) 
-----------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------    -------- 
Total Structured 
 RMBS                 107,756      15,498       0.29%       14.38      3.19%     4.56%     121       222        5.5%           7.0%             (29)         15 
-----------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------    -------- 
 
Total Mortgage 
 Assets            $5,589,031  $5,303,052     100.00%                  4.99%     5.81%      30       323        8.1%          10.5%      $  105,810   $(115,842) 
=================   =========   =========  =========      =======  ========      ====      ===  ========  =========      =========          =======    ======== 
 
 
                            Hedge        Modeled Interest 
               Notional     Period     Rate Sensitivity (1) 
Hedge           Balance      End      (-50 BPS)      (+50 BPS) 
-----------   -----------   ------  -------------   ----------- 
5-Year 
 Treasury 
 Future(2)    $  (312,500)  Mar-25   $     (6,370)   $    6,174 
10-Year 
 Treasury 
 Future(3)    $   (93,500)  Mar-25   $     (2,966)   $    2,878 
10-Year 
 Ultra 
 Treasury 
 Future(4)    $   (32,500)  Mar-25   $     (1,429)   $    1,362 
Swaps          (3,516,800)  Jun-30        (83,890)       81,039 
TBA              (200,000)  Jan-25         (5,786)        5,977 
------------   ----------   ------      ---------       ------- 
Hedge Total   $(4,155,300)           $   (100,441)   $   97,430 
============   ==========   ======      =========       ======= 
Rate Shock 
 Grand 
 Total                               $      5,369    $  (18,412) 
============   ==========   ======      =========       ======= 
 
 
(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  )  Five-year Treasury futures contracts were valued at 
        prices of $106.30 at December 31, 2024. The market 
        value of the short position was $332.2 million. 
(3  )  Ten-year Treasury futures contracts were valued at 
        prices of $108.75 at December 31, 2024. The market 
        value of the short position was $101.7 million. 
(4  )  Ten-year Ultra futures contracts were valued at prices 
        of $111.31 at December 31, 2024. The market value 
        of the short position was $93.5 million. 
 
 
RMBS Assets by Agency 
($ in thousands) 
------------------------    ---------  ---------- 
                                       Percentage 
                              Fair         of 
Asset Category               Value     Portfolio 
------------------------   ----------  ---------- 
As of December 31, 2024 
Fannie Mae                 $3,742,774        70.6% 
Freddie Mac                 1,560,278        29.4% 
-------------------------   ---------  ---------- 
Total Mortgage Assets      $5,303,052       100.0% 
=========================   =========  ========== 
 
 
Investment Company Act of 1940 Whole Pool Test 
($ in thousands) 
                                                Percentage 
                                     Fair           of 
Asset Category                      Value       Portfolio 
-----------------------------   --------------  ---------- 
As of December 31, 2024 
Non-Whole Pool Assets            $     203,346         3.8% 
Whole Pool Assets                    5,099,706        96.2% 
------------------------------      ----------  ---------- 
Total Mortgage Assets            $   5,303,052       100.0% 
==============================      ==========  ========== 
 
 
Borrowings By 
Counterparty 
($ in thousands) 
-----------------   ---------  -----      --------      --------  --------- 
                                          Weighted      Weighted 
                               % of       Average       Average 
                     Total     Total        Repo        Maturity   Longest 
As of December 
31, 2024           Borrowings  Debt         Rate        in Days   Maturity 
-----------------  ----------  -----      --------      --------  --------- 
Merrill Lynch, 
 Pierce, Fenner & 
 Smith             $  360,113    7.2%         4.67%           21  1/21/2025 
ABN AMRO Bank 
 N.V.                 335,584    6.7%         4.60%           17  1/17/2025 
RBC Capital 
 Markets, LLC         267,565    5.3%         4.68%           21  1/21/2025 
Cantor Fitzgerald 
 & Co                 254,445    5.1%         4.74%            8   1/8/2025 
DV Securities, 
 LLC Repo             251,638    5.0%         4.63%           28  1/28/2025 
MUFG Securities 
 Canada, Ltd.         248,084    4.9%         4.62%           13  1/13/2025 
Mitsubishi UFJ 
 Securities 
 $(USA)$, Inc.          244,546    4.9%         4.66%           13  1/21/2025 
J.P. Morgan 
 Securities LLC       241,633    4.8%         4.77%            8  1/27/2025 
Daiwa Securities 
 America Inc.         232,972    4.6%         4.62%           23  1/23/2025 
Goldman, Sachs & 
 Co                   232,011    4.6%         4.63%           27  1/27/2025 
Wells Fargo Bank, 
 N.A.                 227,854    4.5%         4.76%           17  1/17/2025 
Citigroup Global 
 Markets Inc          226,627    4.5%         4.62%           27  1/27/2025 
Marex Capital 
 Markets Inc.         211,474    4.2%         4.62%           21  1/21/2025 
ASL Capital 
 Markets Inc.         210,826    4.2%         4.63%           24  2/12/2025 
ING Financial 
 Markets LLC          208,713    4.2%         4.63%           30  1/30/2025 
The Bank of Nova 
 Scotia               192,117    3.8%         4.66%           21  1/21/2025 
Bank of Montreal      191,010    3.8%         4.60%           21  1/21/2025 
South Street 
 Securities, LLC      184,014    3.7%         4.71%           22  1/24/2025 
Mirae Asset 
 Securities $(USA.UK)$ 
 Inc.                 176,902    3.5%         4.76%          139  5/19/2025 
Clear Street LLC      163,116    3.2%         4.54%           79  3/20/2025 
StoneX Financial 
 Inc.                 151,169    3.0%         4.63%           17  1/17/2025 
Banco Santander 
 SA                    90,417    1.8%         4.75%           17  1/17/2025 
Nomura Securities 
 International, 
 Inc.                  70,878    1.4%         4.64%           17  1/17/2025 
Lucid Prime Fund, 
 LLC                   29,149    0.6%         4.70%           16  1/16/2025 
Wells Fargo 
 Securities, LLC       22,686    0.5%         4.88%           23  1/23/2025 
-----------------   ---------  -----      --------      --------  --------- 
Total Borrowings   $5,025,543  100.0%         4.66%           26  5/19/2025 
=================   =========  =====      ========      ========  ========= 
 

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400

(END) Dow Jones Newswires

January 08, 2025 16:25 ET (21:25 GMT)