----------------- --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- --------
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)
Disclaimer: Investing carries risk. This is not financial advice. The above content should not be regarded as an offer, recommendation, or solicitation on acquiring or disposing of any financial products, any associated discussions, comments, or posts by author or other users should not be considered as such either. It is solely for general information purpose only, which does not consider your own investment objectives, financial situations or needs. TTM assumes no responsibility or warranty for the accuracy and completeness of the information, investors should do their own research and may seek professional advice before investing.