----------------- --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- --------
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)