------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- -------
Structured RMBS
-----------------
IO 20yr 4.0 8,320 822 0.02% 9.88 4.00% 4.57% 147 86 6.4% 8.1% 5 (4)
IO 30yr 3.0 2,798 378 0.01% 13.50 3.00% 3.63% 110 241 2.2% 18.1% 1 (1)
IO 30yr 4.0 78,587 14,069 0.36% 17.90 4.00% 4.60% 115 236 5.4% 6.2% (187) 144
IO 30yr 4.5 3,385 665 0.02% 19.65 4.50% 4.99% 165 181 6.5% 5.3% (3) 1
IO 30yr 5.0 1,851 392 0.01% 21.17 5.00% 5.36% 165 183 1.1% 1.8% (5) 3
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- -------
IO Total 94,941 16,326 0.42% 17.20 4.01% 4.60% 120 220 5.3% 6.6% (190) 142
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- -------
IIO 30yr 4.0 25,768 247 0.01% 0.96 0.00% 4.40% 78 270 1.6% 3.4% 87 (70)
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- -------
Total Structured
RMBS 120,709 16,573 0.43% 13.73 3.15% 4.55% 111 231 4.5% 5.9% (103) 72
------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- -------- -------
Total Mortgage
Assets $4,219,820 $3,881,078 100.00% 4.34% 5.10% 27 328 6.5% 6.0% $ 85,163 $ (91,658)
================== ========= ========= ========= ======= ======== ==== === ======== ========= ========= ======== =======
Average Hedge Modeled Interest
Notional Period Rate Sensitivity (1)
Hedge Balance End (-50 BPS) (+50 BPS)
----------- ----------- ------ ------------- -----------
3-Month SOFR
Futures $ (100,000) Mar-26 $ (750) $ 750
5-Year
Treasury
Future(2) (421,500) Jun-24 (8,556) 8,423
10-Year
Treasury
Future(3) (320,000) Jun-24 (10,360) 10,006
Swaps (2,531,800) Dec-29 (62,066) 59,907
TBA (370,700) Apr-24 (10,045) 10,490
Swaptions (809,400) May-24 (169) 508
------------ ---------- ------ --- -------- -------
Hedge Total $(4,553,400) $ (91,946) $ 90,084
============ ========== ====== === ======== =======
Rate Shock
Grand
Total $ (6,783) $ (1,574)
============ ========== ====== === ======== =======
(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 $107.02 at
March 31, 2024. The market value of the short position was $451.1
million.
(3) Ten-year Treasury futures contracts were valued at prices of $110.80 at
March 31, 2024. The market value of the short position was $354.6
million.
RMBS Assets by Agency
($ in thousands)
---------------------- --------- ----------
Percentage
Fair of
Asset Category Value Portfolio
---------------------- ---------- ----------
As of March 31, 2024
Fannie Mae $2,719,139 70.1%
Freddie Mac 1,161,939 29.9%
----------------------- --------- ----------
Total Mortgage Assets $3,881,078 100.0%
======================= ========= ==========
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
---------------------------- ----------- ----------
Percentage
Fair of
Asset Category Value Portfolio
---------------------------- --------------- ----------
As of March 31, 2024
Non-Whole Pool Assets $ 137,811 3.6%
Whole Pool Assets 3,743,267 96.4%
----------------------------- ----------- ----------
Total Mortgage Assets $ 3,881,078 100.0%
============================= =========== ==========
Borrowings By
Counterparty
($ in thousands)
----------------- --------- ------ -------- -------- ---------
Weighted Weighted
% of Average Average
Total Total Repo Maturity Longest
As of March 31,
2024 Borrowings Debt Rate in Days Maturity
----------------- ---------- ------ -------- -------- ---------
RBC Capital
Markets, LLC $ 290,315 7.8% 5.46% 11 4/11/2024
ASL Capital
Markets Inc. 265,535 7.2% 5.43% 33 7/15/2024
Mitsubishi UFJ
Securities $(USA)$,
Inc 255,330 6.9% 5.47% 12 4/26/2024
J.P. Morgan
Securities LLC 252,936 6.8% 5.46% 22 4/22/2024
Citigroup Global
Markets Inc 243,960 6.6% 5.46% 24 4/24/2024
Cantor Fitzgerald
& Co 224,172 6.0% 5.46% 11 4/11/2024
ABN AMRO Bank N.V. 223,932 6.0% 5.46% 25 5/31/2024
Wells Fargo Bank,
N.A. 204,977 5.5% 5.45% 19 4/19/2024
Mirae Asset
Securities $(USA.UK)$
Inc. 193,164 5.2% 5.46% 26 6/18/2024
Merrill Lynch,
Pierce, Fenner &
Smith 191,904 5.2% 5.47% 15 4/26/2024
Daiwa Securities
America Inc. 175,179 4.7% 5.47% 24 4/24/2024
Bank of Montreal 164,564 4.4% 5.46% 11 4/11/2024
StoneX Financial
Inc. 163,354 4.4% 5.46% 16 4/16/2024
Marex Capital
Markets Inc. 156,953 4.2% 5.46% 20 4/26/2024
Goldman, Sachs &
Co 154,197 4.2% 5.46% 18 4/18/2024
Banco Santander SA 150,450 4.1% 5.47% 19 4/22/2024
ING Financial
Markets LLC 124,790 3.4% 5.47% 22 4/22/2024
DV Securities, LLC
Repo 112,001 3.0% 5.46% 40 5/14/2024
South Street
Securities, LLC 101,890 2.7% 5.46% 54 5/28/2024
Clear Street LLC 44,558 1.2% 5.45% 37 5/13/2024
Lucid Cash Fund
USG LLC 17,337 0.5% 5.46% 18 4/18/2024
------------------ --------- ------ -------- -------- ---------
Total Borrowings $3,711,498 100.0% 5.46% 21 7/15/2024
================== ========= ====== ======== ======== =========
View source version on businesswire.com: https://www.businesswire.com/news/home/20240410775979/en/
CONTACT: Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
(END) Dow Jones Newswires
April 10, 2024 16:10 ET (20:10 GMT)
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