Press Release: Orchid Island Capital Announces Estimated Third Quarter 2024 Results, October 2024 Monthly Dividend and September 30, 2024 RMBS Portfolio Characteristics

Dow Jones10-17
------------------   ---------   ---------  ---------      -------  --------      ----      ---  --------  ---------      ---------          -------       ------- 
 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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