Orchid Island Capital Inc

NYSE:ORCUnited States

Oct 16, 2024

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• Press Release: Orchid Island Capital Announces Estimated Third Quarter 2024 Results, October 2024 Monthly Dividend and September 30, 2024 RMBS Portfolio Characteristics, from 5:17PM ET on Wednesday Oct 16, 2024 by Dow Jones

  5:17PM ET on Wednesday Oct 16, 2024 by Dow Jones
  Companies Mentioned: ORC

• Orchid Island Capital Announces Estimated Third Quarter 2024 Results, October 2024 Monthly Dividend and September 30, 2024 RMBS Portfolio Characteristics, from 5:17PM ET on Wednesday Oct 16, 2024 by Dow Jones

  5:17PM ET on Wednesday Oct 16, 2024 by Dow Jones
  Companies Mentioned: ORC
  ------------------ --------- --------- --------- ------- -------- ---- --- -------- --------- --------- ------- ------- 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) 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 ================== ========= ===== ======== ======== ==========