Orchid Island Capital Inc

NYSE:ORCUnited States

Nov 13, 2024

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• Press Release: Orchid Island Capital Announces November 2024 Monthly Dividend and October 31, 2024 RMBS Portfolio Characteristics, from 4:40PM ET on Wednesday Nov 13, 2024 by Dow Jones

  4:40PM ET on Wednesday Nov 13, 2024 by Dow Jones
  Companies Mentioned: ORC
  ----------------- --------- --------- --------- ------- -------- ----- --- -------- --------- --------- ------- -------- Total Mortgage Assets $5,634,314 $5,346,012 100.00% 4.90% 5.70% 30 323 13.5% 11.1% $ 105,627 $(109,714) ================= ========= ========= ========= ======= ======== ===== === ======== ========= ========= ======= ======== 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 (394) 394 Swaps (3,486,800) Jun-30 (87,485) 84,461 TBA (200,000) Nov-24 (6,063) 5,408 -------------- ---------- ------ --- -------- ------- Hedge Total $(4,155,200) $ (99,641) $ 95,962 ============== ========== ====== === ======== ======= Rate Shock Grand Total $ 5,986 $ (13,752) ============== ========== ====== === ======== ======= (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 $110.47 at October 31, 2024. The market value of the short position was $13.8 million. RMBS Assets by Agency ($ in thousands) ----------------------- --------- ---------- Percentage Fair of Asset Category Value Portfolio ----------------------- ---------- ---------- As of October 31, 2024 Fannie Mae $3,627,479 67.9% Freddie Mac 1,718,533 32.1% ----------------------- --------- ---------- Total Mortgage Assets $5,346,012 100.0% ======================= ========= ========== Investment Company Act of 1940 Whole Pool Test ($ in thousands) Percentage Fair of Asset Category Value Portfolio -------------------------- ------------- ---------- As of October 31, 2024 Non-Whole Pool Assets $ 206,643 3.9% Whole Pool Assets 5,139,369 96.1% -------------------------- --------- ---------- Total Mortgage Assets $ 5,346,012 100.0% ========================== ========= ========== Borrowings By Counterparty ($ in thousands) ----------------- --------- ------ -------- -------- ---------- Weighted Weighted % of Average Average Total Total Repo Maturity Longest As of October 31, 2024 Borrowings Debt Rate in Days Maturity ----------------- ---------- ------ -------- -------- ---------- Merrill Lynch, Pierce, Fenner & Smith $ 376,573 7.3% 5.15% 20 11/25/2024 ABN AMRO Bank N.V. 368,037 7.2% 5.00% 15 11/15/2024 ASL Capital Markets Inc. 341,650 6.7% 5.22% 14 11/15/2024 Cantor Fitzgerald & Co 281,564 5.5% 5.01% 8 11/8/2024 DV Securities, LLC Repo 266,219 5.2% 5.02% 19 11/29/2024 Mitsubishi UFJ Securities (USA), Inc 256,092 5.0% 4.99% 21 11/25/2024 J.P. Morgan Securities LLC 247,234 4.8% 5.03% 8 11/25/2024 Banco Santander SA 246,554 4.8% 5.33% 18 11/18/2024 Daiwa Securities America Inc. 241,139 4.7% 5.00% 24 11/25/2024 Wells Fargo Bank, N.A. 236,880 4.6% 5.00% 18 11/18/2024 Citigroup Global Markets Inc 236,331 4.6% 4.93% 25 11/25/2024 ING Financial Markets LLC 225,593 4.4% 5.01% 8 11/8/2024 Marex Capital Markets Inc. 218,101 4.3% 5.00% 21 11/21/2024 Goldman, Sachs & Co 202,206 3.9% 5.02% 18 11/18/2024 Bank of Montreal 200,535 3.9% 5.03% 14 11/14/2024 Clear Street LLC 193,535 3.8% 5.21% 17 11/20/2024 South Street Securities, LLC 190,161 3.7% 4.97% 41 1/24/2025 Mirae Asset Securities (USA) Inc. 189,233 3.7% 5.08% 18 11/18/2024 StoneX Financial Inc. 155,898 3.0% 5.01% 21 11/21/2024 The Bank of Nova Scotia 147,479 2.9% 5.03% 15 11/15/2024 RBC Capital Markets, LLC 143,022 2.8% 5.31% 14 11/14/2024 Nomura Securities International, Inc. 73,140 1.4% 4.90% 46 12/16/2024 Lucid Prime Fund, LLC 47,591 0.9% 5.03% 14 11/14/2024 Wells Fargo Securities, LLC 22,686 0.4% 4.88% 84 1/23/2025 Lucid Cash Fund USG LLC 17,131 0.3% 5.03% 14 11/14/2024 ----------------- --------- ------ -------- -------- ---------- Total Borrowings $5,124,584 100.0% 5.06% 18 1/24/2025 ================= ========= ====== ======== ======== ==========
  

• Orchid Island Capital Announces November 2024 Monthly Dividend and October 31, 2024 RMBS Portfolio Characteristics, from 4:40PM ET on Wednesday Nov 13, 2024 by Dow Jones

  4:40PM ET on Wednesday Nov 13, 2024 by Dow Jones
  Companies Mentioned: ORC
  ----------------- --------- --------- --------- ------- -------- ----- --- -------- --------- --------- ------- -------- Total Mortgage Assets $5,634,314 $5,346,012 100.00% 4.90% 5.70% 30 323 13.5% 11.1% $ 105,627 $(109,714) ================= ========= ========= ========= ======= ======== ===== === ======== ========= ========= ======= ======== 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 (394) 394 Swaps (3,486,800) Jun-30 (87,485) 84,461 TBA (200,000) Nov-24 (6,063) 5,408 -------------- ---------- ------ --- -------- ------- Hedge Total $(4,155,200) $ (99,641) $ 95,962 ============== ========== ====== === ======== ======= Rate Shock Grand Total $ 5,986 $ (13,752) ============== ========== ====== === ======== ======= (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 $110.47 at October 31, 2024. The market value of the short position was $13.8 million. RMBS Assets by Agency ($ in thousands) ----------------------- --------- ---------- Percentage Fair of Asset Category Value Portfolio ----------------------- ---------- ---------- As of October 31, 2024 Fannie Mae $3,627,479 67.9% Freddie Mac 1,718,533 32.1% ----------------------- --------- ---------- Total Mortgage Assets $5,346,012 100.0% ======================= ========= ========== Investment Company Act of 1940 Whole Pool Test ($ in thousands) Percentage Fair of Asset Category Value Portfolio -------------------------- ------------- ---------- As of October 31, 2024 Non-Whole Pool Assets $ 206,643 3.9% Whole Pool Assets 5,139,369 96.1% -------------------------- --------- ---------- Total Mortgage Assets $ 5,346,012 100.0% ========================== ========= ========== Borrowings By Counterparty ($ in thousands) ----------------- --------- ------ -------- -------- ---------- Weighted Weighted % of Average Average Total Total Repo Maturity Longest As of October 31, 2024 Borrowings Debt Rate in Days Maturity ----------------- ---------- ------ -------- -------- ---------- Merrill Lynch, Pierce, Fenner & Smith $ 376,573 7.3% 5.15% 20 11/25/2024 ABN AMRO Bank N.V. 368,037 7.2% 5.00% 15 11/15/2024 ASL Capital Markets Inc. 341,650 6.7% 5.22% 14 11/15/2024 Cantor Fitzgerald & Co 281,564 5.5% 5.01% 8 11/8/2024 DV Securities, LLC Repo 266,219 5.2% 5.02% 19 11/29/2024 Mitsubishi UFJ Securities (USA), Inc 256,092 5.0% 4.99% 21 11/25/2024 J.P. Morgan Securities LLC 247,234 4.8% 5.03% 8 11/25/2024 Banco Santander SA 246,554 4.8% 5.33% 18 11/18/2024 Daiwa Securities America Inc. 241,139 4.7% 5.00% 24 11/25/2024 Wells Fargo Bank, N.A. 236,880 4.6% 5.00% 18 11/18/2024 Citigroup Global Markets Inc 236,331 4.6% 4.93% 25 11/25/2024 ING Financial Markets LLC 225,593 4.4% 5.01% 8 11/8/2024 Marex Capital Markets Inc. 218,101 4.3% 5.00% 21 11/21/2024 Goldman, Sachs & Co 202,206 3.9% 5.02% 18 11/18/2024 Bank of Montreal 200,535 3.9% 5.03% 14 11/14/2024 Clear Street LLC 193,535 3.8% 5.21% 17 11/20/2024 South Street Securities, LLC 190,161 3.7% 4.97% 41 1/24/2025 Mirae Asset Securities (USA) Inc. 189,233 3.7% 5.08% 18 11/18/2024 StoneX Financial Inc. 155,898 3.0% 5.01% 21 11/21/2024 The Bank of Nova Scotia 147,479 2.9% 5.03% 15 11/15/2024 RBC Capital Markets, LLC 143,022 2.8% 5.31% 14 11/14/2024 Nomura Securities International, Inc. 73,140 1.4% 4.90% 46 12/16/2024 Lucid Prime Fund, LLC 47,591 0.9% 5.03% 14 11/14/2024 Wells Fargo Securities, LLC 22,686 0.4% 4.88% 84 1/23/2025 Lucid Cash Fund USG LLC 17,131 0.3% 5.03% 14 11/14/2024 ----------------- --------- ------ -------- -------- ---------- Total Borrowings $5,124,584 100.0% 5.06% 18 1/24/2025 ================= ========= ====== ======== ======== ==========