Orchid Island Capital Announces June 2024 Monthly Dividend and May 31, 2024 RMBS Portfolio Characteristics
Orchid Island Capital Announces June 2024 Monthly Dividend and May 31, 2024 RMBS Portfolio Characteristics
- June 2024 Monthly Dividend of $0.12 Per Share of Common Stock
- RMBS Portfolio Characteristics as of May 31, 2024
- Next Dividend Announcement Expected July 10, 2024
- 2024 年 6 月普通股每股派息 0.12 美元
- 截至2024年5月31日的人民币投资组合特征
- 下一次分红公告预计于 2024 年 7 月 10 日
VERO BEACH, Fla.--(BUSINESS WIRE)-- Orchid Island Capital, Inc. (the "Company") (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of June 2024. The dividend of $0.12 per share will be paid July 30, 2024 to holders of record of the Company's common stock on June 28, 2024, with an ex-dividend date of June 28, 2024. The Company plans on announcing its next common stock dividend on July 10, 2024.
佛罗里达州维罗海滩--（美国商业资讯）--兰岛资本有限公司（“公司”）（纽约证券交易所代码：ORC）今天宣布，公司董事会宣布2024年6月的月度现金分红。每股0.12美元的股息将于2024年7月30日支付给2024年6月28日公司普通股的登记持有人，除息日为2024年6月28日。该公司计划在2024年7月10日宣布其下一次普通股股息。
The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust ("REIT"), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.
该公司打算每月定期向普通股持有人分配现金。为了获得房地产投资信托（“房地产投资信托基金”）的资格，公司必须每年向其股东分配至少等于其房地产投资信托基金应纳税所得额的90％的金额，该金额不考虑已支付的股息的扣除，也不包括任何净资本收益。公司将对未分配的应纳税所得额缴纳所得税，如果未在指定日期之前分配一定比例的应纳税所得额，则需缴纳消费税。该公司尚未设定最低分配金额，也无法保证将来有能力向股东进行分配。
As of June 11, 2024, the Company had 62,821,552 shares of common stock outstanding. As of May 31, 2024, the Company had 62,269,788 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding.
截至2024年6月11日，该公司的已发行普通股为62,821,552股。截至2024年5月31日，该公司的已发行普通股为62,269,788股。截至2024年3月31日，该公司的已发行普通股为52,826,169股。
The Company also announced that it and Bimini Advisors, LLC ("Bimini") entered into an equity distribution agreement (the "Equity Distribution Agreement") with J.P. Morgan Securities LLC, Citizens JMP Securities, LLC and JonesTrading Institutional Services LLC (collectively, the "Sales Agents") on June 11, 2024, pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of common stock (the "Shares").
该公司还宣布，它和Bimini Advisors, LLC（“Bimini”）于2024年6月11日与摩根大通证券有限责任公司、Citizens JMP Securities, LLC和JoneStrading机构服务有限责任公司（统称 “销售代理”）签订了股权分配协议（“股权分配协议”），根据该协议，公司可以不时发行和出售总额为2.5亿美元的股权分配协议（“股权分配协议”）普通股（“股份”）。
Pursuant to the Equity Distribution Agreement, the Shares may be offered and sold through the Sales Agents in transactions that are deemed to be "at the market" offerings as defined in Rule 415 under the Securities Act of 1933, as amended, including sales made directly on the New York Stock Exchange or sales made to or through a market maker other than on an exchange or in negotiated transactions (which may include block trades). Under the Equity Distribution Agreement, the Sales Agents will be entitled to compensation of up to 2.0% of the gross proceeds from the sale of the Shares sold through the Sales Agents. The Company has no obligation to sell any of the Shares under the Equity Distribution Agreement and may at any time suspend solicitations and offers under the Equity Distribution Agreement.
根据股权分配协议，股票可以通过销售代理在经修订的1933年《证券法》第415条中被视为 “市场上” 发行的交易中进行发行和出售，包括直接在纽约证券交易所进行的销售，或向或通过做市商进行的销售，而不是在交易所或协议交易中的销售（可能包括大宗交易）。根据股权分配协议，销售代理将有权获得高达通过销售代理出售股票的总收益的2.0％的补偿。根据股权分配协议，公司没有义务出售任何股份，并且可以随时暂停股权分配协议下的招标和要约。
The Company has used "at the market" offering programs in the past as a low-cost and effective method to raise equity capital to be strategically deployed into Agency RMBS in conjunction with the Company's core investment strategy. The Company generally prefers such programs over more costly follow-on offerings absent extenuating circumstances and market conditions.
该公司过去曾使用 “市场” 发行计划作为一种低成本和有效的方法来筹集股权资本，以便与公司的核心投资策略一起战略性地部署到Agency RMBS。在没有情有可原的情况和市场条件的情况下，与更昂贵的后续产品相比，公司通常更喜欢此类计划。
RMBS Portfolio Characteristics
RMBS 投资组合特征
Details of the RMBS portfolio as of May 31, 2024 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:
截至2024年5月31日，人民币投资组合的详细信息如下所示。这些数字是初步数字，可能会发生变化。此处包含的信息是公司根据公司认为准确的信息创建的季度内更新：
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 (Whole Pool) Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
- 人民币估值特征
- 按机构划分的 RMBS 资产
- 1940 年投资公司法（全池）测试结果
- 交易对手的回购协议风险敞口
- RMBS 风险衡量标准
About Orchid Island Capital, Inc.
兰花岛资本公司简介
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.
兰岛资本公司是一家专业金融公司，以杠杆方式投资Agency RMBS。我们的投资策略侧重于两类机构RMBS，我们的投资组合由两类机构RMBS组成：（i）传统的直通机构RMBS，例如房利美、房地美或金妮发行的抵押贷款直通凭证和抵押抵押债务，以及（ii）结构性机构RMBS。该公司由美国证券交易委员会的注册投资顾问Bimini Advisors, LLC管理。
Forward-Looking Statements
前瞻性陈述
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company's distributions, the offer and sale of shares of common stock under the Equity Distribution Agreement or follow-on offerings. These forward-looking statements are based upon Orchid Island Capital, Inc.'s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the "Risk Factors" section of the Company's Annual Report on Form 10-K for the fiscal year ended December 31, 2023.
本新闻稿包含1995年《私人证券诉讼改革法》和其他联邦证券法所指的前瞻性陈述。这些前瞻性陈述包括但不限于有关公司分配、根据股权分配协议发行和出售普通股或后续发行的陈述。这些前瞻性陈述基于兰岛资本有限公司。”s 目前的预期，但不能保证这些陈述会发生。投资者不应过分依赖前瞻性陈述。有关可能影响业绩的因素的进一步讨论，请参阅公司截至2023年12月31日财年的10-K表年度报告的 “风险因素” 部分。
| RMBS Valuation Characteristics | ||||||||||||||||||||||||||||||||||||||||||||||||
| ($ in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||
| Realized | ||||||||||||||||||||||||||||||||||||||||||||||||
| Realized | Mar-24 - | |||||||||||||||||||||||||||||||||||||||||||||||
| May-24 | May-24 | |||||||||||||||||||||||||||||||||||||||||||||||
| Net | Weighted | CPR | CPR | |||||||||||||||||||||||||||||||||||||||||||||
| Weighted | Average | (1-Month) | (3-Month) | Modeled Interest | ||||||||||||||||||||||||||||||||||||||||||||
| Current | Fair | % of | Current | Average | Maturity | (Reported | (Reported | Rate Sensitivity (1) | ||||||||||||||||||||||||||||||||||||||||
| Type | Face | Value | Portfolio | Price | Coupon | GWAC | Age | (Months) | in June) | in June) | (-50 BPS) | (+50 BPS) | ||||||||||||||||||||||||||||||||||||
| Fixed Rate RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||
| 30yr 3.0 | $ | 1,353,113 | $ | 1,153,213 | 26.12% | 85.23 | 3.00% | 3.46% | 38 | 316 | 5.5% | 5.3% | $ | 36,254 | $ | (36,597) | ||||||||||||||||||||||||||||||||
| 30yr 3.5 | 187,768 | 167,711 | 3.80% | 89.32 | 3.50% | 4.04% | 51 | 297 | 9.3% | 7.0% | 4,748 | (4,794) | ||||||||||||||||||||||||||||||||||||
| 30yr 4.0 | 548,681 | 499,290 | 11.31% | 91.00 | 4.00% | 4.78% | 28 | 329 | 4.9% | 6.3% | 13,391 | (14,162) | ||||||||||||||||||||||||||||||||||||
| 30yr 4.5 | 325,706 | 305,911 | 6.93% | 93.92 | 4.50% | 5.45% | 23 | 334 | 10.2% | 9.9% | 6,692 | (7,305) | ||||||||||||||||||||||||||||||||||||
| 30yr 5.0 | 537,372 | 517,844 | 11.73% | 96.37 | 5.00% | 5.93% | 21 | 335 | 7.3% | 5.9% | 10,775 | (11,967) | ||||||||||||||||||||||||||||||||||||
| 30yr 5.5 | 267,218 | 264,504 | 5.99% | 98.98 | 5.50% | 6.43% | 14 | 344 | 13.3% | 6.0% | 4,840 | (5,550) | ||||||||||||||||||||||||||||||||||||
| 30yr 6.0 | 622,308 | 625,714 | 14.17% | 100.55 | 6.00% | 6.98% | 10 | 345 | 8.5% | 9.5% | 8,586 | (10,361) | ||||||||||||||||||||||||||||||||||||
| 30yr 6.5 | 514,683 | 524,928 | 11.89% | 101.99 | 6.50% | 7.41% | 8 | 349 | 8.1% | 9.8% | 5,505 | (6,907) | ||||||||||||||||||||||||||||||||||||
| 30yr 7.0 | 328,309 | 339,004 | 7.68% | 103.26 | 7.00% | 7.95% | 7 | 349 | 23.5% | 19.3% | 2,513 | (3,391) | ||||||||||||||||||||||||||||||||||||
| 30yr Total | 4,685,158 | 4,398,119 | 99.63% | 93.87 | 4.68% | 5.45% | 24 | 332 | 7.9% | 7.1% | 93,304 | (101,034) | ||||||||||||||||||||||||||||||||||||
| Total Pass Through RMBS | 4,685,158 | 4,398,119 | 99.63% | 93.87 | 4.68% | 5.45% | 24 | 332 | 7.9% | 7.1% | 93,304 | (101,034) | ||||||||||||||||||||||||||||||||||||
| Structured RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||
| IO 20yr 4.0 | 8,044 | 759 | 0.02% | 9.43 | 4.00% | 4.57% | 149 | 85 | 10.9% | 8.9% | 4 | (4) | ||||||||||||||||||||||||||||||||||||
| IO 30yr 3.0 | 2,731 | 323 | 0.01% | 11.82 | 3.00% | 3.64% | 112 | 238 | 0.8% | 7.4% | 1 | (1) | ||||||||||||||||||||||||||||||||||||
| IO 30yr 4.0 | 77,188 | 14,159 | 0.32% | 18.34 | 4.00% | 4.60% | 117 | 234 | 8.1% | 6.6% | (146) | 107 | ||||||||||||||||||||||||||||||||||||
| IO 30yr 4.5 | 3,327 | 612 | 0.01% | 18.40 | 4.50% | 4.99% | 167 | 179 | 5.5% | 6.1% | (1) | (1) | ||||||||||||||||||||||||||||||||||||
| IO 30yr 5.0 | 1,835 | 364 | 0.01% | 19.82 | 5.00% | 5.36% | 167 | 181 | 0.9% | 1.0% | (3) | 1 | ||||||||||||||||||||||||||||||||||||
| IO Total | 93,125 | 16,217 | 0.37% | 17.41 | 4.01% | 4.60% | 122 | 218 | 7.9% | 6.7% | (144) | 102 | ||||||||||||||||||||||||||||||||||||
| IIO 30yr 4.0 | 25,268 | 188 | 0.00% | 0.75 | 0.00% | 4.40% | 80 | 268 | 0.7% | 1.2% | 72 | (57) | ||||||||||||||||||||||||||||||||||||
| Total Structured RMBS | 118,393 | 16,405 | 0.37% | 13.86 | 3.15% | 4.55% | 113 | 229 | 6.4% | 5.5% | (72) | 45 | ||||||||||||||||||||||||||||||||||||
| Total Mortgage Assets | $ | 4,803,551 | $ | 4,414,524 | 100.00% | 4.64% | 5.42% | 26 | 329 | 7.8% | 7.0% | $ | 93,232 | $ | (100,989) | |||||||||||||||||||||||||||||||||
| 人民币抵押贷款估值特征 | ||||||||||||||||||||||||||||||||||||||||||||||||
| （以千美元计） | ||||||||||||||||||||||||||||||||||||||||||||||||
| 已实现 | ||||||||||||||||||||||||||||||||||||||||||||||||
| 已实现 | 3 月 24 日- | |||||||||||||||||||||||||||||||||||||||||||||||
| 5 月 24 日 | 5 月 24 日 | |||||||||||||||||||||||||||||||||||||||||||||||
| 网 | 加权 | 心肺复苏 | 心肺复苏 | |||||||||||||||||||||||||||||||||||||||||||||
| 加权 | 平均值 | （1 个月） | （3 个月） | 模拟兴趣 | ||||||||||||||||||||||||||||||||||||||||||||
| 当前 | 公平 | 的百分比 | 当前 | 平均值 | 成熟度 | （已报告 | （已报告 | 速率灵敏度 (1) | ||||||||||||||||||||||||||||||||||||||||
| 类型 | 脸 | 价值 | 投资组合 | 价格 | 优惠券 | GWAC | 年龄 | （月） | 在六月） | 在六月） | (-50 BPS) | (+50 BPS) | ||||||||||||||||||||||||||||||||||||
| 固定利率人民币 | ||||||||||||||||||||||||||||||||||||||||||||||||
| 30 年 3.0 | $ | 1,353,113 | $ | 1,153,213 | 26.12% | 85.23 | 3.00% | 3.46% | 38 | 316 | 5.5% | 5.3% | $ | 36,254 | $ | (36,597) | ||||||||||||||||||||||||||||||||
| 30 岁 3.5 | 187,768 | 167,711 | 3.80% | 89.32 | 3.50% | 4.04% | 51 | 297 | 9.3% | 7.0% | 4,748 | (4,794) | ||||||||||||||||||||||||||||||||||||
| 30 年 4.0 | 548,681 | 499,290 | 11.31% | 91.00 | 4.00% | 4.78% | 28 | 329 | 4.9% | 6.3% | 13,391 | (14,162) | ||||||||||||||||||||||||||||||||||||
| 30 岁 4.5 | 325,706 | 305,911 | 6.93% | 93.92 | 4.50% | 5.45% | 23 | 334 | 10.2% | 9.9% | 6,692 | (7,305) | ||||||||||||||||||||||||||||||||||||
| 30 年 5.0 | 537,372 | 517,844 | 11.73% | 96.37 | 5.00% | 5.93% | 21 | 335 | 7.3% | 5.9% | 10,775 | (11,967) | ||||||||||||||||||||||||||||||||||||
| 30 年 5.5 | 267,218 | 264,504 | 5.99% | 98.98 | 5.50% | 6.43% | 14 | 344 | 13.3% | 6.0% | 4,840 | (5,550) | ||||||||||||||||||||||||||||||||||||
| 30 年 6.0 | 622,308 | 625,714 | 14.17% | 100.55 | 6.00% | 6.98% | 10 | 345 | 8.5% | 9.5% | 8,586 | (10,361) | ||||||||||||||||||||||||||||||||||||
| 30 岁 6.5 | 514,683 | 524,928 | 11.89% | 101.99 | 6.50% | 7.41% | 8 | 349 | 8.1% | 9.8% | 5,505 | (6,907) | ||||||||||||||||||||||||||||||||||||
| 30 年 7.0 | 328,309 | 339,004 | 7.68% | 103.26 | 7.00% | 7.95% | 7 | 349 | 23.5% | 19.3% | 2,513 | (3,391) | ||||||||||||||||||||||||||||||||||||
| 30 年总计 | 4,685,158 | 4,398,119 | 99.63% | 93.87 | 4.68% | 5.45% | 24 | 332 | 7.9% | 7.1% | 93,304 | (101,034) | ||||||||||||||||||||||||||||||||||||
| Total Pass RMBS | 4,685,158 | 4,398,119 | 99.63% | 93.87 | 4.68% | 5.45% | 24 | 332 | 7.9% | 7.1% | 93,304 | (101,034) | ||||||||||||||||||||||||||||||||||||
| 结构化人民币 | ||||||||||||||||||||||||||||||||||||||||||||||||
| IO 20 年 4.0 | 8,044 | 759 | 0.02% | 9.43 | 4.00% | 4.57% | 149 | 85 | 10.9% | 8.9% | 4 | (4) | ||||||||||||||||||||||||||||||||||||
| IO 30 年 3.0 | 2,731 | 323 | 0.01% | 11.82 | 3.00% | 3.64% | 112 | 238 | 0.8% | 7.4% | 1 | (1) | ||||||||||||||||||||||||||||||||||||
| IO 30 年 4.0 | 77,188 | 14,159 | 0.32% | 18.34 | 4.00% | 4.60% | 117 | 234 | 8.1% | 6.6% | (146) | 107 | ||||||||||||||||||||||||||||||||||||
| IO 30 年 4.5 | 3,327 | 612 | 0.01% | 18.40 | 4.50% | 4.99% | 167 | 179 | 5.5% | 6.1% | (1) | (1) | ||||||||||||||||||||||||||||||||||||
| IO 30 年 5.0 | 1,835 | 364 | 0.01% | 19.82 | 5.00% | 5.36% | 167 | 181 | 0.9% | 1.0% | (3) | 1 | ||||||||||||||||||||||||||||||||||||
| IO 总计 | 93,125 | 16,217 | 0.37% | 17.41 | 4.01% | 4.60% | 122 | 218 | 7.9% | 6.7% | (144) | 102 | ||||||||||||||||||||||||||||||||||||
| IIO 30 年 4.0 | 25,268 | 188 | 0.00% | 0.75 | 0.00% | 4.40% | 80 | 268 | 0.7% | 1.2% | 72 | (57) | ||||||||||||||||||||||||||||||||||||
| 结构化人民币抵押贷款总额 | 118,393 | 16,405 | 0.37% | 13.86 | 3.15% | 4.55% | 113 | 229 | 6.4% | 5.5% | (72) | 45 | ||||||||||||||||||||||||||||||||||||
| 抵押贷款资产总额 | $ | 4,803,551 | $ | 4,414,524 | 100.00% | 4.64% | 5.42% | 26 | 329 | 7.8% | 7.0% | $ | 93,232 | $ | (100,989) | |||||||||||||||||||||||||||||||||
| 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) | Sep-24 | (8,480) | 8,282 | |||||||||
| 10-Year Treasury Future(3) | (62,500) | Sep-24 | (1,945) | 1,906 | |||||||||
| Swaps | (2,936,800) | Jun-30 | (75,255) | 72,523 | |||||||||
| TBA | (500,000) | Jun-24 | (13,860) | 14,216 | |||||||||
| Swaptions | (9,400) | Sep-24 | 508 | 86 | |||||||||
| Hedge Total | $ | (4,030,200) | $ | (99,782) | $ | 97,763 | |||||||
| Rate Shock Grand Total | $ | (6,550) | $ | (3,226) | |||||||||
| 平均值 | 对冲 | 模拟兴趣 | |||||||||||
| 名义上的 | 时期 | 速率灵敏度 (1) | |||||||||||
| 对冲 | 平衡 | 结束 | (-50 BPS) | (+50 BPS) | |||||||||
| 3 个月 SOFR 期货 | $ | (100,000) | 3 月 26 日 | $ | (750) | $ | 750 | ||||||
| 5 年期国债期货(2) | (421,500) | 9 月 24 日 | (8,480) | 8,282 | |||||||||
| 10年期国债期货 (3) | (62,500) | 9 月 24 日 | (1,945) | 1,906 | |||||||||
| 互换 | (2,936,800) | 6 月 30 日 | (75,255) | 72,523 | |||||||||
| 待定 | (500,000) | 6 月 24 日 | (13,860) | 14,216 | |||||||||
| 交换 | (9,400) | 9 月 24 日 | 508 | 86 | |||||||||
| 对冲总额 | $ | (4,030,200) | $ | (99,782) | $ | 97,763 | |||||||
| Rate Shock 总计 | $ | (6,550) | $ | (3,226) | |||||||||
| (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 $105.80 at May 31, 2024. The market value of the short position was $446.0 million. |
| (3) | Ten-year Treasury futures contracts were valued at prices of $108.80 at May 31, 2024. The market value of the short position was $68.0 million. |
| (1) | 花旗集团全球市场公司收益手册的建模结果。利率冲击假设即时平行波动，期权价格的计算假设SOFR期权调整后的利差保持不变。这些结果仅用于说明目的，实际结果可能存在重大差异。 |
| (2) | 截至2024年5月31日，五年期美国国债期货合约的价值为105.80美元。空头头寸的市值为4.46亿美元。 |
| (3) | 截至2024年5月31日，十年期美国国债期货合约的价值为108.80美元。空头头寸的市值为6,800万美元。 |
| RMBS Assets by Agency | ||||||||
| ($ in thousands) | ||||||||
| Percentage | ||||||||
| Fair | of | |||||||
| Asset Category | Value | Portfolio | ||||||
| As of May 31, 2024 | ||||||||
| Fannie Mae | $ | 2,792,509 | 63.3% | |||||
| Freddie Mac | 1,622,015 | 36.7% | ||||||
| Total Mortgage Assets | $ | 4,414,524 | 100.0% | |||||
| 按机构划分的RMBS资产 | ||||||||
| （以千美元计） | ||||||||
| 百分比 | ||||||||
| 公平 | 的 | |||||||
| 资产类别 | 价值 | 投资组合 | ||||||
| 截至 2024 年 5 月 31 日 | ||||||||
| 房利美 | $ | 2,792,509 | 63.3% | |||||
| 弗雷迪·麦克 | 1,622,015 | 36.7% | ||||||
| 抵押资产总额 | $ | 4,414,524 | 100.0% | |||||
| Investment Company Act of 1940 Whole Pool Test | ||||||||
| ($ in thousands) | ||||||||
| Percentage | ||||||||
| Fair | of | |||||||
| Asset Category | Value | Portfolio | ||||||
| As of May 31, 2024 | ||||||||
| Non-Whole Pool Assets | $ | 133,198 | 3.0% | |||||
| Whole Pool Assets | 4,281,326 | 97.0% | ||||||
| Total Mortgage Assets | $ | 4,414,524 | 100.0% | |||||
| 1940 年《投资公司法》全池测试 | ||||||||
| （以千美元计） | ||||||||
| 百分比 | ||||||||
| 公平 | 的 | |||||||
| 资产类别 | 价值 | 投资组合 | ||||||
| 截至 2024 年 5 月 31 日 | ||||||||
| 非整体池资产 | $ | 133,198 | 3.0% | |||||
| 整个矿池资产 | 4,281,326 | 97.0% | ||||||
| 抵押资产总额 | $ | 4,414,524 | 100.0% | |||||
| Borrowings By Counterparty | |||||||||||||||||
| ($ in thousands) | |||||||||||||||||
| Weighted | Weighted | ||||||||||||||||
| % of | Average | Average | |||||||||||||||
| Total | Total | Repo | Maturity | Longest | |||||||||||||
| As of May 31, 2024 | Borrowings | Debt | Rate | in Days | Maturity | ||||||||||||
| RBC Capital Markets, LLC | $ | 269,405 | 6.8% | 5.46% | 13 | 6/13/2024 | |||||||||||
| J.P. Morgan Securities LLC | 246,914 | 6.2% | 5.46% | 6 | 6/24/2024 | ||||||||||||
| Banco Santander SA | 244,038 | 6.1% | 5.46% | 30 | 7/22/2024 | ||||||||||||
| Cantor Fitzgerald & Co | 240,022 | 6.0% | 5.45% | 45 | 7/15/2024 | ||||||||||||
| DV Securities, LLC Repo | 226,883 | 5.7% | 5.45% | 43 | 7/15/2024 | ||||||||||||
| Marex Capital Markets Inc. | 219,708 | 5.5% | 5.45% | 15 | 6/17/2024 | ||||||||||||
| ABN AMRO Bank N.V. | 218,149 | 5.5% | 5.46% | 30 | 8/29/2024 | ||||||||||||
| ASL Capital Markets Inc. | 213,654 | 5.4% | 5.44% | 47 | 7/29/2024 | ||||||||||||
| Bank of Montreal | 206,351 | 5.2% | 5.45% | 13 | 6/13/2024 | ||||||||||||
| Mitsubishi UFJ Securities (USA), Inc | 206,193 | 5.2% | 5.47% | 61 | 8/29/2024 | ||||||||||||
| Wells Fargo Bank, N.A. | 200,100 | 5.0% | 5.46% | 45 | 7/15/2024 | ||||||||||||
| Citigroup Global Markets Inc | 197,910 | 5.0% | 5.45% | 24 | 6/24/2024 | ||||||||||||
| Mirae Asset Securities (USA) Inc. | 189,441 | 4.8% | 5.46% | 20 | 6/24/2024 | ||||||||||||
| Merrill Lynch, Pierce, Fenner & Smith | 185,916 | 4.7% | 5.48% | 14 | 6/27/2024 | ||||||||||||
| Daiwa Securities America Inc. | 165,971 | 4.2% | 5.45% | 24 | 6/24/2024 | ||||||||||||
| StoneX Financial Inc. | 159,516 | 4.0% | 5.46% | 46 | 7/16/2024 | ||||||||||||
| Goldman, Sachs & Co | 150,734 | 3.8% | 5.44% | 20 | 6/20/2024 | ||||||||||||
| South Street Securities, LLC | 150,292 | 3.8% | 5.45% | 48 | 8/13/2024 | ||||||||||||
| Clear Street LLC | 149,939 | 3.8% | 5.45% | 37 | 7/15/2024 | ||||||||||||
| ING Financial Markets LLC | 124,310 | 3.1% | 5.46% | 13 | 6/13/2024 | ||||||||||||
| Lucid Cash Fund USG LLC | 16,896 | 0.4% | 5.46% | 13 | 6/13/2024 | ||||||||||||
| Total Borrowings | $ | 3,982,342 | 100.0% | 5.46% | 29 | 8/29/2024 | |||||||||||
| 交易对手借款 | |||||||||||||||||
| （以千美元计） | |||||||||||||||||
| 加权 | 加权 | ||||||||||||||||
| 的百分比 | 平均值 | 平均值 | |||||||||||||||
| 总计 | 总计 | 回购 | 成熟度 | 最长 | |||||||||||||
| 截至 2024 年 5 月 31 日 | 借款 | 债务 | 费率 | 以天为单位 | 成熟度 | ||||||||||||
| 加拿大皇家银行资本市场有限责任公司 | $ | 269,405 | 6.8% | 5.46% | 13 | 6/13/2024 | |||||||||||
| 摩根大通证券有限责任公司 | 246,914 | 6.2% | 5.46% | 6 | 6/24/2024 | ||||||||||||
| 南非桑坦德银行 | 244,038 | 6.1% | 5.46% | 30 | 7/22/2024 | ||||||||||||
| 坎托·菲茨杰拉德律师事务所 | 240,022 | 6.0% | 5.45% | 45 | 7/15/2024 | ||||||||||||
| DV Securities, LLC 回购 | 226,883 | 5.7% | 5.45% | 43 | 7/15/2024 | ||||||||||||
| Marex 资本市场公司 | 219,708 | 5.5% | 5.45% | 15 | 6/17/2024 | ||||||||||||
| ABN AMRO Bank N.V. | 218,149 | 5.5% | 5.46% | 30 | 8/29/2024 | ||||||||||||
| ASL 资本市场公司 | 213,654 | 5.4% | 5.44% | 47 | 7/29/2024 | ||||||||||||
| 蒙特利尔银行 | 206,351 | 5.2% | 5.45% | 13 | 6/13/2024 | ||||||||||||
| 三菱日联证券（美国）有限公司 | 206,193 | 5.2% | 5.47% | 61 | 8/29/2024 | ||||||||||||
| 富国银行，N.A. | 200,100 | 5.0% | 5.46% | 45 | 7/15/2024 | ||||||||||||
| 花旗集团环球市场公司 | 197,910 | 5.0% | 5.45% | 24 | 6/24/2024 | ||||||||||||
| 未来资产证券（美国）有限公司 | 189,441 | 4.8% | 5.46% | 20 | 6/24/2024 | ||||||||||||
| 美林、皮尔斯、芬纳和史密斯 | 185,916 | 4.7% | 5.48% | 14 | 6/27/2024 | ||||||||||||
| 大和证券美国公司 | 165,971 | 4.2% | 5.45% | 24 | 6/24/2024 | ||||||||||||
| StoneX 金融公司 | 159,516 | 4.0% | 5.46% | 46 | 7/16/2024 | ||||||||||||
| 高盛、萨克斯公司 | 150,734 | 3.8% | 5.44% | 20 | 6/20/2024 | ||||||||||||
| 南街证券有限责任公司 | 150,292 | 3.8% | 5.45% | 48 | 8/13/2024 | ||||||||||||
| 清街有限责任公司 | 149,939 | 3.8% | 5.45% | 37 | 7/15/2024 | ||||||||||||
| 荷兰国际集团金融市场有限责任公司 | 124,310 | 3.1% | 5.46% | 13 | 6/13/2024 | ||||||||||||
| Lucid Cash Fund USG LLC | 16,896 | 0.4% | 5.46% | 13 | 6/13/2024 | ||||||||||||
| 借款总额 | $ | 3,982,342 | 100.0% | 5.46% | 29 | 8/29/2024 | |||||||||||
Orchid Island Capital, Inc.
Robert E. Cauley
Telephone: (772) 231-1400
兰岛资本有限公司
罗伯特 E. 考利
电话：(772) 231-1400
Source: Orchid Island Capital, Inc.
资料来源：兰岛资本有限公司