Orchid Island Capital, Inc. Declares December 2024 Monthly Dividend of $0.12 per Share
Orchid Island Capital, Inc. Declares December 2024 Monthly Dividend of $0.12 per Share
The ex-dividend date is December 31, 2024.Orchid Island Capital, Inc. announces a $0.12 monthly dividend for December 2024, payable January 30, 2025.
Orchid Island Capital, Inc. 宣布将于2024年12月支付每月$0.12的分红，支付日期为2025年1月30日。
Quiver AI Summary
Quiver AI 概要
Orchid Island Capital, Inc. has declared a monthly cash dividend of $0.12 per share for December 2024, to be paid on January 30, 2025, to shareholders of record as of December 31, 2024. The ex-dividend date is also set for December 31, 2024. The company, which focuses on investing in Agency residential mortgage-backed securities (RMBS), plans to announce the next dividend on January 8, 2025. As of November 30, 2024, Orchid Island had a total of 79,849,645 shares of common stock outstanding and reported significant details regarding their RMBS portfolio, along with insights into their portfolio characteristics and risk measures. They are required to distribute at least 90% of their taxable income annually to maintain their status as a real estate investment trust (REIT). The company has not set a minimum distribution payment level, and future dividend payments are not guaranteed.
Orchid Island Capital, Inc. 已宣布2024年12月每股$0.12的现金分红，将于2025年1月30日支付给截至2024年12月31日的股东。除息日也定于2024年12月31日。该公司专注于投资于政府机构的住宅抵押贷款支持证券（RMBS），计划在2025年1月8日宣布下一次分红。截至2024年11月30日，Orchid Island 的普通股总数为79,849,645股，并报告了有关其RMBS投资组合的重大细节，以及对其投资组合特征和风险措施的见解。他们每年必须分配至少90%的应税收入，以维持其作为股权房地产投资信托（REIT）的地位。该公司尚未设定最低分红支付水平，未来的分红支付并不保证。
Potential Positives
潜在的积极因素
- The Board of Directors declared a monthly cash dividend of $0.12 per share, signaling a commitment to returning value to shareholders.
- The company intends to maintain regular monthly cash distributions, highlighting financial stability and a strong cash-flow position.
- As a real estate investment trust (REIT), Orchid Island Capital, Inc. must distribute a substantial portion of its income, indicating a focus on shareholder returns and compliance with REIT regulations.
- 董事会宣告每股$0.12的月度现金分红，表明对向股东回馈价值的承诺。
- 该公司打算保持定期的每月现金分配，突显其财务稳定性和强劲的现金流状况。
- 作为一家股权房地产投资信托（REIT），Orchid Island Capital, Inc. 必须分配其收入的相当一部分，表明其关注股东回报并遵守REIT法规。
Potential Negatives
潜在负面因素
- The company has not established a minimum distribution payment level, raising concerns about its long-term ability to maintain consistent dividends.
- The forward-looking statements in the press release indicate uncertainty regarding the company's future distributions, potentially undermining investor confidence.
- The requirement for the company to distribute at least 90% of its REIT taxable income to avoid taxes could pressure financial stability, particularly in fluctuating market conditions.
- 该公司尚未建立最低分红派息水平，这引发了人们对其长期维持稳定分红的能力的担忧。
- 新闻稿中的前瞻性陈述表明，关于公司未来分红的不确定性可能会动摇投资者信心。
- 若要避免税收，公司需要分配至少90%的股权房地产投资信托(REITS)应税收入，这可能会对财务稳定造成压力，特别是在市场波动的情况下。
FAQ
常见问题
What is the December 2024 dividend for Orchid Island Capital, Inc.?
2024年12月Orchid Island Capital, Inc.的分红派息是多少？
The dividend for December 2024 is $0.12 per share of common stock.
2024年12月的分红派息为每股普通股0.12美元。
When is the ex-dividend date for the December dividend?
2024年12月的除息日期是什么时候？
The ex-dividend date is December 31, 2024.
除息日期为2024年12月31日。
When will the next dividend announcement occur?
下一个分红公告将于什么时候发布？
The next dividend announcement is expected on January 8, 2025.
下一个分红公告预计在2025年1月8日发布。
How many shares of common stock are outstanding as of December 2024?
截止2024年12月，普通股的流通股数为多少？
As of December 10, 2024, there are 79,849,645 shares of common stock outstanding.
截至2024年12月10日，流通的普通股共有79,849,645股。
What investment strategy does Orchid Island Capital, Inc. follow?
Orchid Island Capital, Inc.采用什么投资策略？
Orchid Island Capital, Inc. focuses on investing in Agency RMBS, including traditional and structured Agency RMBS.
Orchid Island Capital, Inc.专注于投资代理RMBS，包括传统和结构化代理RMBS。
Disclaimer: This is an AI-generated summary of a press release distributed by GlobeNewswire. The model used to summarize this release may make mistakes. See the full release here.
免责声明：这是由GlobeNewswire分发的新闻稿的人工智能生成摘要。用于总结这份稿件的模型可能会出错。请在这里查看完整发布。
$ORC Hedge Fund Activity
$ORC对冲基金活动
We have seen 80 institutional investors add shares of $ORC stock to their portfolio, and 57 decrease their positions in their most recent quarter.
我们看到80家机构投资者在最近一个季度增持了$ORC股票，57家则减少了他们的持仓。
Here are some of the largest recent moves:
以下是最近的一些重大变动：
- BLACKROCK, INC. added 1,346,801 shares (+24.8%) to their portfolio in Q3 2024
- TWO SIGMA ADVISERS, LP removed 1,013,100 shares (-94.9%) from their portfolio in Q3 2024
- VANGUARD GROUP INC added 827,570 shares (+28.0%) to their portfolio in Q3 2024
- GOLDMAN SACHS GROUP INC added 798,082 shares (+319.3%) to their portfolio in Q3 2024
- TWO SIGMA INVESTMENTS, LP removed 659,510 shares (-58.8%) from their portfolio in Q3 2024
- AMERIPRISE FINANCIAL INC added 500,542 shares (+inf%) to their portfolio in Q3 2024
- WOLVERINE ASSET MANAGEMENT LLC added 474,855 shares (+inf%) to their portfolio in Q3 2024
- 贝莱德公司在2024年第三季度新增了1,346,801股(+24.8%)的股票到他们的投资组合中。
- 两_sigma顾问公司在2024年第三季度从他们的投资组合中移除了1,013,100股(-94.9%)的股票。
- 先锋集团在2024年第三季度新增了827,570股(+28.0%)的股票到他们的投资组合中。
- 高盛集团在2024年第三季度新增了798,082股(+319.3%)的股票到他们的投资组合中。
- 两_sigma投资公司在2024年第三季度从他们的投资组合中移除了659,510股(-58.8%)的股票。
- 美国先锋财务公司在2024年第三季度新增了500,542股(+inf%)的股票到他们的投资组合中。
- WOLVERINE 资产管理 LLC 在 2024 年第三季度增加了 474,855 股 (+inf%) 的股票到他们的投资组合中
To track hedge funds' stock portfolios, check out Quiver Quantitative's institutional holdings dashboard.
要跟踪对冲基金的股票投资组合，请查看Quiver Quantitative的机构持有情况仪表。
Full Release
完整发布
-
December 2024 Monthly Dividend of $0.12 Per Share of Common Stock
-
2024 年 12 月每股普通股分红为 0.12 美元
-
RMBS Portfolio Characteristics as of November 30, 2024
-
截至 2024 年 11 月 30 日的 RMBS 投资组合特征
-
Next Dividend Announcement Expected January 8, 2025
-
下一个分红公告预计在 2025 年 1 月 8 日
VERO BEACH, Fla., Dec. 10, 2024 (GLOBE NEWSWIRE) -- 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 December 2024. The dividend of $0.12 per share will be paid January 30, 2025 to holders of record of the Company's common stock on December 31, 2024, with an ex-dividend date of December 31, 2024. The Company plans on announcing its next common stock dividend on January 8, 2025.
佛罗里达州维罗海滩，2024 年 12 月 10 日 (全球新闻网) -- Orchid Island Capital, Inc. ("公司") (纽交所: ORC) 今日宣布公司董事会宣告 2024 年 12 月份的现金月度分红。每股 0.12 美元的分红将在 2025 年 1 月 30 日支付给截至 2024 年 12 月 31 日的普通股持有者，除息日期为 2024 年 12 月 31 日。公司计划于 2025 年 1 月 8 日宣布下一次普通股分红。
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.
公司打算定期向其普通股持有者支付现金分配。为了符合股权房地产投资信托 ("REIT") 的资格，公司必须每年向其股东分配至少相当于其 REIT 应纳税收入的 90% 的金额，该金额的计算不考虑已支付的分红扣除，并排除任何净资本增益。公司将对未分配的应纳税收入缴纳所得税，并将根据特定日期未分配一定比例的应纳税收入支付消费税。公司尚未设定最低分配支付水平，也不能保证将来向股东进行分配的能力。
As of December 10, 2024 and November 30, 2024, the Company had 79,849,645 shares of common stock outstanding. As of September 30, 2024, the Company had 78,082,645 shares of common stock outstanding.
截至2024年12月10日和2024年11月30日，公司已发行79,849,645股普通股。截至2024年9月30日，公司已发行78,082,645股普通股。
RMBS Portfolio Characteristics
RMBS投资组合特征
Details of the RMBS portfolio as of November 30, 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11月30日的RMBS投资组合详细信息如下。这些数字是初步的，可能会有所变动。本文所含的信息是公司基于其认为准确的信息所创建的季度内更新：
-
RMBS Valuation Characteristics
-
RMBS估值特征
-
RMBS Assets by Agency
-
按机构分的住房抵押贷款支持证券资产
-
Investment Company Act of 1940 (Whole Pool) Test Results
-
1940年投资公司法（整体投资组合）测试结果
-
Repurchase Agreement Exposure by Counterparty
-
按对手方划分的回购协议风险敞口
-
RMBS Risk Measures
-
RMBS风险指标
About Orchid Island Capital, Inc.
关于Orchid Island Capital, Inc.
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.
Orchid Island Capital, Inc.是一家专业金融公司，采用杠杆方式投资于政府机构RMBS。我们的投资策略专注于并且我们的投资组合包括两类政府机构RMBS：（i）传统的通过式政府机构RMBS，例如由房利美、房地美或吉尼梅发行的抵押贷款通过证书和抵押贷款担保证券，以及（ii）结构化政府机构RMBS。公司由Bimini Advisors, LLC管理，这是一家注册于证券交易委员会的投资顾问。
Forward-Looking Statements
前瞻性声明
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. 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》及其他联邦证券法意义上的前瞻性声明。这些前瞻性声明包括但不限于关于公司的分红派息的声明。这些前瞻性声明基于Orchid Island Capital, Inc.当前的预期，但这些声明并不保证会发生。投资者不应对此类前瞻性声明过分依赖。有关可能影响结果的因素的进一步讨论，请参阅公司截至2023年12月31日的10-K年度报告中的“风险因素”部分。
|
RMBS Valuation Characteristics |
||||||||||||||||||||||||||||||||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||||||||||||||||||||||||||
|
Realized |
||||||||||||||||||||||||||||||||||||||||||||||||
|
Realized |
Sep-24 - |
|||||||||||||||||||||||||||||||||||||||||||||||
|
Nov-24 |
Nov-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 Dec) |
in Dec) |
(-50 BPS) |
(+50 BPS) |
||||||||||||||||||||||||||||||||||||
|
Fixed Rate RMBS |
||||||||||||||||||||||||||||||||||||||||||||||||
|
15yr 5.0 TBA |
$ |
50,000 |
$ |
50,113 |
0.94 % |
100.23 |
5.00 % |
5.87 % |
6 |
170 |
n/a |
n/a |
$ |
651 |
$ |
(746 ) |
||||||||||||||||||||||||||||||||
|
15yr Total |
50,000 |
50,113 |
0.94 % |
100.23 |
5.00 % |
5.87 % |
6 |
170 |
n/a |
n/a |
651 |
(746 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 3.0 |
1,104,053 |
976,396 |
18.40 % |
88.44 |
3.00 % |
3.47 % |
44 |
309 |
6.2 % |
6.3 % |
29,637 |
(29,960 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 3.5 |
177,113 |
163,207 |
3.08 % |
92.15 |
3.50 % |
4.04 % |
57 |
290 |
6.2 % |
7.1 % |
4,518 |
(4,564 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 4.0 |
528,702 |
496,826 |
9.36 % |
93.97 |
4.00 % |
4.64 % |
70 |
283 |
3.9 % |
5.4 % |
12,085 |
(12,898 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 4.5 |
307,807 |
296,925 |
5.59 % |
96.46 |
4.50 % |
5.44 % |
29 |
327 |
5.6 % |
6.3 % |
5,932 |
(6,512 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 5.0 |
578,068 |
569,631 |
10.73 % |
98.54 |
5.00 % |
5.94 % |
24 |
331 |
5.6 % |
6.7 % |
10,533 |
(11,985 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 5.5 |
281,760 |
284,083 |
5.35 % |
100.82 |
5.50 % |
6.40 % |
18 |
338 |
1.8 % |
3.2 % |
4,683 |
(5,579 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 6.0 |
1,211,604 |
1,236,362 |
23.30 % |
102.04 |
6.00 % |
6.98 % |
11 |
344 |
8.1 % |
12.4 % |
15,602 |
(19,624 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 6.5 |
854,817 |
881,122 |
16.60 % |
103.08 |
6.50 % |
7.43 % |
10 |
347 |
15.3 % |
19.1 % |
8,028 |
(10,523 ) |
||||||||||||||||||||||||||||||||||||
|
30yr 7.0 |
323,885 |
336,969 |
6.35 % |
104.04 |
7.00 % |
7.94 % |
13 |
340 |
33.7 % |
32.6 % |
2,656 |
(3,356 ) |
||||||||||||||||||||||||||||||||||||
|
30yr Total |
5,367,809 |
5,241,521 |
98.76 % |
97.65 |
5.02 % |
5.83 % |
28 |
327 |
9.2 % |
11.1 % |
93,674 |
(105,001 ) |
||||||||||||||||||||||||||||||||||||
|
Total Pass-Through MBS |
5,417,809 |
5,291,634 |
99.71 % |
97.67 |
5.02 % |
5.83 % |
28 |
325 |
9.2 % |
11.1 % |
94,325 |
(105,747 ) |
||||||||||||||||||||||||||||||||||||
|
Structured MBS |
||||||||||||||||||||||||||||||||||||||||||||||||
|
IO 20yr 4.0 |
7,135 |
680 |
0.01 % |
9.53 |
4.00 % |
4.57 % |
155 |
79 |
9.6 % |
10.0 % |
4 |
(4 ) |
||||||||||||||||||||||||||||||||||||
|
IO 30yr 3.0 |
2,608 |
311 |
0.01 % |
11.94 |
3.00 % |
3.64 % |
118 |
231 |
0.7 % |
9.7 % |
- |
(1 ) |
||||||||||||||||||||||||||||||||||||
|
IO 30yr 4.0 |
72,153 |
13,445 |
0.25 % |
18.63 |
4.00 % |
4.60 % |
123 |
228 |
5.1 % |
6.2 % |
(131 ) |
194 |
||||||||||||||||||||||||||||||||||||
|
IO 30yr 4.5 |
3,155 |
583 |
0.01 % |
18.49 |
4.50 % |
4.99 % |
173 |
174 |
6.7 % |
7.3 % |
(4 ) |
1 |
||||||||||||||||||||||||||||||||||||
|
IO 30yr 5.0 |
1,703 |
346 |
0.01 % |
20.33 |
5.00 % |
5.37 % |
173 |
174 |
14.2 % |
8.8 % |
(6 ) |
3 |
||||||||||||||||||||||||||||||||||||
|
IO Total |
86,754 |
15,365 |
0.29 % |
17.71 |
4.01 % |
4.60 % |
128 |
213 |
5.6 % |
6.7 % |
(137 ) |
193 |
||||||||||||||||||||||||||||||||||||
|
IIO 30yr 4.0 |
22,184 |
225 |
0.00 % |
1.01 |
0.00 % |
4.40 % |
86 |
262 |
0.6 % |
7.3 % |
(70 ) |
(122 ) |
||||||||||||||||||||||||||||||||||||
|
Total Structured RMBS |
108,938 |
15,590 |
0.29 % |
14.31 |
3.19 % |
4.56 % |
120 |
223 |
4.6 % |
6.8 % |
(207 ) |
71 |
||||||||||||||||||||||||||||||||||||
|
Total Mortgage Assets |
$ |
5,526,747 |
$ |
5,307,224 |
100.00 % |
|
4.99 % |
5.80 % |
29 |
323 |
9.1 % |
11.0 % |
$ |
94,118 |
$ |
(105,676 ) |
||||||||||||||||||||||||||||||||
|
RMBS估值特征 |
||||||||||||||||||||||||||||||||||||||||||||||||
|
(以千美元计) |
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|
已实现 |
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|
已实现 |
九月-24 - |
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|
十一月-24 |
十一月-24 |
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|
净 |
加权 |
CPR |
CPR |
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|
加权 |
平均 |
(1个月) |
(3个月) |
模拟利息 |
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|
当前 |
公平 |
% 的 |
当前 |
平均 |
到期 |
(报告 |
(报告 |
利率敏感性(1) |
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|
Type |
面值 |
价值 |
投资组合 |
价格 |
票息 |
GWAC |
年龄 |
(月份) |
在十二月) |
在十二月) |
(下降50个基点) |
(上升50个基点) |
||||||||||||||||||||||||||||||||||||
|
固定利率RMBS |
||||||||||||||||||||||||||||||||||||||||||||||||
|
15年期 5.0 TBA |
$ |
50,000 |
$ |
50,113 |
0.94 % |
100.23 |
5.00 % |
5.87 % |
6 |
170 |
不适用 |
不适用 |
$ |
651 |
$ |
(746 ) |
||||||||||||||||||||||||||||||||
|
15年总计 |
50,000 |
50,113 |
0.94 % |
100.23 |
5.00 % |
5.87 % |
6 |
170 |
不适用 |
不适用 |
651 |
(746 ) |
||||||||||||||||||||||||||||||||||||
|
30年 3.0 |
1,104,053 |
976,396 |
18.40 % |
88.44 |
3.00 % |
3.47 % |
44 |
309 |
6.2 % |
6.3 % |
29,637 |
(29,960 ) |
||||||||||||||||||||||||||||||||||||
|
30年 3.5 |
177,113 |
163,207 |
3.08 % |
92.15 |
3.50 % |
4.04 % |
57 |
290 |
6.2 % |
7.1 % |
4,518 |
(4,564 ) |
||||||||||||||||||||||||||||||||||||
|
30年 4.0 |
528,702 |
496,826 |
9.36 % |
93.97 |
4.00 % |
4.64 % |
70 |
283 |
3.9 % |
5.4 % |
12,085 |
(12,898 ) |
||||||||||||||||||||||||||||||||||||
|
30年 4.5 |
307,807 |
296,925 |
5.59 % |
96.46 |
4.50 % |
5.44 % |
29 |
327 |
5.6 % |
6.3 % |
5,932 |
(6,512 ) |
||||||||||||||||||||||||||||||||||||
|
30年期 5.0 |
578,068 |
569,631 |
10.73 % |
98.54 |
5.00 % |
5.94 % |
24 |
331 |
5.6 % |
6.7 % |
10,533 |
(11,985 ) |
||||||||||||||||||||||||||||||||||||
|
30年 5.5 |
281,760 |
284,083 |
5.35 % |
100.82 |
5.50 % |
6.40 % |
18 |
338 |
1.8 % |
3.2 % |
4,683 |
(5,579 ) |
||||||||||||||||||||||||||||||||||||
|
30年 6.0 |
1,211,604 |
1,236,362 |
23.30 % |
102.04 |
6.00 % |
6.98 % |
11 |
344 |
8.1 % |
12.4 % |
15,602 |
(19,624 ) |
||||||||||||||||||||||||||||||||||||
|
30年6.5 |
854,817 |
881,122 |
16.60 % |
103.08 |
6.50 % |
7.43 % |
10 |
347 |
15.3 % |
19.1 % |
8,028 |
(10,523 ) |
||||||||||||||||||||||||||||||||||||
|
30年 7.0 |
323,885 |
336,969 |
6.35 % |
104.04 |
7.00 % |
7.94 % |
13 |
340 |
33.7 % |
32.6 % |
2,656 |
(3,356 ) |
||||||||||||||||||||||||||||||||||||
|
30年总计 |
5,367,809 |
5,241,521 |
98.76 % |
97.65 |
5.02 % |
5.83 % |
28 |
327 |
9.2 % |
11.1 % |
93,674 |
(105,001 ) |
||||||||||||||||||||||||||||||||||||
|
总通过型MBS |
5,417,809 |
5,291,634 |
99.71 % |
97.67 |
5.02 % |
5.83 % |
28 |
325 |
9.2 % |
11.1 % |
94,325 |
(105,747 ) |
||||||||||||||||||||||||||||||||||||
|
结构化抵押贷款支持证券 |
||||||||||||||||||||||||||||||||||||||||||||||||
|
利息隔离 20年 4.0 |
7,135 |
680 |
0.01 % |
9.53 |
4.00 % |
4.57 % |
155 |
79 |
9.6 % |
10.0 % |
4 |
(4 ) |
||||||||||||||||||||||||||||||||||||
|
IO 30年 3.0 |
2,608 |
311 |
0.01 % |
11.94 |
3.00 % |
3.64 % |
118 |
231 |
0.7 % |
9.7 % |
- |
(1 ) |
||||||||||||||||||||||||||||||||||||
|
IO 30年 4.0 |
72,153 |
13,445 |
0.25 % |
18.63 |
4.00 % |
4.60 % |
123 |
228 |
5.1 % |
6.2 % |
(131 ) |
194 |
||||||||||||||||||||||||||||||||||||
|
IO 30年 4.5 |
3,155 |
583 |
0.01 % |
18.49 |
4.50 % |
4.99 % |
173 |
174 |
6.7 % |
7.3 % |
(4 ) |
1 |
||||||||||||||||||||||||||||||||||||
|
IO 30年 5.0 |
1,703 |
346 |
0.01 % |
20.33 |
5.00 % |
5.37 % |
173 |
174 |
14.2 % |
8.8 % |
(6 ) |
3 |
||||||||||||||||||||||||||||||||||||
|
IO总计 |
86,754 |
15,365 |
0.29 % |
17.71 |
4.01 % |
4.60 % |
128 |
213 |
5.6 % |
6.7 % |
(137 ) |
193 |
||||||||||||||||||||||||||||||||||||
|
IIO 30年 4.0 |
22,184 |
225 |
0.00 % |
1.01 |
0.00 % |
4.40 % |
86 |
262 |
0.6 % |
7.3 % |
(70 ) |
(122 ) |
||||||||||||||||||||||||||||||||||||
|
总结构化RMBS |
108,938 |
15,590 |
0.29 % |
14.31 |
3.19 % |
4.56 % |
120 |
223 |
4.6 % |
6.8 % |
(207 ) |
71 |
||||||||||||||||||||||||||||||||||||
|
总抵押贷款资产 |
$ |
5,526,747 |
$ |
5,307,224 |
100.00 % |
|
4.99 % |
5.80 % |
29 |
323 |
9.1 % |
11.0 % |
$ |
94,118 |
$ |
(105,676 ) |
||||||||||||||||||||||||||||||||
|
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 |
||||||
|
5-Year Treasury Future(3) |
$ |
(62,500 ) |
Mar-25 |
$ |
(1,281 ) |
$ |
1,252 |
||||||
|
10-Year Treasury Future(4) |
$ |
(22,500 ) |
Mar-25 |
$ |
(725 ) |
$ |
711 |
||||||
|
10-Year Ultra Treasury Future(5) |
$ |
(32,500 ) |
Mar-25 |
$ |
(1,484 ) |
$ |
1,413 |
||||||
|
Swaps |
(3,516,800 ) |
Jun-30 |
(86,811 ) |
83,823 |
|||||||||
|
TBA |
(200,000 ) |
Dec-24 |
(5,687 ) |
5,862 |
|||||||||
|
Hedge Total |
$ |
(4,290,200 ) |
$ |
(101,687 ) |
$ |
98,760 |
|||||||
|
Rate Shock Grand Total |
|
$ |
(7,569 ) |
$ |
(6,916 ) |
||||||||
|
对冲 |
建模利息 |
||||||||||||
|
名义 |
期间 |
利率敏感性 (1) |
|||||||||||
|
对冲 |
余额 |
结束 |
(-50 基点) |
(+50 基点) |
|||||||||
|
3个月SOFR期货(2) |
$ |
(455,900 ) |
2023年10月25日 |
$ |
(5,699 ) |
$ |
5,699 |
||||||
|
5年期国债期货(3) |
$ |
(62,500 ) |
2025年3月 |
$ |
(1,281 ) |
$ |
1,252 |
||||||
|
10年期国债期货(4) |
$ |
(22,500 ) |
2025年3月 |
$ |
(725 ) |
$ |
711 |
||||||
|
10年超长期国债期货(5) |
$ |
(32,500 ) |
2025年3月 |
$ |
(1,484 ) |
$ |
1,413 |
||||||
|
掉期 |
(3,516,800 ) |
6月30日 |
(86,811 ) |
83,823 |
|||||||||
|
待公布 |
(200,000 ) |
2024年12月 |
(5,687 ) |
5,862 |
|||||||||
|
对冲总数 |
$ |
(4,290,200 ) |
$ |
(101,687 ) |
$ |
98,760 |
|||||||
|
利率震荡总计 |
|
$ |
(7,569 ) |
$ |
(6,916 ) |
||||||||
|
(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 ) |
Five-year Treasury futures contracts were valued at prices of $107.60 at November 30, 2024. The market value of the short position was $67.3 million. |
|
|
(4 ) |
Ten-year Treasury futures contracts were valued at prices of $111.19 at November 30, 2024. The market value of the short position was $25.0 million. |
|
|
(5 ) |
Ten-year Ultra Treasury futures contracts were valued at prices of $114.80 at November 30, 2024. The market value of the short position was $37.3 million. |
|
(1 ) |
来自花旗集团全球市场公司收益簿的模拟结果。利率冲击假设瞬时平行移动，并且根据恒定SOFR期权调整点差计算地平价。这些结果仅供说明目的，实际结果可能会有重大差异。 |
|
|
(2 ) |
SOFR期货合约的金额代表平均季度名义金额。 |
|
|
(3 ) |
五年期国债期货合约在2024年11月30日的价格为107.60美元。该空头头寸的市场价值为6730万。 |
|
|
(4 ) |
十年期国债期货合约在2024年11月30日的价格为111.19美元。该空头头寸的市场价值为2500万。 |
|
|
(5 ) |
到2024年11月30日，十年期超长国债期货合约的价格为114.80美元。空头头寸的市场价值为3730万。 |
|
RMBS Assets by Agency |
||||||||
|
($ in thousands) |
||||||||
|
Percentage |
||||||||
|
Fair |
of |
|||||||
|
Asset Category |
Value |
Portfolio |
||||||
|
As of November 30, 2024 |
||||||||
|
Fannie Mae |
$ |
3,709,848 |
69.9 % |
|||||
|
Freddie Mac |
1,597,376 |
30.1 % |
||||||
|
Total Mortgage Assets |
$ |
5,307,224 |
100.0 % |
|||||
|
按机构分的住房抵押贷款支持证券资产 |
||||||||
|
(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11月30日 |
||||||||
|
房利美 |
$ |
3,709,848 |
69.9 % |
|||||
|
房地美 |
1,597,376 |
30.1 % |
||||||
|
总抵押贷款资产 |
$ |
5,307,224 |
100.0 % |
|||||
|
Investment Company Act of 1940 Whole Pool Test |
||||||||
|
($ in thousands) |
||||||||
|
Percentage |
||||||||
|
Fair |
of |
|||||||
|
Asset Category |
Value |
Portfolio |
||||||
|
As of November 30, 2024 |
||||||||
|
Non-Whole Pool Assets |
$ |
207,178 |
3.9 % |
|||||
|
Whole Pool Assets |
5,100,046 |
96.1 % |
||||||
|
Total Mortgage Assets |
$ |
5,307,224 |
100.0 % |
|||||
|
1940年投资公司法整体池测试 |
||||||||
|
(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11月30日 |
||||||||
|
非整体资产 |
$ |
207,178 |
3.9 % |
|||||
|
整体资产 |
5,100,046 |
96.1 % |
||||||
|
总抵押贷款资产 |
$ |
5,307,224 |
100.0 % |
|||||
|
Borrowings By Counterparty |
|||||||||||||||||
|
($ in thousands) |
|||||||||||||||||
|
Weighted |
Weighted |
||||||||||||||||
|
% of |
Average |
Average |
|||||||||||||||
|
Total |
Total |
Repo |
Maturity |
Longest |
|||||||||||||
|
As of November 30, 2024 |
Borrowings |
Debt |
Rate |
in Days |
Maturity |
||||||||||||
|
Merrill Lynch, Pierce, Fenner & Smith |
$ |
363,741 |
7.3 % |
4.79 % |
18 |
12/23/2024 |
|||||||||||
|
ABN AMRO Bank N.V. |
339,329 |
6.8 % |
4.75 % |
16 |
12/16/2024 |
||||||||||||
|
ASL Capital Markets Inc. |
303,988 |
6.1 % |
4.77 % |
14 |
12/16/2024 |
||||||||||||
|
Cantor Fitzgerald & Co |
257,867 |
5.2 % |
4.80 % |
9 |
12/9/2024 |
||||||||||||
|
DV Securities, LLC Repo |
254,866 |
5.1 % |
4.77 % |
19 |
12/26/2024 |
||||||||||||
|
Mitsubishi UFJ Securities (USA), Inc |
251,062 |
5.0 % |
4.79 % |
20 |
12/23/2024 |
||||||||||||
|
J.P. Morgan Securities LLC |
241,736 |
4.8 % |
4.82 % |
9 |
12/26/2024 |
||||||||||||
|
Daiwa Securities America Inc. |
237,672 |
4.8 % |
4.77 % |
23 |
12/23/2024 |
||||||||||||
|
Goldman, Sachs & Co |
235,394 |
4.7 % |
4.79 % |
19 |
12/23/2024 |
||||||||||||
|
Citigroup Global Markets Inc |
232,657 |
4.7 % |
4.77 % |
26 |
12/26/2024 |
||||||||||||
|
Wells Fargo Bank, N.A. |
228,473 |
4.6 % |
4.76 % |
48 |
1/17/2025 |
||||||||||||
|
Banco Santander SA |
219,810 |
4.4 % |
4.78 % |
18 |
12/18/2024 |
||||||||||||
|
ING Financial Markets LLC |
217,067 |
4.4 % |
4.82 % |
19 |
12/19/2024 |
||||||||||||
|
Marex Capital Markets Inc. |
215,013 |
4.3 % |
4.75 % |
19 |
12/19/2024 |
||||||||||||
|
RBC Capital Markets, LLC |
206,603 |
4.1 % |
4.81 % |
26 |
1/21/2025 |
||||||||||||
|
Bank of Montreal |
195,180 |
3.9 % |
4.81 % |
12 |
12/12/2024 |
||||||||||||
|
South Street Securities, LLC |
186,535 |
3.7 % |
4.85 % |
29 |
1/24/2025 |
||||||||||||
|
Mirae Asset Securities (USA) Inc. |
177,867 |
3.6 % |
4.76 % |
170 |
5/19/2025 |
||||||||||||
|
Clear Street LLC |
166,849 |
3.3 % |
4.78 % |
12 |
12/12/2024 |
||||||||||||
|
StoneX Financial Inc. |
153,466 |
3.1 % |
4.75 % |
19 |
12/19/2024 |
||||||||||||
|
The Bank of Nova Scotia |
145,151 |
2.9 % |
4.80 % |
16 |
12/16/2024 |
||||||||||||
|
Nomura Securities International, Inc. |
73,140 |
1.5 % |
4.90 % |
16 |
12/16/2024 |
||||||||||||
|
Lucid Prime Fund, LLC |
61,924 |
1.2 % |
4.79 % |
12 |
12/12/2024 |
||||||||||||
|
Wells Fargo Securities, LLC |
22,686 |
0.5 % |
4.88 % |
54 |
1/23/2025 |
||||||||||||
|
Total Borrowings |
$ |
4,988,076 |
100.0 % |
4.79 % |
25 |
5/19/2025 |
|||||||||||
|
按对手方借款 |
|||||||||||||||||
|
(以千美元计) |
|||||||||||||||||
|
加权 |
加权 |
||||||||||||||||
|
% 的 |
平均 |
平均 |
|||||||||||||||
|
总计 |
总计 |
回购 |
到期 |
最长的 |
|||||||||||||
|
截至2024年11月30日 |
借款 |
债务 |
利率 |
天数 |
到期 |
||||||||||||
|
美林证券公司 |
$ |
363,741 |
7.3 % |
4.79 % |
18 |
12/23/2024 |
|||||||||||
|
ABN AMRO银行有限公司 |
339,329 |
6.8 % |
4.75 % |
16 |
12/16/2024 |
||||||||||||
|
ASL 资本市场公司 |
303,988 |
6.1 % |
4.77 % |
14 |
12/16/2024 |
||||||||||||
|
坎托尔·菲茨杰拉德公司 |
257,867 |
5.2 % |
4.80 % |
9 |
12/9/2024 |
||||||||||||
|
DV证券公司回购 |
254,866 |
5.1 % |
4.77 % |
19 |
12/26/2024 |
||||||||||||
|
三菱UFJ证券（美国）公司 |
251,062 |
5.0 % |
4.79 % |
20 |
12/23/2024 |
||||||||||||
|
摩根大通证券公司 |
241,736 |
4.8 % |
4.82 % |
9 |
12/26/2024 |
||||||||||||
|
大和证券美国公司 |
237,672 |
4.8 % |
4.77 % |
23 |
12/23/2024 |
||||||||||||
|
高盛公司 |
235,394 |
4.7 % |
4.79 % |
19 |
12/23/2024 |
||||||||||||
|
花旗集团全球市场公司 |
232,657 |
4.7 % |
4.77 % |
26 |
12/26/2024 |
||||||||||||
|
富国银行，全国协会。 |
228,473 |
4.6 % |
4.76 % |
48 |
1/17/2025 |
||||||||||||
|
桑坦德银行 |
219,810 |
4.4 % |
4.78 % |
18 |
12/18/2024 |
||||||||||||
|
ING金融市场公司 |
217,067 |
4.4 % |
4.82 % |
19 |
12/19/2024 |
||||||||||||
|
Marex 资本市场公司。 |
215,013 |
4.3 % |
4.75 % |
19 |
12/19/2024 |
||||||||||||
|
RBC资本市场公司 |
206,603 |
4.1 % |
4.81 % |
26 |
1/21/2025 |
||||||||||||
|
蒙特利尔银行 |
195,180 |
3.9 % |
4.81 % |
12 |
12/12/2024 |
||||||||||||
|
南街证券有限责任公司 |
186,535 |
3.7 % |
4.85 % |
29 |
1/24/2025 |
||||||||||||
|
未来资产证券（美国）公司 |
177,867 |
3.6 % |
4.76 % |
170 |
5/19/2025 |
||||||||||||
|
Clear Street LLC |
166,849 |
3.3 % |
4.78 % |
12 |
12/12/2024 |
||||||||||||
|
StoneX金融公司 |
153,466 |
3.1 % |
4.75 % |
19 |
12/19/2024 |
||||||||||||
|
诺瓦 Scotia 银行 |
145,151 |
2.9 % |
4.80 % |
16 |
12/16/2024 |
||||||||||||
|
野村证券国际有限公司 |
73,140 |
1.5 % |
4.90 % |
16 |
12/16/2024 |
||||||||||||
|
Lucid Prime 基金，有限责任公司 |
61,924 |
1.2 % |
4.79 % |
12 |
12/12/2024 |
||||||||||||
|
富国银行证券有限责任公司 |
22,686 |
0.5 % |
4.88 % |
54 |
1/23/2025 |
||||||||||||
|
总借款 |
$ |
4,988,076 |
100.0 % |
4.79 % |
25 |
5/19/2025 |
|||||||||||
Contact:
联系：
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400
兰花岛资本公司
罗伯特·E·考利
佛罗里达州维罗海滩，火烈鸟大道3305号，邮政编码32963
电话: (772) 231-1400
