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
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.
As of
The Company also announced that it and
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
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.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of
- RMBS Valuation Characteristics
- RMBS Assets by Agency
-
Investment Company Act of 1940 (
Whole Pool ) Test Results - Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About
Forward-Looking Statements
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
RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
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Realized |
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Mar-24 - |
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May-24 |
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May-24 |
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Net |
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Weighted |
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CPR |
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CPR |
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Weighted |
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Average |
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(1-Month) |
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(3-Month) |
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Modeled Interest |
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Current |
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Fair |
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% of |
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Current |
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Average |
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Maturity |
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(Reported |
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(Reported |
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Rate Sensitivity (1) |
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Type |
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Face |
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Value |
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Portfolio |
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Price |
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Coupon |
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GWAC |
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Age |
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(Months) |
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in June) |
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in June) |
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(-50 BPS) |
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(+50 BPS) |
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Fixed Rate RMBS |
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30yr 3.0 |
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$ |
1,353,113 |
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$ |
1,153,213 |
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|
26.12 |
% |
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|
85.23 |
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3.00 |
% |
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3.46 |
% |
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|
38 |
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|
316 |
|
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5.5 |
% |
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5.3 |
% |
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$ |
36,254 |
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$ |
(36,597 |
) |
30yr 3.5 |
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|
187,768 |
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|
167,711 |
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3.80 |
% |
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|
89.32 |
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|
3.50 |
% |
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|
4.04 |
% |
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51 |
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|
297 |
|
|
|
9.3 |
% |
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7.0 |
% |
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4,748 |
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|
(4,794 |
) |
30yr 4.0 |
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|
548,681 |
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|
499,290 |
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|
11.31 |
% |
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|
91.00 |
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|
|
4.00 |
% |
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|
4.78 |
% |
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28 |
|
|
|
329 |
|
|
|
4.9 |
% |
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6.3 |
% |
|
|
13,391 |
|
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|
(14,162 |
) |
30yr 4.5 |
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|
325,706 |
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|
305,911 |
|
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|
6.93 |
% |
|
|
93.92 |
|
|
|
4.50 |
% |
|
|
5.45 |
% |
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23 |
|
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|
334 |
|
|
|
10.2 |
% |
|
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9.9 |
% |
|
|
6,692 |
|
|
|
(7,305 |
) |
30yr 5.0 |
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|
537,372 |
|
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|
517,844 |
|
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|
11.73 |
% |
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|
96.37 |
|
|
|
5.00 |
% |
|
|
5.93 |
% |
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21 |
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|
335 |
|
|
|
7.3 |
% |
|
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5.9 |
% |
|
|
10,775 |
|
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|
(11,967 |
) |
30yr 5.5 |
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|
267,218 |
|
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|
264,504 |
|
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5.99 |
% |
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|
98.98 |
|
|
|
5.50 |
% |
|
|
6.43 |
% |
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|
14 |
|
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|
344 |
|
|
|
13.3 |
% |
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6.0 |
% |
|
|
4,840 |
|
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|
(5,550 |
) |
30yr 6.0 |
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|
622,308 |
|
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|
625,714 |
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14.17 |
% |
|
|
100.55 |
|
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|
6.00 |
% |
|
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6.98 |
% |
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|
10 |
|
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|
345 |
|
|
|
8.5 |
% |
|
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9.5 |
% |
|
|
8,586 |
|
|
|
(10,361 |
) |
30yr 6.5 |
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|
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 |
% |
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24 |
|
|
|
332 |
|
|
|
7.9 |
% |
|
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7.1 |
% |
|
|
93,304 |
|
|
|
(101,034 |
) |
Total Pass Through RMBS |
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|
4,685,158 |
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|
4,398,119 |
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|
|
99.63 |
% |
|
|
93.87 |
|
|
|
4.68 |
% |
|
|
5.45 |
% |
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|
24 |
|
|
|
332 |
|
|
|
7.9 |
% |
|
|
7.1 |
% |
|
|
93,304 |
|
|
|
(101,034 |
) |
Structured RMBS |
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|
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 |
) |
|
|
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 |
) |
(1) |
Modeled results from |
(2) |
Five-year |
(3) |
Ten-year |
RMBS Assets by Agency |
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($ in thousands) |
|
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|
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Percentage |
|
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Fair |
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of |
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||
Asset Category |
|
Value |
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|
Portfolio |
|
||
As of |
|
|
|
|
|
|
|
|
Fannie Mae |
|
$ |
2,792,509 |
|
|
|
63.3 |
% |
Freddie Mac |
|
|
1,622,015 |
|
|
|
36.7 |
% |
Total Mortgage Assets |
|
$ |
4,414,524 |
|
|
|
100.0 |
% |
Investment Company Act of 1940 Whole Pool Test |
|
|||||||
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
|
Fair |
|
|
of |
|
||
Asset Category |
|
Value |
|
|
Portfolio |
|
||
As of |
|
|
|
|
|
|
|
|
Non-Whole Pool Assets |
|
$ |
133,198 |
|
|
|
3.0 |
% |
Whole Pool Assets |
|
|
4,281,326 |
|
|
|
97.0 |
% |
Total Mortgage Assets |
|
$ |
4,414,524 |
|
|
|
100.0 |
% |
Borrowings By Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands) |
|
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|
|
|
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|
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|
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|
|
|
|
|
|
|
|
|
Weighted |
|
|
Weighted |
|
|
||
|
|
|
|
|
|
% of |
|
|
Average |
|
|
Average |
|
|
|||
|
|
Total |
|
|
Total |
|
|
Repo |
|
|
Maturity |
|
Longest |
||||
As of |
|
Borrowings |
|
|
Debt |
|
|
Rate |
|
|
in Days |
|
Maturity |
||||
|
|
$ |
269,405 |
|
|
|
6.8 |
% |
|
|
5.46 |
% |
|
|
13 |
|
|
|
|
|
246,914 |
|
|
|
6.2 |
% |
|
|
5.46 |
% |
|
|
6 |
|
|
Banco Santander SA |
|
|
244,038 |
|
|
|
6.1 |
% |
|
|
5.46 |
% |
|
|
30 |
|
|
|
|
|
240,022 |
|
|
|
6.0 |
% |
|
|
5.45 |
% |
|
|
45 |
|
|
DV Securities, LLC Repo |
|
|
226,883 |
|
|
|
5.7 |
% |
|
|
5.45 |
% |
|
|
43 |
|
|
|
|
|
219,708 |
|
|
|
5.5 |
% |
|
|
5.45 |
% |
|
|
15 |
|
|
ABN AMRO Bank N.V. |
|
|
218,149 |
|
|
|
5.5 |
% |
|
|
5.46 |
% |
|
|
30 |
|
|
|
|
|
213,654 |
|
|
|
5.4 |
% |
|
|
5.44 |
% |
|
|
47 |
|
|
Bank of Montreal |
|
|
206,351 |
|
|
|
5.2 |
% |
|
|
5.45 |
% |
|
|
13 |
|
|
|
|
|
206,193 |
|
|
|
5.2 |
% |
|
|
5.47 |
% |
|
|
61 |
|
|
|
|
|
200,100 |
|
|
|
5.0 |
% |
|
|
5.46 |
% |
|
|
45 |
|
|
|
|
|
197,910 |
|
|
|
5.0 |
% |
|
|
5.45 |
% |
|
|
24 |
|
|
|
|
|
189,441 |
|
|
|
4.8 |
% |
|
|
5.46 |
% |
|
|
20 |
|
|
Merrill Lynch, Pierce, Fenner & Smith |
|
|
185,916 |
|
|
|
4.7 |
% |
|
|
5.48 |
% |
|
|
14 |
|
|
|
|
|
165,971 |
|
|
|
4.2 |
% |
|
|
5.45 |
% |
|
|
24 |
|
|
|
|
|
159,516 |
|
|
|
4.0 |
% |
|
|
5.46 |
% |
|
|
46 |
|
|
|
|
|
150,734 |
|
|
|
3.8 |
% |
|
|
5.44 |
% |
|
|
20 |
|
|
|
|
|
150,292 |
|
|
|
3.8 |
% |
|
|
5.45 |
% |
|
|
48 |
|
|
|
|
|
149,939 |
|
|
|
3.8 |
% |
|
|
5.45 |
% |
|
|
37 |
|
|
|
|
|
124,310 |
|
|
|
3.1 |
% |
|
|
5.46 |
% |
|
|
13 |
|
|
|
|
|
16,896 |
|
|
|
0.4 |
% |
|
|
5.46 |
% |
|
|
13 |
|
|
Total Borrowings |
|
$ |
3,982,342 |
|
|
|
100.0 |
% |
|
|
5.46 |
% |
|
|
29 |
|
|
View source version on businesswire.com: https://www.businesswire.com/news/home/20240611851647/en/
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