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orc8k20210615
false 0001518621 0001518621 2021-07-14 2021-07-14
 
 
 
 
 
 
 
 
UNITED STATES
 
SECURITIES AND EXCHANGE COMMISSION
 
WASHINGTON,
 
DC 20549
 
 
FORM
8-K
 
 
CURRENT REPORT
 
Pursuant to Section 13 or 15(d) of the
 
Securities Exchange Act of 1934
 
 
Date of Report (Date of earliest event reported):
July 14, 2021
 
 
Orchid Island Capital, Inc.
 
(Exact Name of Registrant as Specified in Charter)
 
 
Maryland
001-35236
27-3269228
(State or Other Jurisdiction of
Incorporation)
(Commission File Number)
(IRS Employer Identification No.)
 
3305 Flamingo Drive
,
Vero Beach
,
Florida
32963
 
(Address of Principal Executive Offices) (Zip
 
Code)
 
 
Registrant’s telephone number,
 
including area code
(
772
)
231-1400
 
 
N/A
 
(Former Name or Former Address, if Changed Since Last
 
Report)
 
 
 
Check the appropriate box below if the Form 8-K filing is intended
 
to simultaneously satisfy the filing obligation of the
registrant under any of the following provisions:
☐
 
Written communications pursuant
 
to Rule 425 under the Securities Act (17 CFR 230.425)
☐
 
Soliciting material pursuant to Rule 14a-12 under the Exchange
 
Act (17 CFR 240.14a-12)
☐
 
Pre-commencement communications pursuant to Rule 14d-2(b)
 
under the Exchange Act (17 CFR 240.14d-2(b))
☐
 
Pre-commencement communications pursuant to Rule 13e
 
-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
 
Securities registered pursuant to Section 12(b) of the
 
Act:
 
Title of each class:
Trading symbol:
 
Name of each exchange on
 
which registered:
Common Stock, par value $0.01 per share
ORC
NYSE
 
Indicate by check mark whether the registrant is an emerging
 
growth company as defined in Rule 405 of the Securities Act of
1933 (§230.405 of this chapter) or Rule 12b-2 of the
 
Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
 
 
Emerging growth company
 
☐
 
 
If an emerging growth company,
 
indicate by check mark if the registrant has elected not to use the
 
extended transition period
for complying with any new or revised financial accounting
 
standards provided pursuant to Section 13(a) of the
 
Exchange
Act.
 
☐
 
 
 
 
 
Item 2. Results
 
of Operations and Financial Condition.
On July 14, 2021, Orchid Island Capital, Inc. (the “Company”) announced
 
its estimated book value of $4.71 as of June
30, 2021,
 
certain details of its RMBS portfolio as of June 30, 2021,
 
and estimated GAAP net loss per share of $0.17,
including an estimated $0.41 per share of net realized and
 
unrealized losses, for the quarter ended June 30, 2021. These
figures and the estimated net book value per share and
 
estimated GAAP net loss per share are preliminary,
 
subject to change,
and subject to review by the Company's independent
 
registered public accounting firm. A copy of the Company’s
 
press
release announcing the dividend and the other information
 
regarding the Company is attached hereto as Exhibit 99.1 and
incorporated herein by this reference.
 
 
 
Item 8.01.
 
Other Events.
 
 
On July 14, 2021,
 
the Company announced that
 
the Board of Directors
 
of the Company declared
 
a dividend for the
 
month of
July 2021 of $0.065 per share of Common
 
Stock to be paid on August 27, 2021 to holders of
 
record on July 30, 2021, with an
ex-dividend date of
 
July 29, 2021.
 
In addition, the
 
Company announced certain
 
details of its
 
RMBS portfolio as
 
of June 30,
2021 as well
 
as certain other
 
information regarding
 
the Company.
 
A copy of
 
the Company’s
 
press release announcing
 
the
dividend and the other
 
information regarding the Company
 
is attached hereto as
 
Exhibit 99.1 and incorporated
 
herein by this
reference.
 
Caution About Forward-Looking Statements.
 
 
This Current Report on Form 8-K contains forward
 
-looking statements within the meaning of the Private Securities Litigation
Reform Act
 
of 1995
 
and other
 
federal securities
 
laws, including,
 
but not
 
limited to,
 
statements about
 
the Company’s
distributions. These forward-looking statements are based upon
 
the Company’s present expectations, but the
 
Company cannot
assure investors that actu
 
al results will not
 
vary from the expectations
 
contained in the forward-looking
 
statements. 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,
 
2020.
 
All forward
 
-looking statements
 
speak only
 
as of
 
the date
 
on which
 
they are
 
made. New
 
risks and
uncertainties arise
 
over time, and
 
it is not
 
possible to predict
 
those events or
 
how they may
 
affect the
 
Company. Except
 
as
required by
 
law, the
 
Company is not
 
obligated to, and
 
does not intend
 
to, update or
 
revise any forward
 
-looking statements,
whether as a result of new information, future events or otherwise.
 
Item 9.01. Financial Statements and Exhibits.
 
(d)
 
Exhibits
 
Exhibit No.
Description
99.1
104
Cover Page Interactive Data File (embedded within the
 
Inline XBRL
document)
 
 
 
 
 
Signatures
 
 
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report
 
to be signed on
its behalf by the undersigned hereunto duly authorized.
 
Date: July 14, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 
 
 
 
 
 

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

ESTIMATED SECOND QUARTER 2021 RESULTS,

JULY 2021 MONTHLY DIVIDEND AND

JUNE 30, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

·         July 2021 Monthly Dividend of $0.065 Per Share of Common Stock

·         Estimated Book Value Per Share as of June 30, 2021 of $4.71

·         Estimated GAAP net loss of $0.17 per share for the quarter ended June 30, 2021, including an estimated $0.41 per share of net realized and unrealized losses on RMBS and derivative instruments

·         Estimated (0.7)% total return on equity for the quarter

·         Estimated book value, net loss and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm

·         RMBS Portfolio Characteristics as of June 30, 2021

·          Next Dividend Announcement Expected August 18, 2021

 

Vero Beach, Fla., July 14, 2021 - Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of July 2021. The dividend of $0.065 per share will be paid August 27, 2021 to holders of record of the Company’s common stock on July 30, 2021, with an ex-dividend date of July 29, 2021. The Company plans on announcing its next common stock dividend on August 18, 2021.

 

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 July 14, 2021, the Company had 120,000,013 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding. As of March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

 

Estimated June 30, 2021 Book Value Per Share

 

The Company’s estimated book value per share as of June 30, 2021 was $4.71.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2021, the Company's preliminary estimated total stockholders' equity was approximately $553.8 million with 117,500,013 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm. 

 

Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

 

The Company estimates it generated a net loss per share of $0.17, which includes $0.41 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended June 30, 2021.  These amounts compare to total dividends declared during the quarter of $0.195 per share.  Net loss per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income.  The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net loss. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned

over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm. 

 

Estimated Total Return on Equity

 

The Company’s estimated total return on equity for the quarter ended June 30, 2021 was (0.7)%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter.  The total return was $(0.035) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.23 from March 31, 2021.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of June 30, 2021 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended June 30, 2021, are subject to review by the Company’s independent registered public accounting firm.

  

·         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 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.

 

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. 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, 2020.

 

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jun 2021

Apr - Jun

 

Modeled

 

Modeled

 

 

 

 

 

 

 

 

Net

 

 

Weighted

CPR

2021 CPR

 

Interest

 

Interest

 

 

 

 

 

%

 

 

Weighted

 

 

Average

(1-Month)

(3-Month)

 

Rate

 

Rate

 

 

Current

 

Fair

of

 

Current

Average

 

 

Maturity

(Reported

(Reported

 

Sensitivity

 

Sensitivity

Type

 

Face

 

Value

Portfolio

 

Price

Coupon

GWAC

Age

(Months)

in Jul)

in Jul)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

231,274

$

244,657

5.24%

$

105.79

2.50%

2.87%

 6  

 170  

8.1%

5.3%

$

3,840

$

(4,584)

15yr 4.0

 

595

 

649

0.01%

 

109.07

4.00%

4.50%

 38  

 118  

8.8%

8.4%

 

7

 

(8)

15yr Total

 

231,869

 

245,306

5.25%

 

105.80

2.50%

2.88%

 7  

 170  

8.1%

5.3%

 

3,847

 

(4,592)

20yr 2.0

 

146,240

 

149,604

3.20%

 

102.30

2.00%

2.87%

 6  

 234  

7.3%

4.7%

 

2,182

 

(3,200)

20yr Total

 

146,240

 

149,604

3.20%

 

102.30

2.00%

2.87%

 6  

 234  

7.3%

4.7%

 

2,182

 

(3,200)

30yr 2.5

 

669,504

 

695,293

14.88%

 

103.85

2.50%

3.46%

 8  

 349  

14.1%

11.0%

 

11,282

 

(16,980)

30yr 3.0

 

2,546,031

 

2,723,790

58.31%

 

106.98

3.00%

3.49%

 6  

 353  

7.9%

8.1%

 

51,339

 

(69,082)

30yr 3.5

 

567,315

 

617,793

13.23%

 

108.90

3.50%

4.00%

 19  

 335  

22.2%

20.3%

 

9,792

 

(13,470)

30yr 4.0

 

49,002

 

54,286

1.16%

 

110.78

4.00%

4.63%

 61  

 294  

22.9%

22.7%

 

1,032

 

(1,134)

30yr 4.5

 

79,385

 

88,466

1.89%

 

111.44

4.50%

5.00%

 25  

 330  

27.9%

30.2%

 

1,088

 

(1,449)

30yr Total

 

3,911,237

 

4,179,628

89.48%

 

106.86

3.03%

3.60%

 9  

 348  

11.6%

11.5%

 

74,533

 

(102,115)

Total Pass Through RMBS

 

4,289,346

 

4,574,538

97.93%

 

106.65

2.97%

3.54%

 9  

 335  

11.3%

10.9%

 

80,562

 

(109,907)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

612,075

 

92,710

1.98%

 

15.15

3.63%

4.19%

 58  

 290  

26.7%

29.4%

 

(6,609)

 

5,507

Inverse Interest-Only Securities

 

55,822

 

3,991

0.09%

 

7.15

3.79%

4.40%

 46  

 307  

20.5%

32.9%

 

(222)

 

(165)

Total Structured RMBS

 

667,897

 

96,701

2.07%

 

14.48

3.64%

4.21%

 57  

 291  

26.2%

29.9%

 

(6,831)

 

5,342

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

4,957,243

$

4,671,239

100.00%

 

 

3.06%

3.63%

 15  

 329  

13.3%

12.9%

$

73,731

$

(104,565)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Eurodollar Futures

$

(50,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

$

(125)

$

125

Swaps

 

(1,355,000)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(35,506)

 

35,506

5-Year Treasury Future(2)

 

(269,000)

 

Sep-2021

 

 

 

 

 

 

 

 

 

 

(8,746)

 

8,277

10-Year Treasury Ultra(3)

 

(23,500)

 

Sep-2021

 

 

 

 

 

 

 

 

 

 

(2,343)

 

2,257

TBA

 

(400,000)

 

Jul-2021

 

 

 

 

 

 

 

 

 

 

(2,947)

 

6,032

Swaptions

 

(244,350)

 

May-2022

 

 

 

 

 

 

 

 

 

 

(6,762)

 

7,554

Yield Curve Spread Floor

 

(150,000)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

n/a

Hedge Total

$

(2,491,850)

 

 

 

 

 

 

 

 

 

 

 

$

(56,429)

$

59,751

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

17,302

$

(44,814)

 

 

(1)    Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR 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 $123.43 at June 30, 2021.  The market value of the short position was $332.0 million.

(3)    Ten-year Treasury Ultra futures contracts were valued at prices of $147.20 at June 30, 2021.  The market value of the short position was $34.6 million.

 

RMBS Assets by Agency

 

 

 

 

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

 

 

 

 

($ in thousands)

 

 

 

 

 

 

Percentage

 

 

 

 

Percentage

 

 

Fair

of

 

 

 

Fair

of

Asset Category

 

Value

Portfolio

 

Asset Category

 

Value

Portfolio

As of June 30, 2021

 

 

 

 

As of June 30, 2021

 

 

 

Fannie Mae

$

3,773,957

80.8%

 

Non-Whole Pool Assets

$

334,781

7.2%

Freddie Mac

 

897,282

19.2%

 

Whole Pool Assets

 

4,336,458

92.8%

Total Mortgage Assets

$

4,671,239

100.0%

 

Total Mortgage Assets

$

4,671,239

100.0%

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of June 30, 2021

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

393,954

 

8.7%

 

0.14%

34

9/14/2021

Wells Fargo Bank, N.A.

 

378,394

 

8.4%

 

0.12%

14

7/23/2021

Mitsubishi UFJ Securities (USA), Inc

 

355,357

 

7.9%

 

0.20%

20

7/28/2021

J.P. Morgan Securities LLC

 

345,476

 

7.7%

 

0.18%

62

9/7/2021

ASL Capital Markets Inc.

 

342,467

 

7.6%

 

0.11%

19

8/26/2021

RBC Capital Markets, LLC

 

295,929

 

6.6%

 

0.11%

33

8/12/2021

Cantor Fitzgerald & Co

 

276,727

 

6.1%

 

0.11%

35

9/13/2021

ABN AMRO Bank N.V.

 

222,136

 

4.9%

 

0.12%

23

8/11/2021

ED&F Man Capital Markets Inc.

 

204,081

 

4.5%

 

0.15%

24

8/19/2021

ING Financial Markets LLC

 

201,506

 

4.5%

 

0.12%

21

9/10/2021

Nomura Securities International, Inc.

 

201,196

 

4.5%

 

0.11%

27

8/17/2021

Citigroup Global Markets Inc.

 

197,170

 

4.4%

 

0.12%

12

7/12/2021

Barclays Capital Inc.

 

150,511

 

3.3%

 

0.12%

12

7/12/2021

Goldman, Sachs & Co.

 

147,558

 

3.3%

 

0.11%

42

9/27/2021

Merrill Lynch, Pierce, Fenner & Smith

 

141,275

 

3.1%

 

0.14%

14

7/14/2021

BMO Capital Markets Corp.

 

140,261

 

3.1%

 

0.12%

27

9/14/2021

Daiwa Securities America Inc.

 

121,577

 

2.7%

 

0.12%

39

8/13/2021

Santander Bank, N.A.

 

101,468

 

2.2%

 

0.13%

85

9/23/2021

Austin Atlantic Asset Management Co.

 

101,075

 

2.2%

 

0.14%

1

7/1/2021

South Street Securities, LLC

 

98,634

 

2.2%

 

0.14%

66

10/8/2021

Lucid Cash Fund USG LLC

 

51,605

 

1.1%

 

0.10%

15

7/15/2021

J.V.B. Financial Group, LLC

 

32,945

 

0.7%

 

0.11%

24

7/26/2021

Lucid Prime Fund, LLC

 

13,402

 

0.3%

 

0.23%

15

7/15/2021

Total Borrowings

$

4,514,704

 

100.0%

 

0.13%

29

10/8/2021

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400