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orc8k20210818
false 0001518621 0001518621 2021-09-16 2021-09-16
 
 
 
 
 
 
 
 
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):
September 16, 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 8.01.
 
Other Events.
 
 
On September 16, 2021,
 
Orchid Island Capital, Inc. (the
 
“Company”) announced that the
 
Board of Directors of
 
the Company
declared a
 
dividend for
 
the month
 
of September
 
2021 of
 
$0.065 per
 
share of
 
the Company’s
 
common stock
 
to be
 
paid on
October 27, 2021
 
to holders of
 
record on September
 
30, 2021, with
 
an ex-dividend date
 
of September 29,
 
2021. In addition,
the Company
 
announced certain
 
details of
 
its RMBS
 
portfolio as
 
of August
 
31, 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 and
 
expected funding
 
of purchased
 
assets. These
 
forward-looking statements
 
are based
 
upon the
 
Company’s
present expectations, but the Company cannot assure investors that actual 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: September 16, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 
 
 
 
 
 

ORCHID ISLAND CAPITAL ANNOUNCES

SEPTEMBER 2021 MONTHLY DIVIDEND AND

AUGUST 31, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

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

·         RMBS Portfolio Characteristics as of August 31, 2021

·         Next Dividend Announcement Expected October 12, 2021

 

Vero Beach, Fla., September 16, 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 September 2021. The dividend of $0.065 per share will be paid October 27, 2021, to holders of record of the Company’s common stock on September 30, 2021, with an ex-dividend date of September 29, 2021.  The Company plans on announcing its next common stock dividend on October 12, 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 September 16, 2021, the Company had 138,055,140 shares of common stock outstanding. As of August 31, 2021, the Company had 129,280,140 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of August 31, 2021 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:

  

·         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 and expected funding of purchased assets. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aug 2021

Jun - Aug

 

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(1)

Portfolio

 

Price

Coupon

GWAC

Age

(Months)

in Sep)

in Sep)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

225,732

$

238,943

4.55%

$

105.85

2.50%

2.87%

 8  

 167  

5.8%

7.5%

$

3,342

$

(4,109)

15yr 4.0

 

578

 

621

0.01%

 

107.38

4.00%

4.51%

 40  

 117  

9.7%

9.2%

 

6

 

(7)

15yr Total

 

226,310

 

239,564

4.56%

 

105.86

2.50%

2.88%

 9  

 167  

5.8%

7.5%

 

3,348

 

(4,116)

20yr 2.0

 

150,000

 

154,236

2.94%

 

102.82

2.00%

2.86%

 -    

 239  

n/a

n/a

 

2,295

 

(3,197)

20yr Total

 

150,000

 

154,236

2.94%

 

102.82

2.00%

2.86%

 -    

 239  

n/a

n/a

 

2,295

 

(3,197)

30yr 2.5

 

628,233

 

654,656

12.46%

 

104.21

2.50%

3.40%

 7  

 350  

12.1%

14.9%

 

6,577

 

(12,877)

30yr 3.0

 

3,360,545

 

3,618,576

68.88%

 

107.68

3.00%

3.48%

 6  

 352  

7.5%

7.7%

 

46,504

 

(74,854)

30yr 3.5

 

326,189

 

359,127

6.84%

 

110.10

3.50%

4.01%

 19  

 334  

19.8%

19.6%

 

4,351

 

(6,198)

30yr 4.0

 

46,457

 

51,781

0.99%

 

111.46

4.00%

4.63%

 62  

 292  

23.7%

24.6%

 

841

 

(938)

30yr 4.5

 

49,944

 

56,292

1.07%

 

112.71

4.50%

4.97%

 26  

 328  

18.3%

23.7%

 

448

 

(720)

30yr Total

 

4,411,368

 

4,740,432

90.24%

 

107.46

2.99%

3.54%

 8  

 350  

9.4%

10.2%

 

58,721

 

(95,587)

Total Pass Through RMBS

 

4,787,678

 

5,134,232

97.73%

 

107.24

2.94%

3.49%

 8  

 338  

9.2%

10.0%

 

64,364

 

(102,900)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

190,169

 

17,486

0.33%

 

9.20

3.00%

3.68%

 58  

 177  

33.5%

n/a

 

(2,341)

 

1,732

IO 20yr 4.0

 

15,043

 

1,881

0.04%

 

12.50

4.00%

4.58%

 116  

 117  

19.7%

20.4%

 

(47)

 

31

IO 30yr 3.0

 

100,294

 

13,598

0.26%

 

13.56

3.00%

3.66%

 48  

 304  

17.5%

18.9%

 

(1,738)

 

1,323

IO 30yr 3.5

 

342,576

 

56,272

1.07%

 

16.43

3.50%

4.01%

 46  

 305  

17.6%

20.5%

 

(5,907)

 

4,469

IO 30yr 4.0

 

203,357

 

25,530

0.49%

 

12.55

4.00%

4.56%

 65  

 287  

31.4%

34.9%

 

(2,487)

 

2,547

IO 30yr 4.5

 

5,313

 

846

0.02%

 

15.92

4.50%

4.99%

 134  

 213  

27.0%

26.3%

 

(92)

 

81

IO 30yr 5.0

 

3,087

 

506

0.01%

 

16.39

5.00%

5.37%

 134  

 214  

46.1%

38.8%

 

(41)

 

41

IO Total

 

859,839

 

116,119

2.21%

 

13.50

3.47%

4.05%

 55  

 268  

24.6%

25.4%

 

(12,653)

 

10,224

IIO 30yr 4.0

 

53,077

 

3,043

0.06%

 

5.73

3.75%

4.40%

 48  

 304  

41.0%

25.8%

 

(459)

 

31

Total Structured RMBS

 

912,916

 

119,162

2.27%

 

13.05

3.49%

4.07%

 55  

 270  

25.6%

25.5%

 

(13,112)

 

10,255

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

5,700,594

$

5,253,394

100.00%

 

 

3.03%

3.58%

 15  

 327  

12.0%

12.4%

$

51,252

$

(92,645)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Eurodollar Futures

$

(50,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

$

(125)

$

125

Swaps

 

(1,355,000)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(37,214)

 

37,214

5-Year Treasury Future(3)

 

(269,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

 

(8,500)

 

8,490

10-Year Treasury Ultra(4)

 

(23,500)

 

Dec-2021

 

 

 

 

 

 

 

 

 

 

(2,415)

 

2,136

Swaptions

 

(244,350)

 

May-2022

 

 

 

 

 

 

 

 

 

 

(7,190)

 

9,047

Yield Curve Spread Floor

 

(150,000)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

n/a

Hedge Total

$

(2,091,850)

 

 

 

 

 

 

 

 

 

 

 

$

(55,444)

$

57,012

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(4,192)

$

(35,633)

 

 

 

(1)    Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.

(2)    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.

(3)    Five-year Treasury futures contracts were valued at prices of $123.72 at August 31, 2021.  The market value of the short position was $332.8 million.

(4)    Ten-year Treasury Ultra futures contracts were valued at prices of $148.02 at August 31, 2021.  The market value of the short position was $34.8 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(1)

Portfolio

 

Asset Category

 

Value(1)

Portfolio

As of August 31, 2021

 

 

 

 

As of August 31, 2021

 

 

 

Fannie Mae

$

4,202,486

80.0%

 

Non-Whole Pool Assets

$

359,155

6.8%

Freddie Mac

 

1,050,908

20.0%

 

Whole Pool Assets

 

4,894,239

93.2%

Total Mortgage Assets

$

5,253,394

100.0%

 

Total Mortgage Assets

$

5,253,394

100.0%

 

(1)    Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of August 31, 2021

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

ABN AMRO Bank N.V.

$

421,280

 

9.1%

 

0.12%

60

11/12/2021

Mirae Asset Securities (USA) Inc.

 

369,891

 

7.8%

 

0.12%

60

11/15/2021

Wells Fargo Bank, N.A.

 

356,357

 

7.6%

 

0.12%

36

10/22/2021

J.P. Morgan Securities LLC

 

342,010

 

7.3%

 

0.17%

18

11/22/2021

ASL Capital Markets Inc.

 

321,928

 

6.8%

 

0.12%

44

10/19/2021

RBC Capital Markets, LLC

 

296,331

 

6.3%

 

0.12%

64

11/10/2021

Cantor Fitzgerald & Co.

 

271,407

 

5.8%

 

0.12%

32

10/25/2021

Goldman Sachs & Co.

 

254,010

 

5.4%

 

0.13%

59

11/30/2021

Mitsubishi UFJ Securities (USA), Inc.

 

216,404

 

4.6%

 

0.27%

36

10/12/2021

ING Financial Markets LLC

 

203,609

 

4.3%

 

0.12%

15

10/12/2021

ED&F Man Capital Markets Inc.

 

199,989

 

4.2%

 

0.12%

51

11/19/2021

Nomura Securities International, Inc.

 

199,411

 

4.2%

 

0.11%

71

11/22/2021

Citigroup Global Markets Inc.

 

186,516

 

4.0%

 

0.12%

42

10/12/2021

Santander Bank, N.A.

 

157,774

 

3.3%

 

0.13%

30

10/14/2021

Barclays Capital Inc.

 

146,858

 

3.1%

 

0.12%

13

9/13/2021

BMO Capital Markets Corp.

 

138,151

 

2.9%

 

0.11%

39

10/22/2021

Merrill Lynch, Pierce, Fenner & Smith

 

133,749

 

2.8%

 

0.14%

43

10/14/2021

South Street Securities, LLC

 

124,623

 

2.6%

 

0.14%

57

11/23/2021

Daiwa Securities America Inc.

 

118,737

 

2.5%

 

0.11%

12

9/13/2021

Austin Atlantic Asset Management Co.

 

100,586

 

2.1%

 

0.14%

2

9/2/2021

Lucid Prime Fund, LLC

 

70,247

 

1.5%

 

0.19%

9

9/9/2021

Lucid Cash Fund USG, LLC

 

51,238

 

1.1%

 

0.12%

9

9/9/2021

J.V.B. Financial Group, LLC

 

32,897

 

0.7%

 

0.12%

53

10/25/2021

Total Borrowings

$

4,714,003

 

100.0%

 

0.13%

42

11/30/2021

 

(1)    In August 2021, the Company purchased assets with a fair value of approximately $317.3 million, which settle in September 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400