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orc8k20211012
false 0001518621 0001518621 2021-10-12 2021-10-12
 
 
 
 
 
 
 
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):
October 12, 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 2.02.
 
Results of Operations and Financial Condition
On October 12, 2021, Orchid Island Capital, Inc. (the “Company”)
 
announced its estimated book value of $4.77 per share as
of September 30, 2021, certain details of its RMBS portfolio as of September 30,
 
2021, and estimated GAAP net income per
share of $0.20, including an estimated $0.02 per share of net realized and unrealized
 
losses, for the quarter ended September
30, 2021.
 
These figures and the estimated book value per share and estimated GAAP net income
 
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 reference.
Item 8.01.
 
Other Events.
On October 12, 2021, the Company announced that
 
the Board of Directors of the Company declared
 
a dividend for the month
of October 2021
 
of $0.065 per
 
share of the
 
Company’s common
 
stock to be paid
 
on November 26,
 
2021 to holders
 
of record
on October 29, 2021, with an ex-dividend date of October
 
28, 2021. In addition, the Company announced certain details of its
RMBS
 
portfolio
 
as
 
of
 
September
 
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
 
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: October 12, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

ESTIMATED THIRD QUARTER 2021 RESULTS,

OCTOBER 2021 MONTHLY DIVIDEND AND

SEPTEMBER 30, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

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

·         Estimated Book Value Per Share as of September 30, 2021 of $4.77

·         Estimated GAAP net income of $0.20 per share for the quarter ended September 30, 2021, including an estimated $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments

·         Estimated 5.4% total return on equity for the quarter

·         Estimated book value, net income 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 September 30, 2021

·          Next Dividend Announcement Expected November 9, 2021

 

Vero Beach, Fla., October 12, 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 October 2021. The dividend of $0.065 per share will be paid November 26, 2021 to holders of record of the Company’s common stock on October 29, 2021, with an ex-dividend date of October 28, 2021. The Company plans on announcing its next common stock dividend on November 9, 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 October 12, 2021, the Company had 153,831,978 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.

 

Estimated September 30, 2021 Book Value Per Share

 

The Company’s estimated book value per share as of September 30, 2021 was $4.77.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2021, the Company's preliminary estimated total stockholders' equity was approximately $730.6 million with 153,318,351 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 Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

 

The Company estimates it generated net income per share of $0.20, which includes $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2021.  These amounts compare to total dividends declared during the quarter of $0.195 per share.  Net income 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 income. 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 September 30, 2021 was 5.4%. 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 $0.255 per share, comprised of dividends per share of $0.195 and an increase in book value per share of $0.06 from June 30, 2021.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of September 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 September 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 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sep 2021

Jul - Sep

 

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 Oct)

in Oct)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

223,524

$

235,988

4.21%

$

105.58

2.50%

2.87%

 9  

 166  

10.5%

8.3%

$

3,620

$

(4,307)

15yr 4.0

 

569

 

610

0.01%

 

107.25

4.00%

4.51%

 41  

 117  

10.0%

9.6%

 

6

 

(8)

15yr Total

 

224,093

 

236,598

4.22%

 

105.58

2.50%

2.88%

 10  

 166  

10.5%

8.3%

 

3,626

 

(4,315)

30yr 2.5

 

755,961

 

782,574

13.97%

 

103.52

2.50%

3.39%

 7  

 351  

9.2%

15.6%

 

10,688

 

(17,923)

30yr 3.0

 

3,685,738

 

3,955,954

70.63%

 

107.33

3.00%

3.48%

 7  

 352  

6.7%

7.6%

 

62,963

 

(92,337)

30yr 3.5

 

329,487

 

362,129

6.47%

 

109.91

3.50%

4.02%

 19  

 334  

22.0%

20.2%

 

5,210

 

(7,144)

30yr 4.0

 

81,269

 

89,089

1.59%

 

109.62

4.00%

4.72%

 36  

 321  

19.0%

28.5%

 

996

 

(1,220)

30yr 4.5

 

28,342

 

32,218

0.58%

 

113.68

4.50%

4.91%

 23  

 329  

18.4%

17.6%

 

509

 

(611)

30yr Total

 

4,880,797

 

5,221,964

93.23%

 

106.99

2.98%

3.53%

 8  

 350  

8.3%

9.9%

 

80,366

 

(119,235)

Total Pass Through RMBS

 

5,104,890

 

5,458,562

97.45%

 

106.93

2.96%

3.50%

 8  

 342  

8.4%

9.8%

 

83,992

 

(123,550)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

363,225

 

37,650

0.67%

 

10.37

3.00%

3.68%

 61  

 173  

31.2%

33.5%

 

(4,077)

 

2,526

IO 20yr 4.0

 

14,677

 

1,857

0.03%

 

12.65

4.00%

4.58%

 117  

 116  

22.5%

20.0%

 

(39)

 

21

IO 30yr 3.0

 

98,485

 

13,883

0.25%

 

14.10

3.00%

3.66%

 49  

 303  

24.8%

20.2%

 

(1,430)

 

992

IO 30yr 3.5

 

336,401

 

57,119

1.02%

 

16.98

3.50%

4.01%

 47  

 304  

20.7%

19.4%

 

(4,818)

 

3,301

IO 30yr 4.0

 

195,862

 

28,170

0.50%

 

14.38

4.00%

4.56%

 66  

 286  

32.6%

34.0%

 

(2,552)

 

2,292

IO 30yr 4.5

 

5,166

 

799

0.01%

 

15.47

4.50%

4.99%

 135  

 212  

24.2%

26.2%

 

(77)

 

59

IO 30yr 5.0

 

2,924

 

465

0.01%

 

15.90

5.00%

5.36%

 135  

 213  

25.7%

41.9%

 

(37)

 

32

IO Total

 

1,016,740

 

139,943

2.50%

 

13.76

3.39%

3.98%

 58  

 250  

27.2%

24.9%

 

(13,031)

 

9,224

IIO 30yr 4.0

 

49,645

 

2,783

0.05%

 

5.61

3.75%

4.41%

 48  

 304  

27.4%

28.0%

 

(285)

 

(96)

Total Structured RMBS

 

1,066,385

 

142,726

2.55%

 

13.38

3.40%

4.00%

 57  

 253  

27.2%

25.1%

 

(13,316)

 

9,128

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

6,171,275

$

5,601,288

100.00%

 

 

3.04%

3.59%

 17  

 326  

11.8%

12.4%

$

70,676

$

(114,422)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

(35,820)

 

35,820

5-Year Treasury Future(3)

 

(269,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

 

(9,532)

 

7,254

10-Year Treasury Ultra(4)

 

(23,500)

 

Dec-2021

 

 

 

 

 

 

 

 

 

 

(2,560)

 

1,837

Swaptions

 

(244,350)

 

May-2022

 

 

 

 

 

 

 

 

 

 

(7,654)

 

(7,654)

Yield Curve Spread Floor

 

(150,000)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

n/a

Hedge Total

$

(2,091,850)

 

 

 

 

 

 

 

 

 

 

 

$

(55,691)

$

37,382

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

14,985

$

(77,040)

 

(1)    Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 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 $122.74 at September 30, 2021.  The market value of the short position was $330.2 million.

(4)    Ten-year Treasury Ultra futures contracts were valued at prices of $145.25 at September 30, 2021.  The market value of the short position was $34.1 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 September 30, 2021

 

 

 

 

As of September 30, 2021

 

 

 

Fannie Mae

$

4,314,966

77.0%

 

Non-Whole Pool Assets

$

325,421

5.8%

Freddie Mac

 

1,286,322

23.0%

 

Whole Pool Assets

 

5,275,867

94.2%

Total Mortgage Assets

$

5,601,288

100.0%

 

Total Mortgage Assets

$

5,601,288

100.0%

 

(1)    Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 2021.

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of September 30, 2021

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

ABN AMRO Bank N.V.

$

421,280

 

8.3%

 

0.12%

30

11/12/2021

Mirae Asset Securities (USA) Inc.

 

396,039

 

7.6%

 

0.12%

74

9/14/2022

Wells Fargo Bank, N.A.

 

357,656

 

6.9%

 

0.11%

14

10/22/2021

RBC Capital Markets, LLC

 

356,691

 

6.8%

 

0.12%

31

11/10/2021

J.P. Morgan Securities LLC

 

334,245

 

6.4%

 

0.12%

41

11/22/2021

Goldman, Sachs & Co.

 

323,521

 

6.2%

 

0.12%

40

12/27/2021

ASL Capital Markets Inc.

 

321,542

 

6.2%

 

0.12%

15

10/19/2021

Cantor Fitzgerald & Co

 

268,272

 

5.1%

 

0.12%

24

11/15/2021

Citigroup Global Markets Inc

 

263,278

 

5.0%

 

0.11%

13

10/14/2021

Mitsubishi UFJ Securities (USA), Inc

 

259,581

 

5.0%

 

0.24%

23

11/29/2021

Santander Bank, N.A.

 

210,831

 

4.0%

 

0.11%

29

11/15/2021

ED&F Man Capital Markets Inc

 

199,744

 

3.8%

 

0.12%

32

12/8/2021

ING Financial Markets LLC

 

199,544

 

3.8%

 

0.12%

37

11/10/2021

Nomura Securities International, Inc.

 

199,411

 

3.8%

 

0.11%

41

11/22/2021

South Street Securities, LLC

 

173,977

 

3.3%

 

0.12%

42

11/23/2021

BMO Capital Markets Corp.

 

169,909

 

3.3%

 

0.13%

14

10/22/2021

Daiwa Securities America Inc.

 

167,813

 

3.2%

 

0.11%

16

11/8/2021

Barclays Capital Inc

 

145,516

 

2.8%

 

0.11%

13

10/13/2021

Merrill Lynch, Pierce, Fenner & Smith

 

141,192

 

2.7%

 

0.17%

15

10/29/2021

Austin Atlantic Asset Management Co.

 

99,395

 

1.9%

 

0.14%

7

10/7/2021

Lucid Price Fund, LLC

 

85,283

 

1.6%

 

0.18%

14

10/14/2021

Lucid Cash Fund USG, LLC

 

60,503

 

1.2%

 

0.12%

14

10/14/2021

J.V.B. Financial Group, LLC

 

58,647

 

1.1%

 

0.12%

22

10/25/2021

Total Borrowings

$

5,213,869

 

100.0%

 

0.13%

30

9/14/2022

 

(1)    In September 2021, the Company purchased assets with a fair value of approximately $180.8 million, which settle in October 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