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orc8k20211012
false 0001518621 0001518621 2021-11-09 2021-11-09
 
 
 
 
 
 
 
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):
November 9, 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 November
 
9, 2021,
 
Orchid Island
 
Capital, Inc.
 
(the “Company”)
 
announced that
 
the Board
 
of Directors
 
of the
 
Company
declared
 
a
 
dividend
 
for
 
the
 
month
 
of
 
November
 
2021
 
of
 
$0.065
 
per
 
share
 
of
 
the
 
Company’s
 
common
 
stock
 
to
 
be
 
paid
 
on
December 29, 2021 to holders of record
 
on November 30, 2021, with an
 
ex-dividend date of November 29, 2021.
 
In addition,
the
 
Company
 
announced
 
certain
 
details
 
of
 
its RMBS
 
portfolio
 
as of
 
October
 
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. 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: November 9, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 

 

ORCHID ISLAND CAPITAL ANNOUNCES

NOVEMBER 2021 MONTHLY DIVIDEND AND

OCTOBER 31, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

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

·         RMBS Portfolio Characteristics as of October 31, 2021

·         Next Dividend Announcement Expected December 9, 2021

 

Vero Beach, Fla., November 9, 2021 - Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company (the “Board”) declared a monthly cash dividend for the month of November 2021. The dividend of $0.065 per share will be paid December 29, 2021, to holders of record of the Company’s common stock on November 30, 2021, with an ex-dividend date of November 29, 2021.  The Company plans on announcing its next common stock dividend on December 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 November 9, 2021, the Company had 169,162,849 shares of common stock outstanding. As of October 31, 2021, the Company had 161,157,349 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of October 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. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Oct 2021

Aug - Oct

 

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 Nov)

in Nov)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

220,381

$

231,511

3.70%

$

105.05

2.50%

2.87%

 10  

 165  

8.4%

8.2%

$

3,638

$

(4,204)

15yr 4.0

 

560

 

601

0.01%

 

107.22

4.00%

4.51%

 42  

 116  

94.7%

65.1%

 

7

 

(9)

15yr Total

 

220,941

 

232,112

3.71%

 

105.06

2.50%

2.88%

 11  

 165  

8.6%

8.4%

 

3,645

 

(4,213)

30yr 2.5

 

1,099,648

 

1,131,713

18.07%

 

102.92

2.50%

3.32%

 6  

 353  

6.3%

10.0%

 

17,903

 

(26,303)

30yr 3.0

 

4,058,659

 

4,317,668

68.94%

 

106.38

3.00%

3.47%

 7  

 351  

8.5%

8.3%

 

74,245

 

(100,993)

30yr 3.5

 

322,110

 

350,689

5.60%

 

108.87

3.50%

4.01%

 20  

 333  

22.5%

21.5%

 

5,248

 

(6,833)

30yr 4.0

 

79,496

 

87,231

1.39%

 

109.73

4.00%

4.72%

 36  

 321  

8.8%

25.2%

 

969

 

(1,155)

30yr Total

 

5,559,913

 

5,887,301

94.00%

 

105.89

2.94%

3.49%

 8  

 350  

8.9%

9.8%

 

98,365

 

(135,284)

Total Pass Through RMBS

 

5,780,854

 

6,119,413

97.71%

 

105.86

2.93%

3.47%

 8  

 343  

8.9%

9.7%

 

102,010

 

(139,497)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

403,730

 

42,491

0.68%

 

10.52

3.00%

3.69%

 64  

 170  

31.5%

32.2%

 

(4,150)

 

2,829

IO 20yr 4.0

 

14,297

 

1,789

0.03%

 

12.51

4.00%

4.58%

 118  

 114  

16.1%

19.5%

 

(34)

 

20

IO 30yr 3.0

 

95,960

 

13,536

0.22%

 

14.11

3.00%

3.65%

 50  

 302  

22.4%

21.9%

 

(1,347)

 

1,002

IO 30yr 3.5

 

329,337

 

56,290

0.90%

 

17.09

3.50%

4.01%

 48  

 303  

21.6%

20.1%

 

(4,670)

 

3,477

IO 30yr 4.0

 

188,371

 

25,426

0.41%

 

13.50

4.00%

4.56%

 67  

 286  

31.7%

32.1%

 

(2,221)

 

2,113

IO 30yr 4.5

 

5,040

 

846

0.01%

 

16.79

4.50%

4.99%

 136  

 211  

22.3%

24.5%

 

(79)

 

65

IO 30yr 5.0

 

2,844

 

495

0.01%

 

17.39

5.00%

5.36%

 136  

 212  

25.7%

33.2%

 

(38)

 

35

IO Total

 

1,039,579

 

140,873

2.25%

 

13.55

3.37%

3.97%

 59  

 245  

27.3%

25.8%

 

(12,539)

 

9,541

IIO 30yr 4.0

 

47,560

 

2,577

0.04%

 

5.42

3.75%

4.41%

 49  

 303  

20.9%

30.3%

 

(169)

 

(80)

Total Structured RMBS

 

1,087,139

 

143,450

2.29%

 

13.20

3.38%

3.99%

 59  

 247  

27.0%

26.0%

 

(12,708)

 

9,461

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

6,867,993

$

6,262,863

100.00%

 

 

3.00%

3.55%

 16  

 328  

11.8%

12.4%

$

89,302

$

(130,036)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

$

(63)

$

63

Swaps

 

(1,355,000)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(35,623)

 

35,623

5-Year Treasury Future(2)

 

(269,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

 

(10,605)

 

5,954

10-Year Treasury Ultra(3)

 

(175,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

 

(20,512)

 

12,119

TBA

 

(400,000)

 

Nov-2021

 

 

 

 

 

 

 

 

 

 

(4,933)

 

7,517

Swaptions

 

(327,000)

 

Oct-2022

 

 

 

 

 

 

 

 

 

 

(8,155)

 

10,081

Yield Curve Spread Floor

 

(150,000)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

n/a

Hedge Total

$

(2,726,000)

 

 

 

 

 

 

 

 

 

 

 

$

(79,891)

$

71,357

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

9,411

$

(58,679)

 

 

 

(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 $121.75 at October 31, 2021.  The market value of the short position was $327.5 million.

(3)    Ten-year Treasury Ultra futures contracts were valued at prices of $145.03 at October 31, 2021.  The market value of the short position was $253.8 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

Portfolio

 

Asset Category

 

Value

Portfolio

As of October 31, 2021

 

 

 

 

As of October 31, 2021

 

 

 

Fannie Mae

$

4,775,588

76.3%

 

Non-Whole Pool Assets

$

317,823

5.1%

Freddie Mac

 

1,487,275

23.7%

 

Whole Pool Assets

 

5,945,040

94.9%

Total Mortgage Assets

$

6,262,863

100.0%

 

Total Mortgage Assets

$

6,262,863

100.0%

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of October 31, 2021

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

449,068

 

7.5%

 

0.11%

29

12/21/2021

Mirae Asset Securities (USA) Inc.

 

440,198

 

7.3%

 

0.12%

49

9/14/2022

RBC Capital Markets, LLC

 

426,995

 

7.1%

 

0.11%

25

1/20/2022

ABN AMRO Bank N.V.

 

417,607

 

6.9%

 

0.12%

32

1/12/2022

Mitsubishi UFJ Securities (USA), Inc

 

384,618

 

6.4%

 

0.20%

75

3/31/2022

J.P. Morgan Securities LLC

 

358,401

 

5.9%

 

0.12%

11

11/24/2021

Citigroup Global Markets Inc

 

330,172

 

5.5%

 

0.11%

14

11/18/2021

Goldman, Sachs & Co.

 

321,805

 

5.3%

 

0.13%

25

12/27/2021

Cantor Fitzgerald & Co

 

314,581

 

5.2%

 

0.12%

48

1/24/2022

Santander Bank, N.A.

 

310,800

 

5.1%

 

0.11%

43

12/28/2021

ASL Capital Markets Inc.

 

309,300

 

5.1%

 

0.11%

15

11/19/2021

ED&F Man Capital Markets Inc

 

305,705

 

5.1%

 

0.11%

66

1/24/2022

Nomura Securities International, Inc.

 

298,406

 

4.9%

 

0.11%

22

12/13/2021

ING Financial Markets LLC

 

280,692

 

4.7%

 

0.12%

11

11/12/2021

Daiwa Capital Markets America Inc.

 

216,544

 

3.6%

 

0.11%

42

12/14/2021

Bank of Montreal

 

216,309

 

3.6%

 

0.12%

28

12/14/2021

South Street Securities, LLC

 

172,739

 

2.9%

 

0.12%

15

11/23/2021

Barclays Capital Inc

 

145,391

 

2.4%

 

0.11%

15

11/15/2021

Merrill Lynch, Pierce, Fenner & Smith

 

134,945

 

2.2%

 

0.15%

42

12/13/2021

Austin Atlantic Asset Management Co.

 

98,059

 

1.6%

 

0.14%

4

11/4/2021

Lucid Cash Fund USG, LLC

 

73,170

 

1.2%

 

0.11%

10

11/10/2021

Lucid Price Fund, LLC

 

19,101

 

0.3%

 

0.38%

10

11/10/2021

J.V.B. Financial Group, LLC

 

10,383

 

0.2%

 

0.12%

38

12/8/2021

Total Borrowings

$

6,034,989

 

100.0%

 

0.12%

32

9/14/2022

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400