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orc8k20211209
false 0001518621 0001518621 2021-12-09 2021-12-09
 
 
 
 
 
 
 
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):
December 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 December
 
9, 2021,
 
Orchid Island
 
Capital, Inc.
 
(the “Company”)
 
announced that
 
the Board
 
of Directors
 
of the
 
Company
declared a dividend
 
for the month
 
of December 2021
 
of $0.065 per
 
share of the
 
Company’s common stock to
 
be paid on
 
January
27, 2022 to
 
holders of record on
 
December 31, 2021, with
 
an ex-dividend date of
 
December 30, 2021. In
 
addition, the Company
announced certain
 
details of
 
its RMBS portfolio
 
as of
 
November 30,
 
2021 as
 
well as
 
certain other
 
information regarding
 
the
Company.
 
The Company
 
also announced
 
the Board’s
 
approval on
 
December 9,
 
2021 of
 
an increase
 
to its
 
previously
 
announced stock
repurchase program
 
(the "Repurchase
 
Program") for
 
up to an
 
additional 16,861,994
 
shares of the
 
Company's common
 
stock,
which results in
 
a total authorization
 
under the Repurchase
 
Program for up
 
to 17,699,305 shares,
 
representing approximately
10%
 
of
 
the
 
Company's
 
currently
 
outstanding
 
shares
 
of
 
common
 
stock.
 
As
 
part
 
of
 
the Repurchase
 
Program,
 
shares
 
may
 
be
purchased
 
in
 
open
 
market
 
transactions,
 
including
 
through
 
block
 
purchases,
 
through
 
privately
 
negotiated
 
transactions,
 
or
pursuant to any
 
trading plan that may
 
be adopted in accordance
 
with Rule 10b5-1
 
of the Securities Exchange
 
Act of 1934, as
amended (the "Exchange Act"). Open market repurchases will be
 
made in accordance with Exchange Act Rule 10b-18, which
sets certain restrictions on the method,
 
timing, price and volume of open
 
market stock repurchases. The timing,
 
manner, price
and amount of any repurchases
 
will be determined by the
 
Company in its discretion and
 
will be subject to
 
economic and market
conditions, stock
 
price, applicable
 
legal requirements
 
and other
 
factors. The
 
authorization does
 
not obligate
 
the Company
 
to
acquire
 
any
 
particular
 
amount
 
of
 
common
 
stock,
 
and
 
the
 
Repurchase
 
Program
 
may
 
be
 
suspended
 
or
 
discontinued
 
at
 
the
Company's discretion without prior notice. The Repurchase Program
 
has no termination date.
A copy of
 
the Company’s press release announcing the
 
dividend, the other information
 
regarding the Company and
 
the increase
in the size of the Repurchase Program 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 Repurchase Program. 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: December 9, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 

ORCHID ISLAND CAPITAL ANNOUNCES

DECEMBER 2021 MONTHLY DIVIDEND, NOVEMBER 30, 2021 RMBS PORTFOLIO CHARACTERISTICSAND INCREASE IN STOCK REPURCHASE PROGRAM

 

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

·         RMBS Portfolio Characteristics as of November 30, 2021

·         Next Dividend Announcement Expected January 13, 2022

 

Vero Beach, Fla., December 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 December 2021. The dividend of $0.065 per share will be paid January 27, 2021, to holders of record of the Company’s common stock on December 31, 2021, with an ex-dividend date of December 30, 2021. The Company plans on announcing its next common stock dividend on January 13, 2022.

 

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 December 9, 2021 and November 30, 2021, the Company had 176,993,049 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding.

 

Stock Repurchase Program

 

On July 29, 2015, the Board authorized the repurchase of up to 2,000,000 shares of the Company’s common stock. On February 8, 2018, the Board approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company's common stock. Coupled with the 783,757 shares remaining from the original 2,000,000 share authorization, the increased authorization brought the total authorization to 5,306,579 shares, representing 10% of the Company’s then outstanding share count. From the inception of the stock repurchase program through September 30, 2021, the Company repurchased a total of 5,685,511 shares at an aggregate cost of approximately $40.4 million, including commissions and fees, for a weighted average price of $7.10 per share. The remaining authorization under the repurchase program as of September 30, 2021, was 837,311 shares. Today, the Board approved an increase in the number of shares of the Company’s common stock available in the stock repurchase program for up to an additional 16,861,994 shares, bringing the remaining authorization under the stock repurchase program to 17,699,305 shares, representing approximately 10% of the Company’s currently outstanding shares of common stock.

 

As part of the stock repurchase program, shares may be purchased in open market transactions, block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at the Company’s discretion without prior notice.

 

RMBS Portfolio Characteristics

 

 

 

Details of the RMBS portfolio as of November 30, 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 stock repurchase program. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nov 2021

Sep - Nov

 

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 Dec)

in Dec)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

217,687

$

227,829

3.41%

$

104.66

2.50%

2.87%

 11  

 164  

13.3%

10.8%

$

3,545

$

(4,072)

15yr 4.0

 

435

 

465

0.01%

 

106.92

4.00%

4.54%

 43  

 137  

0.7%

63.9%

 

6

 

(7)

15yr Total

 

218,122

 

228,294

3.42%

 

104.66

2.50%

2.88%

 12  

 164  

13.3%

10.9%

 

3,551

 

(4,079)

30yr 2.5

 

1,091,766

 

1,123,047

16.81%

 

102.87

2.50%

3.32%

 7  

 352  

8.8%

10.7%

 

16,546

 

(24,654)

30yr 3.0

 

4,390,215

 

4,652,413

69.64%

 

105.97

3.00%

3.48%

 8  

 351  

9.1%

8.9%

 

78,699

 

(106,098)

30yr 3.5

 

336,241

 

364,865

5.46%

 

108.51

3.50%

4.01%

 20  

 334  

17.8%

21.7%

 

5,738

 

(7,236)

30yr 4.0

 

111,923

 

121,590

1.82%

 

108.64

4.00%

4.75%

 27  

 331  

16.3%

16.1%

 

1,209

 

(1,482)

30yr Total

 

5,930,145

 

6,261,915

93.73%

 

105.59

2.96%

3.50%

 9  

 350  

9.7%

10.1%

 

102,192

 

(139,470)

Total Pass Through RMBS

 

6,148,267

 

6,490,209

97.14%

 

105.56

2.94%

3.48%

 9  

 343  

9.8%

10.1%

 

105,743

 

(143,549)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

389,429

 

38,582

0.58%

 

9.91

3.00%

3.69%

 65  

 169  

27.9%

30.3%

 

(3,613)

 

2,591

IO 20yr 4.0

 

13,985

 

1,734

0.03%

 

12.40

4.00%

4.58%

 119  

 114  

20.1%

19.6%

 

(32)

 

20

IO 30yr 3.0

 

93,686

 

12,860

0.19%

 

13.73

3.00%

3.65%

 51  

 300  

14.2%

20.8%

 

(1,263)

 

963

IO 30yr 3.5

 

692,600

 

109,594

1.64%

 

15.82

3.47%

4.02%

 49  

 302  

22.8%

21.2%

 

(11,540)

 

9,007

IO 30yr 4.0

 

181,472

 

24,354

0.36%

 

13.42

4.00%

4.56%

 68  

 284  

27.6%

30.8%

 

(2,062)

 

1,995

IO 30yr 4.5

 

4,918

 

817

0.01%

 

16.62

4.50%

4.99%

 137  

 210  

21.0%

22.5%

 

(75)

 

63

IO 30yr 5.0

 

2,767

 

476

0.01%

 

17.20

5.00%

5.36%

 137  

 210  

40.2%

30.9%

 

(36)

 

34

IO Total

 

1,378,857

 

188,417

2.82%

 

13.66

3.39%

3.99%

 57  

 260  

24.3%

26.2%

 

(18,621)

 

14,673

IIO 30yr 4.0

 

46,019

 

2,414

0.04%

 

5.25

3.75%

4.41%

 50  

 301  

20.9%

23.1%

 

(141)

 

(75)

Total Structured RMBS

 

1,424,876

 

190,831

2.86%

 

13.39

3.40%

4.00%

 57  

 261  

24.2%

26.0%

 

(18,762)

 

14,598

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

7,573,143

$

6,681,040

100.00%

 

 

3.03%

3.58%

 18  

 328  

12.5%

12.9%

$

86,981

$

(128,951)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(369,000)

 

Mar-2022

 

 

 

 

 

 

 

 

 

 

(9,551)

 

12,646

5-Year Treasury Future(2)

 

(220,000)

 

Mar-2022

 

 

 

 

 

 

 

 

 

 

(22,411)

 

19,813

10-Year Treasury Ultra(3)

 

(1,355,000)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(35,363)

 

35,363

TBA

 

(575,000)

 

Dec-2020

 

 

 

 

 

 

 

 

 

 

(7,555)

 

11,005

Swaptions

 

(327,000)

 

Oct-2022

 

 

 

 

 

 

 

 

 

 

(6,298)

 

8,371

Hedge Total

$

(2,896,000)

 

 

 

 

 

 

 

 

 

 

 

$

(81,241)

$

87,261

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

5,740

$

(41,690)

 

 

 

(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 $121.40 at November 30, 2021.  The market value of the short position was $448.0 million.

(3)    Ten-year Treasury Ultra futures contracts were valued at prices of $146.89 at November 30, 2021.  The market value of the short position was $323.2 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 November 30, 2021

 

 

 

 

As of November 30, 2021

 

 

 

Fannie Mae

$

5,168,848

77.4%

 

Non-Whole Pool Assets

$

369,047

5.5%

Freddie Mac

 

1,512,192

22.6%

 

Whole Pool Assets

 

6,311,993

94.5%

Total Mortgage Assets

$

6,681,040

100.0%

 

Total Mortgage Assets

$

6,681,040

100.0%

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of November 30, 2021

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

446,278

 

6.9%

 

0.12%

74

2/11/2022

J.P. Morgan Securities LLC

 

432,913

 

6.7%

 

0.13%

47

1/10/2022

Mirae Asset Securities (USA) Inc.

 

427,550

 

6.7%

 

0.13%

114

9/14/2022

RBC Capital Markets, LLC

 

422,476

 

6.6%

 

0.12%

53

1/28/2022

ABN AMRO Bank N.V.

 

409,797

 

6.4%

 

0.12%

82

2/11/2022

Merrill Lynch, Pierce, Fenner & Smith

 

393,468

 

6.1%

 

0.15%

57

1/13/2022

Mitsubishi UFJ Securities (USA), Inc

 

389,774

 

6.1%

 

0.21%

94

12/13/2022

Cantor Fitzgerald & Co

 

371,321

 

5.8%

 

0.12%

71

2/14/2022

Citigroup Global Markets Inc

 

325,333

 

5.1%

 

0.12%

45

12/20/2021

Goldman, Sachs & Co.

 

323,728

 

5.0%

 

0.15%

65

1/19/2022

Santander Bank, N.A.

 

309,466

 

4.8%

 

0.11%

48

12/28/2021

ASL Capital Markets Inc.

 

307,006

 

4.8%

 

0.13%

58

1/18/2022

ED&F Man Capital Markets Inc

 

303,423

 

4.7%

 

0.11%

79

2/17/2022

Nomura Securities International, Inc.

 

291,136

 

4.5%

 

0.13%

99

2/22/2022

ING Financial Markets LLC

 

274,333

 

4.3%

 

0.13%

71

1/10/2022

Bank of Montreal

 

248,051

 

3.9%

 

0.15%

60

1/18/2022

Daiwa Capital Markets America Inc.

 

215,210

 

3.4%

 

0.11%

44

12/14/2021

South Street Securities, LLC

 

169,182

 

2.6%

 

0.12%

45

12/23/2021

Barclays Capital Inc

 

140,008

 

2.2%

 

0.11%

45

12/15/2021

Austin Atlantic Asset Management Co.

 

96,552

 

1.5%

 

0.14%

31

12/1/2021

Lucid Cash Fund USG, LLC

 

90,388

 

1.4%

 

0.17%

39

12/9/2021

StoneX Financial Inc.

 

27,869

 

0.4%

 

0.13%

79

1/18/2022

Mizuho Securities USA, Inc

 

3,589

 

0.1%

 

0.56%

73

1/12/2022

Total Borrowings

$

6,418,851

 

100.0%

 

0.13%

67

12/13/2022

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400