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orc8k20211209
false 0001518621 0001518621 2022-01-13 2022-01-13
 
 
 
 
 
 
 
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):
January 13, 2022
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 January 13,
 
2022, Orchid Island
 
Capital, Inc. (the
 
“Company”) announced
 
its estimated book
 
value of $4.34
 
per share as
of December 31, 2021, certain details of its RMBS portfolio as of December 31, 2021, and estimated GAAP net loss per share
of $0.27, including an
 
estimated $0.49 per share
 
of net realized and
 
unrealized losses, for the
 
quarter ended December 31,
 
2021.
These figures and the
 
estimated 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.
 
Item 8.01.
 
Other Events.
On January 13, 2022, the
 
Company announced that the Board of
 
Directors of the Company declared
 
a dividend for the month
of January 2022 of $0.055 per share of the Company’s
 
common stock to be paid on February 24, 2022 to holders
 
of record on
January 31,
 
2022, with
 
an ex-dividend
 
date of
 
January 28,
 
2022.
 
In addition,
 
the Company
 
announced certain
 
details of
 
its
RMBS
 
portfolio
 
as
 
of
 
December
 
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 the
 
effect of
 
actual or
 
proposed actions
 
of the
 
Federal Reserve
 
and the
 
Federal Open
 
Market Committee
 
with respect
 
to
monetary policy or interest rates, timing with respect thereto, and the related impact of those actual
 
or proposed actions on the
Company.
 
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: January 13, 2022
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 

 

ORCHID ISLAND CAPITAL ANNOUNCES

ESTIMATED FOURTH QUARTER 2021 RESULTS,

JANUARY 2022 MONTHLY DIVIDEND AND

DECEMBER 31, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

·         January 2022 Monthly Dividend of $0.055 Per Share of Common Stock

·         Estimated Book Value Per Share as of December 31, 2021 of $4.34

·         Estimated GAAP net loss of $0.27 per share for the quarter ended December 31, 2021, including an estimated $0.49 per share of net realized and unrealized losses on RMBS and derivative instruments

·         Estimated (4.9)% 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 December 31, 2021

·          Next Dividend Announcement Expected February 16, 2022

 

Vero Beach, Fla., January 13, 2022 - 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 January 2022. The dividend of $0.055 per share will be paid February 24, 2022 to holders of record of the Company’s common stock on January 31, 2022, with an ex-dividend date of January 28, 2022. The Company plans on announcing its next common stock dividend on February 16, 2022.

 

The Company has elected to reduce the monthly cash dividend in light of the rapid compression of the Company’s net interest margin that has occurred over the course of the fourth quarter. Additionally, recent comments from members of the Federal Open Market Committee indicate that the Federal Reserve may take actions to remove the substantial monetary policy accommodation that has been in place since the onset of the COVID-19 pandemic over the very near term. The Company’s net interest margin has also been impacted by the persistence of longer-term rates remaining at or below levels observed earlier in 2021. As a result prepayment rates on the Company’s pass-through and interest-only securities remain elevated.

 

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 January 13, 2022 and December 31, 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.

 

Estimated December 31, 2021 Book Value Per Share

 

The Company’s estimated book value per share as of December 31, 2021 was $4.34.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2021, the Company's preliminary estimated total stockholders' equity was approximately $768.1 million with 176,993,049 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 $0.27, which includes $0.49 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended December 31, 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 December 31, 2021 was (4.9)%. 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 $(0.235) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.43 from September 30, 2021.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of December 31, 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 December 31, 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 the effect of actual or proposed actions of the Federal Reserve and the Federal Open Market Committee with respect to monetary policy or interest rates, timing with respect thereto, and the related impact of those actual or proposed actions on the Company. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dec 2021

Oct - Dec

 

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 Jan)

in Jan)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

214,031

$

223,724

3.44%

$

104.53

2.50%

2.87%

 12  

 163  

7.9%

9.9%

$

3,536

$

(4,053)

15yr 4.0

 

433

 

461

0.01%

 

106.67

4.00%

4.54%

 44  

 136  

0.7%

62.7%

 

6

 

(7)

15yr Total

 

214,464

 

224,185

3.44%

 

104.53

2.50%

2.88%

 13  

 163  

7.8%

10.0%

 

3,542

 

(4,060)

30yr 2.5

 

1,055,207

 

1,079,884

16.59%

 

102.34

2.50%

3.30%

 6  

 353  

2.8%

5.7%

 

17,623

 

(25,647)

30yr 3.0

 

4,347,161

 

4,600,632

70.66%

 

105.83

3.00%

3.48%

 9  

 350  

7.8%

8.8%

 

81,570

 

(108,919)

30yr 3.5

 

251,296

 

274,480

4.22%

 

109.23

3.50%

4.04%

 22  

 331  

20.2%

21.4%

 

4,704

 

(5,769)

30yr 4.0

 

110,070

 

119,006

1.83%

 

108.12

4.00%

4.75%

 27  

 331  

19.1%

17.6%

 

1,162

 

(1,474)

30yr Total

 

5,763,734

 

6,074,002

93.29%

 

105.38

2.95%

3.50%

 9  

 349  

7.7%

8.9%

 

105,059

 

(141,809)

Total Pass Through RMBS

 

5,978,198

 

6,298,187

96.73%

 

105.35

2.93%

3.47%

 9  

 342  

7.7%

9.0%

 

108,601

 

(145,869)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

377,211

 

39,506

0.61%

 

10.47

3.00%

3.69%

 66  

 168  

24.4%

28.0%

 

(3,555)

 

2,517

IO 20yr 4.0

 

13,647

 

1,663

0.03%

 

12.18

4.00%

4.57%

 120  

 113  

19.1%

18.5%

 

(29)

 

18

IO 30yr 3.0

 

92,301

 

12,971

0.20%

 

14.05

3.00%

3.65%

 52  

 299  

14.8%

17.5%

 

(1,241)

 

915

IO 30yr 3.5

 

801,314

 

130,095

2.00%

 

16.24

3.48%

4.00%

 50  

 301  

20.3%

20.2%

 

(13,333)

 

10,094

IO 30yr 4.0

 

175,555

 

24,971

0.38%

 

14.22

4.00%

4.56%

 69  

 284  

27.9%

29.2%

 

(2,227)

 

2,226

IO 30yr 4.5

 

4,811

 

768

0.01%

 

15.97

4.50%

4.99%

 138  

 209  

28.7%

24.1%

 

(68)

 

58

IO 30yr 5.0

 

2,643

 

410

0.01%

 

15.51

5.00%

5.36%

 138  

 209  

22.0%

29.7%

 

(29)

 

27

IO Total

 

1,467,482

 

210,384

3.23%

 

14.34

3.40%

3.98%

 57  

 263  

21.9%

24.6%

 

(20,482)

 

15,855

IIO 30yr 4.0

 

44,505

 

2,524

0.04%

 

5.67

3.75%

4.41%

 51  

 300  

32.3%

24.9%

 

(142)

 

(97)

Total Structured RMBS

 

1,511,987

 

212,908

3.27%

 

14.08

3.41%

3.99%

 57  

 264  

22.3%

24.6%

 

(20,624)

 

15,758

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

7,490,185

$

6,511,095

100.00%

 

 

3.03%

3.58%

 19  

 326  

10.6%

11.4%

$

87,977

$

(130,111)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

5-Year Treasury Future(2)

$

(369,000)

 

Mar-2022

 

 

 

 

 

 

 

 

 

$

(8,602)

$

13,379

10-Year Treasury Ultra(3)

 

(220,000)

 

Mar-2022

 

 

 

 

 

 

 

 

 

 

(15,908)

 

25,428

Swaps

 

(1,355,000)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(34,700)

 

34,700

TBA

 

(575,000)

 

Jan-2022

 

 

 

 

 

 

 

 

 

 

(7,842)

 

11,454

Swaptions

 

(327,000)

 

Oct-2022

 

 

 

 

 

 

 

 

 

 

(8,686)

 

14,124

Hedge Total

$

(2,846,000)

 

 

 

 

 

 

 

 

 

 

 

$

(75,738)

$

99,085

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

12,239

$

(31,026)

 

(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 $120.98 at December 31, 2021.  The market value of the short position was $446.4 million.

(3)    Ten-year Treasury Ultra futures contracts were valued at prices of $146.44 at December 31, 2021.  The market value of the short position was $322.2 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 December 31, 2021

 

 

 

 

As of December 31, 2021

 

 

 

Fannie Mae

$

4,719,349

72.5%

 

Non-Whole Pool Assets

$

290,344

4.5%

Freddie Mac

 

1,791,746

27.5%

 

Whole Pool Assets

 

6,220,751

95.5%

Total Mortgage Assets

$

6,511,095

100.0%

 

Total Mortgage Assets

$

6,511,095

100.0%

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of December 31, 2021

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

436,954

 

7.2%

 

0.13%

29

2/11/2022

Mirae Asset Securities (USA) Inc.

 

425,890

 

6.8%

 

0.13%

62

9/14/2022

J.P. Morgan Securities LLC

 

424,776

 

6.8%

 

0.14%

31

2/8/2022

RBC Capital Markets, LLC

 

416,185

 

6.7%

 

0.14%

15

1/28/2022

ABN AMRO Bank N.V.

 

407,945

 

6.5%

 

0.13%

44

3/14/2022

Merrill Lynch, Pierce, Fenner & Smith

 

388,303

 

6.2%

 

0.16%

15

1/28/2022

Cantor Fitzgerald & Co

 

348,968

 

5.6%

 

0.12%

29

3/21/2022

Mitsubishi UFJ Securities (USA), Inc

 

345,853

 

5.5%

 

0.22%

48

3/31/2022

Goldman, Sachs & Co.

 

339,026

 

5.4%

 

0.18%

21

1/28/2022

Citigroup Global Markets Inc

 

318,709

 

5.1%

 

0.14%

15

1/21/2022

ED&F Man Capital Markets Inc

 

301,941

 

4.8%

 

0.11%

22

2/17/2022

Santander Bank

 

299,670

 

4.8%

 

0.14%

17

1/25/2022

Nomura Securities International, Inc.

 

284,851

 

4.6%

 

0.13%

47

2/22/2022

ASL Capital Markets Inc.

 

281,879

 

4.5%

 

0.14%

17

1/20/2022

ING Financial Markets LLC

 

274,333

 

4.4%

 

0.13%

10

1/10/2022

Bank of Montreal

 

245,932

 

3.9%

 

0.17%

25

2/14/2022

Daiwa Capital Markets America Inc.

 

207,575

 

3.3%

 

0.15%

15

2/8/2022

South Street Securities, LLC

 

141,548

 

2.3%

 

0.15%

17

1/18/2022

Barclays Capital Inc

 

137,691

 

2.2%

 

0.14%

14

1/14/2022

Austin Atlantic Asset Management Co.

 

95,754

 

1.5%

 

0.14%

5

1/5/2022

Lucid Cash Fund USG, LLC

 

88,865

 

1.4%

 

0.18%

13

1/13/2022

StoneX Financial Inc.

 

27,869

 

0.4%

 

0.13%

18

1/18/2022

Mizuho Securities USA, Inc

 

3,589

 

0.1%

 

0.56%

12

1/12/2022

Total Borrowings

$

6,244,106

 

100.0%

 

0.15%

27

9/14/2022

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400