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orc8k20220713
false 0001518621 0001518621 2022-07-13 2022-07-13
 
 
 
 
 
 
 
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):
July 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 July
 
13, 2022,
 
Orchid Island
 
Capital, Inc.
 
(the “Company”)
 
announced its
 
estimated book
 
value of
 
$2.87 per
 
share as of
June 30,
 
2022, certain
 
details of
 
its RMBS
 
portfolio
 
as of
 
June 30,
 
2022, and
 
estimated GAAP
 
net loss
 
per share
 
of $0.34,
including an estimated $0.46 per share of net realized and unrealized losses, for
 
the quarter ended June 30, 2022. 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 July 13,
 
2022, the Company
 
announced that the
 
Board of Directors
 
of the Company
 
declared a dividend
 
for the month
 
of
July 2022 of $0.035 per share of the Company’s common stock to be paid on August 29, 2022 to holders of record on July 29,
2022, with an ex-dividend date of July 28, 2022. In addition, the Company announced certain details of
 
its RMBS portfolio as
of
 
June
 
30,
 
2022
 
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,
 
2021.
 
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: July 13, 2022
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
orc8k20220713x991
ORCHID ISLAND CAPITAL ANNOUNCES
ESTIMATED SECOND QUARTER 2022 RESULTS,
 
JULY
 
2022 MONTHLY DIVIDEND AND
JUNE 30, 2022 RMBS PORTFOLIO CHARACTERISTICS
●
July 2022 Monthly Dividend of $0.045 Per Share of Common Stock
●
Estimated Book Value Per Share as of June 30, 2022 of $2.87
●
Estimated GAAP net loss of $0.34 per share for the quarter ended
 
June 30, 2022, including an
estimated $0.46 per share of net realized and unrealized losses on RMBS and derivative
 
instruments
●
Estimated (10.0)% total return on equity for the quarter
●
Estimated book value,
 
net loss 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 June 30, 2022
●
Next Dividend Announcement Expected August 17, 2022
Vero
 
Beach, Fla., July 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 July 2022. The dividend of
 
$0.045 per share will
be paid August
 
29, 2022 to
 
holders of record of
 
the Company’s
 
common stock on
 
July 29, 2022, with
 
an ex-dividend date
 
of
July 28, 2022. The Company plans on announcing its next common stock dividend
 
on August 17, 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 July 13, 2022
 
and June 30, 2022, the
 
Company had 176,251,193 shares
 
of common stock outstanding.
 
As of March 31,
2022, the Company had 177,117,186 shares
 
of common stock outstanding.
Estimated June 30, 2022 Book Value
 
Per Share
The Company’s estimated book value per
 
share as of June 30, 2022 was $2.87.
 
The Company computes book value per share
by
 
dividing
 
total
 
stockholders'
 
equity
 
by
 
the
 
total
 
number
 
of
 
outstanding
 
shares
 
of
 
common
 
stock.
 
At
 
June
 
30,
 
2022,
 
the
Company's
 
preliminary
 
estimated
 
total
 
stockholders'
 
equity
 
was
 
approximately
 
$507.4
 
million
 
with
 
176,251,193
 
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 $0.34, which includes $0.46 per
 
share of net realized and
 
unrealized
losses on RMBS
 
and derivative
 
instruments for
 
the quarter ended
 
June 30, 2022.
 
These amounts
 
compare to
 
total dividends
declared during
 
the quarter
 
of $0.135 per
 
share.
 
Net loss
 
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
 
loss. 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 June
 
30, 2022
 
was (10.0)%.
 
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
 
$(0.335) per share,
comprised of dividends per share of $0.135 and a decrease in book
 
value per share of $0.47 from March 31, 2022.
RMBS Portfolio Characteristics
Details of the
 
RMBS portfolio
 
as of June
 
30, 2022
 
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 June 30, 2022, 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
 
.
 
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,
 
2021.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Jun 2022
Apr - Jun
Modeled
Modeled
Net
Weighted
CPR
2022 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 Jul)
in Jul)
(-50 BPS)
(1)
(+50 BPS)
(1)
Pass Through RMBS
15yr 4.0
$
416
$
425
0.01%
$
101.96
4.00%
4.54%
 
50
 
 
130
 
0.8%
0.8%
$
7
$
(7)
15yr TBA
175,000
173,975
4.23%
99.41
3.50%
2,831
(3,136)
15yr Total
175,416
174,400
4.24%
99.42
3.50%
4.54%
 
50
 
 
130
 
0.8%
0.8%
2,838
(3,143)
30yr 3.0
3,469,251
3,260,634
79.24%
93.99
3.00%
3.46%
 
15
 
 
342
 
7.4%
7.7%
104,218
(109,092)
30yr 3.5
227,580
222,919
5.42%
97.95
3.50%
4.03%
 
28
 
 
324
 
11.7%
12.8%
6,201
(6,466)
30yr 4.0
284,173
282,173
6.86%
99.30
4.00%
4.72%
 
12
 
 
347
 
7.5%
18.0%
6,265
(7,088)
30yr Total
3,981,004
3,765,726
91.52%
94.59
3.10%
3.59%
 
15
 
 
342
 
7.6%
8.3%
116,684
(122,646)
Total Pass Through
 
RMBS
4,156,420
3,940,126
95.75%
94.80
3.12%
3.59%
 
15
 
 
342
 
7.6%
8.3%
119,522
(125,789)
Structured RMBS
IO 20yr 3.0
330,732
39,254
0.95%
11.87
3.00%
3.69%
 
72
 
 
161
 
12.2%
13.5%
(485)
252
IO 20yr 4.0
11,963
1,404
0.03%
11.73
4.00%
4.57%
 
126
 
 
107
 
11.8%
14.3%
-
(2)
IO 30yr 3.0
41,727
6,784
0.16%
16.26
3.00%
3.70%
 
36
 
 
317
 
13.3%
12.8%
(213)
165
IO 30yr 3.5
503,821
98,384
2.39%
19.53
3.50%
4.01%
 
55
 
 
296
 
12.9%
12.4%
(2,181)
1,492
IO 30yr 4.0
148,069
26,662
0.65%
18.01
4.00%
4.55%
 
74
 
 
277
 
20.1%
19.4%
(974)
802
IO 30yr 4.5
4,197
799
0.02%
19.05
4.50%
4.99%
 
144
 
 
203
 
11.0%
15.4%
(22)
18
IO 30yr 5.0
2,350
467
0.01%
19.87
5.00%
5.36%
 
144
 
 
203
 
30.0%
17.3%
(15)
13
IO Total
1,042,859
173,754
4.22%
16.66
3.41%
3.99%
 
64
 
 
249
 
13.7%
13.8%
(3,890)
2,740
IIO 30yr 4.0
35,107
955
0.02%
2.72
3.02%
4.40%
 
58
 
 
293
 
9.9%
11.1%
194
(189)
Total Structured
 
RMBS
1,077,966
174,709
4.25%
16.21
3.39%
4.00%
 
63
 
 
250
 
13.6%
13.7%
(3,696)
2,551
Total Mortgage Assets
$
5,234,386
$
4,114,835
100.00%
3.17%
3.67%
 
25
 
 
323
 
8.9%
9.5%
$
115,826
$
(123,238)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)
(1)
(+50 BPS)
(1)
5-Year Treasury
 
Future
(2)
$
(1,200,500)
Sep-2022
$
(31,555)
$
22,351
10-Year Treasury
 
Ultra
(3)
(274,500)
Sep-2022
(15,536)
13,691
Swaps
(1,400,000)
Jul-2028
(36,711)
35,424
TBA
(175,000)
Jul-2022
(5,392)
5,692
Swaptions
(777,800)
Mar-2023
(12,182)
11,118
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Hedge Total
$
(3,827,800)
$
(101,376)
$
88,276
Rate Shock Grand Total
$
14,450
$
(34,962)
(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 $112.25 at June 30, 2022.
 
The market value of the short position was $1,347.6 million.
(3)
Ten-year Treasury
 
Ultra futures contracts were valued at prices of $127.38 at June 30, 2022.
 
The market value of the short position was $349.7 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
Portfolio
Asset Category
Value
Portfolio
As of June 30, 2022
As of June 30, 2022
Fannie Mae
$
2,591,682
65.8%
Non-Whole Pool Assets
$
237,439
6.0%
Freddie Mac
1,349,178
34.2%
Whole Pool Assets
3,703,421
94.0%
Total Mortgage Assets
$
3,940,860
100.0%
Total Mortgage Assets
$
3,940,860
100.0%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of June 30, 2022
Borrowings
Debt
Rate
in Days
Maturity
J.P.
 
Morgan Securities LLC
$
355,463
9.4%
1.44%
40
8/10/2022
ABN AMRO Bank N.V.
332,722
8.9%
0.97%
12
7/14/2022
Mitsubishi UFJ Securities (USA), Inc
330,133
8.8%
1.69%
34
8/29/2022
Merrill Lynch, Pierce, Fenner & Smith
320,104
8.5%
1.15%
16
7/26/2022
Mirae Asset Securities (USA) Inc.
291,534
7.8%
1.16%
65
11/18/2022
Cantor Fitzgerald & Co
246,670
6.6%
1.50%
28
8/23/2022
RBC Capital Markets, LLC
228,511
6.1%
1.23%
26
8/18/2022
ING Financial Markets LLC
196,520
5.2%
1.64%
28
7/28/2022
ASL Capital Markets Inc.
179,465
4.8%
1.59%
18
7/21/2022
Santander Bank, N.A.
173,115
4.6%
1.34%
27
7/28/2022
Goldman, Sachs & Co.
158,181
4.2%
1.63%
25
7/27/2022
ED&F Man Capital Markets Inc
150,941
4.0%
1.02%
20
7/25/2022
Daiwa Capital Markets America Inc.
144,585
3.8%
1.62%
18
7/18/2022
Wells Fargo Bank, N.A.
123,434
3.3%
1.10%
14
7/21/2022
Citigroup Global Markets Inc
115,434
3.1%
1.37%
21
7/25/2022
BMO Capital Markets Corp.
115,236
3.1%
1.20%
18
7/21/2022
Nomura Securities International, Inc.
86,155
2.3%
1.62%
22
7/22/2022
Austin Atlantic Asset Management Co.
83,356
2.2%
1.62%
6
7/6/2022
South Street Securities, LLC
60,322
1.6%
1.17%
18
7/18/2022
Lucid Cash Fund USG, LLC
24,157
0.6%
1.27%
14
7/14/2022
StoneX Financial Inc.
23,337
0.6%
1.64%
28
7/28/2022
Lucid Prime Fund, LLC
19,604
0.5%
1.52%
14
7/14/2022
Total Borrowings
$
3,758,979
100.0%
1.36%
27
11/18/2022
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero
 
Beach, Florida 32963
Telephone: (772)
 
231-1400