UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported):
(Exact Name of Registrant as Specified in Charter)
(State or Other Jurisdiction of
Incorporation)
(Commission File Number)
(IRS Employer Identification No.)
,
,
(Address of Principal Executive Offices) (Zip Code)
Registrant’s telephone number, including area code
(
)
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:
Securities registered pursuant to Section 12(b) of the Act:
Title of each class:
Trading symbol:
Name of each exchange on which registered:
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, 2022, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company
declared a dividend for the month of November 2022 of $0.16 per share of the Company’s common stock, to be paid on
December 28, 2022 to holders of record on November 30, 2022, with an ex-dividend date of November 29, 2022. In addition,
the Company announced certain details of its RMBS portfolio as of October 31, 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: November 10, 2022
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHID ISLAND CAPITAL ANNOUNCES
NOVEMBER 2022 MONTHLY DIVIDEND AND OCTOBER 31, 2022 RMBS
PORTFOLIO CHARACTERISTICS
●
November 2022 Monthly Dividend of $0.16 Per Share of Common Stock
●
RMBS Portfolio Characteristics as of October 31, 2022
●
Next Dividend Announcement Expected December 13, 2022
Vero Beach, Fla., November 9, 2022 - Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today
that the Board of Directors of the Company declared a monthly cash dividend for the month of November 2022. The dividend
of $0.16 per share will be paid December 28, 2022 to holders of record of the Company’s common stock on November 30,
2022, with an ex-dividend date of November 29, 2022. The Company plans on announcing its next common stock dividend on
December 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 November 9, 2022 and October 31, 2022, the Company had 33,422,207 shares of common stock outstanding. As of
September 30, 2022, the Company had 35,066,251 shares of common stock outstanding .
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of October 31, 2022 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, 2021.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Oct 2022
Aug - Oct
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 Nov)
in Nov)
(-50 BPS)
(1)
(+50 BPS)
(1)
Pass Through RMBS
15yr 4.0
$
405
$
390
0.01%
$
96.25
4.00%
4.54%
0.8%
0.7%
$
7
$
(7)
15yr Total
405
390
0.01%
96.25
4.00%
4.54%
0.8%
0.7%
7
(7)
30yr 3.0
2,584,539
2,213,102
71.79%
85.63
3.00%
3.44%
4.9%
5.4%
70,275
(72,234)
30yr 3.5
217,939
194,697
6.32%
89.34
3.50%
4.03%
5.4%
7.4%
5,347
(5,469)
30yr 4.0
275,109
251,726
8.17%
91.50
4.00%
4.72%
7.1%
7.4%
6,265
(6,710)
30yr 4.5
370,457
348,462
11.30%
94.06
4.50%
5.45%
1.2%
n/a
7,203
(7,963)
30yr 5.0
54,638
52,785
1.71%
96.61
5.00%
5.92%
0.1%
4.9%
934
(1,065)
30yr Total
3,502,682
3,060,772
99.29%
87.38
3.30%
3.83%
4.7%
5.7%
90,024
(93,441)
Total Pass Through RMBS
3,503,087
3,061,162
99.30%
87.38
3.30%
3.83%
4.7%
5.7%
90,031
(93,448)
Structured RMBS
IO 20yr 4.0
11,124
1,293
0.04%
11.62
4.00%
4.57%
7.9%
10.9%
6
(7)
IO 30yr 3.0
3,242
403
0.01%
12.42
3.00%
3.64%
0.8%
17.3%
(1)
-
IO 30yr 4.0
93,045
18,112
0.59%
19.47
4.00%
4.60%
5.8%
8.7%
(422)
307
IO 30yr 4.5
4,004
767
0.02%
19.15
4.50%
4.99%
6.6%
9.7%
(8)
4
IO 30yr 5.0
2,232
461
0.01%
20.64
5.00%
5.36%
4.8%
2.9%
(8)
6
IO Total
113,647
21,036
0.68%
18.51
4.01%
4.60%
5.9%
9.1%
(433)
310
IIO 30yr 4.0
32,399
454
0.01%
1.40
1.01%
4.40%
1.9%
9.2%
118
(99)
Total Structured RMBS
146,046
21,490
0.70%
14.71
3.34%
4.55%
5.0%
9.1%
(315)
211
Total Mortgage Assets
$
3,649,133
$
3,082,652
100.00%
3.30%
3.86%
4.7%
5.8%
$
89,716
$
(93,237)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)
(1)
(+50 BPS)
(1)
5-Year Treasury Future
(2)
$
(750,500)
Dec-2022
$
(17,228)
$
16,777
10-Year Treasury Ultra
(3)
(174,500)
Dec-2022
(10,037)
8,880
Swaps
(1,400,000)
Jul-2028
(32,381)
31,321
TBA
(675,000)
Nov-2022
(18,570)
19,335
Swaptions
(613,000)
Jan-2024
(10,424)
10,520
Hedge Total
$
(3,613,000)
$
(88,640)
$
86,833
Rate Shock Grand Total
$
1,076
$
(6,404)
(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 $106.59 at October 31, 2022. The market value of the short position was $800.0 million.
(3)
Ten-year Treasury Ultra futures contracts were valued at prices of $115.98 at October 31, 2022. The market value of the short position was $202.4 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
Portfolio
Asset Category
Value
Portfolio
As of October 31, 2022
As of October 31, 2022
Fannie Mae
$
2,168,149
70.3%
Non-Whole Pool Assets
$
108,419
3.5%
Freddie Mac
914,502
29.7%
Whole Pool Assets
2,974,232
96.5%
Total Mortgage Assets
$
3,082,651
100.0%
Total Mortgage Assets
$
3,082,651
100.0%
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of October 31, 2022
Borrowings
Debt
Rate
in Days
Maturity
Daiwa Capital Markets America Inc.
$
299,275
10.1%
3.28%
8
11/14/2022
Mirae Asset Securities (USA) Inc.
282,056
9.5%
3.26%
31
1/30/2023
Merrill Lynch, Pierce, Fenner & Smith
276,667
9.3%
3.33%
8
11/28/2022
Cantor Fitzgerald & Co
234,245
7.9%
3.04%
5
11/16/2022
J.P. Morgan Securities LLC
211,828
7.1%
3.45%
11
11/23/2022
ABN AMRO Bank N.V.
194,818
6.5%
2.89%
13
11/15/2022
ED&F Man Capital Markets Inc
190,418
6.4%
3.33%
20
12/19/2022
Mitsubishi UFJ Securities (USA), Inc
179,723
6.0%
3.39%
19
11/30/2022
RBC Capital Markets, LLC
163,728
5.5%
3.27%
7
11/14/2022
ING Financial Markets LLC
149,958
5.0%
3.14%
3
11/3/2022
Goldman, Sachs & Co.
126,280
4.2%
3.33%
17
11/23/2022
Santander Bank, N.A.
113,142
3.8%
3.69%
24
11/28/2022
Citigroup Global Markets Inc
102,839
3.4%
3.43%
14
11/23/2022
Wells Fargo Bank, N.A.
100,591
3.4%
2.96%
11
11/14/2022
Nomura Securities International, Inc.
90,100
3.0%
3.14%
14
11/14/2022
BMO Capital Markets Corp.
74,900
2.5%
3.71%
23
11/23/2022
StoneX Financial Inc.
72,310
2.4%
3.14%
4
11/4/2022
ASL Capital Markets Inc.
62,041
2.1%
3.55%
21
11/21/2022
South Street Securities, LLC
35,829
1.2%
3.56%
18
11/18/2022
Lucid Cash Fund USG, LLC
21,069
0.7%
3.34%
10
11/10/2022
Total Borrowings
$
2,981,817
100.0%
3.28%
14
1/30/2023
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400