SEC Filing - Orchid Island Capital, Inc.

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orc20230908_8k.htm

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): September 11, 2023

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 September 11, 2023, Orchid Island Capital, Inc. (the "Company") announced that the Board of Directors of the Company declared a dividend for the month of September 2023 of $0.16 per share of the Company’s common stock, to be paid on October 27, 2023 to holders of record on September 29, 2023, with an ex-dividend date of September 28, 2023. In addition, the Company announced certain details of its RMBS portfolio as of August 31, 2023 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, 2022. 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		Press Release dated September 11, 2023
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: September 11, 2023		ORCHID ISLAND CAPITAL, INC.


	By:	/s/ Robert E. Cauley
		Robert E. Cauley
		Chairman and Chief Executive Officer

ex_568019.htm

ORCHID ISLAND CAPITAL ANNOUNCES

SEPTEMBER 2023 MONTHLY DIVIDEND AND

AUGUST 31, 2023 RMBS PORTFOLIO CHARACTERISTICS

●

September 2023 Monthly Dividend of $0.16 Per Share of Common Stock

●

RMBS Portfolio Characteristics as of August 31, 2023

●

Next Dividend Announcement Expected October 11, 2023

Vero Beach, Fla., September 11, 2023 - 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 September 2023. The dividend of $0.16 per share will be paid October 27, 2023 to holders of record of the Company’s common stock on September 29, 2023, with an ex-dividend date of September 28, 2023. The Company plans on announcing its next common stock dividend on October 11, 2023.

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 September 11, 2023, the Company had 52,121,160 shares of common stock outstanding. As of August 31, 2023, the Company had 52,106,160 shares of common stock outstanding. As of June 30, 2023, the Company had 43,896,709 shares of common stock outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 2023 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, 2022.

RMBS Valuation Characteristics
($ in thousands)
																							Realized
																				Realized			Jun 23 -
																				Aug-23			Aug-23
										Net								Weighted		CPR			CPR
										Weighted								Average		(1-Month)			(3-Month)			Modeled Interest
	Current		Fair		% of			Current		Average								Maturity		(Reported			(Reported			Rate Sensitivity (1)
Type	Face		Value		Portfolio			Price		Coupon			GWAC			Age		(Months)		in Sep)			in Sep)			(-50 BPS)			(+50 BPS)
Fixed Rate RMBS
15yr 4.0	$	377	$	366		0.01	%	$	97.09		4.00	%		4.54	%		64		114		0.8	%		0.8	%	$	6		$	(6	)
15yr 5.0 TBA		100,000		98,797		2.17	%		98.80		5.00	%		5.67	%		10		166		n/a			n/a			1,290			(1,466	)
15yr Total		100,377		99,163		2.18	%		98.79		5.00	%		5.66	%		10		166		0.8	%		0.8	%		1,296			(1,472	)
30yr 3.0		2,439,957		2,120,116		46.65	%		86.89		3.00	%		3.44	%		28		327		6.7	%		6.2	%		69,945			(70,569	)
30yr 3.5		200,480		182,750		4.02	%		91.16		3.50	%		4.04	%		42		308		4.7	%		6.6	%		5,231			(5,273	)
30yr 4.0		573,906		531,542		11.70	%		92.62		4.00	%		4.78	%		19		339		5.9	%		5.5	%		13,645			(14,563	)
30yr 4.5		351,118		333,748		7.34	%		95.05		4.50	%		5.45	%		14		345		7.5	%		6.9	%		6,879			(7,541	)
30yr 5.0		565,711		549,464		12.09	%		97.13		5.00	%		5.93	%		12		347		8.0	%		6.9	%		10,657			(12,009	)
30yr 5.5		276,535		274,660		6.04	%		99.32		5.50	%		6.42	%		5		355		3.1	%		3.2	%		4,560			(5,398	)
30yr 6.0		232,691		234,442		5.16	%		100.75		6.00	%		7.01	%		6		350		6.1	%		7.8	%		3,009			(3,638	)
30yr 6.5		196,037		199,884		4.40	%		101.96		6.50	%		7.40	%		2		358		12.3	%		n/a			2,068			(2,585	)
30yr Total		4,836,435		4,426,606		97.41	%		91.53		3.91	%		4.56	%		21		335		6.7	%		6.2	%		115,994			(121,576	)
Total Pass Through RMBS		4,936,812		4,525,769		99.59	%		91.67		3.93	%		4.58	%		21		332		6.7	%		6.2	%		117,290			(123,049	)
Structured RMBS
IO 20yr 4.0		9,376		1,003		0.02	%		10.70		4.00	%		4.57	%		140		93		7.1	%		7.8	%		5			(4	)
IO 30yr 3.0		3,003		365		0.01	%		12.17		3.00	%		3.64	%		103		246		0.7	%		7.3	%		(1	)		-
IO 30yr 4.0		84,340		15,843		0.35	%		18.78		4.00	%		4.60	%		108		243		4.9	%		7.0	%		(306	)		232
IO 30yr 4.5		3,624		686		0.02	%		18.93		4.50	%		4.99	%		158		188		7.9	%		8.8	%		(5	)		3
IO 30yr 5.0		1,988		400		0.01	%		20.11		5.00	%		5.36	%		158		190		14.3	%		8.5	%		(6	)		4
IO Total		102,331		18,297		0.40	%		17.88		4.01	%		4.60	%		114		226		5.2	%		7.2	%		(313	)		234
IIO 30yr 4.0		28,890		313		0.01	%		1.08		0.00	%		4.40	%		71		278		0.6	%		0.5	%		82			(70	)
Total Structured RMBS		131,221		18,610		0.41	%		14.18		3.13	%		4.55	%		104		238		4.2	%		5.7	%		(231	)		164

Total Mortgage Assets	$	5,068,033	$	4,544,379		100.00	%				3.91	%		4.58	%		23		329		6.7	%		6.2	%	$	117,059		$	(122,885	)

	Average			Hedge	Modeled Interest
	Notional			Period	Rate Sensitivity (1)
Hedge	Balance			End	(-50 BPS)			(+50 BPS)
5-Year Treasury Future⁽²⁾	$	(471,500	)	Dec-23	$	(9,668	)	$	9,445
10-Year Treasury Future(3)		(395,000	)	Dec-23		(12,829	)		12,454
10-Year Ultra Treasury Future(4)		(244,200	)	Dec-23		(11,464	)		10,920
Swaps		(2,326,500	)	Nov-29		(59,796	)		57,565
TBA		(350,000	)	Sep-23		(9,694	)		9,969
Swaptions		(1,000,000	)	Dec-24		(1,822	)		2,541
Hedge Total	$	(4,787,200	)		$	(105,273	)	$	102,894
Rate Shock Grand Total					$	11,786		$	(19,991	)

(1)	Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR 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 $106.92 at August 31, 2023. The market value of the short position was $504.1 million.

(3)	Ten-year Treasury futures contracts were valued at prices of $111.03 at August 31, 2023. The market value of the short position was $438.6 million.
(4)	Ten-year Treasury Ultra futures contracts were valued at prices of $116.11 at August 31, 2023. The market value of the short position was $283.5 million.

RMBS Assets by Agency
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of August 31, 2023
Fannie Mae	$	3,018,946		66.4	%
Freddie Mac		1,525,433		33.6	%
Total Mortgage Assets	$	4,544,379		100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of August 31, 2023
Non-Whole Pool Assets	$	145,213		3.2	%
Whole Pool Assets		4,399,166		96.8	%
Total Mortgage Assets	$	4,544,379		100.0	%

Borrowings By Counterparty
($ in thousands)
						Weighted		Weighted
			% of			Average		Average
	Total		Total			Repo		Maturity		Longest
As of August 31, 2023	Borrowings		Debt			Rate		in Days		Maturity
Wells Fargo Bank, N.A.	$	361,504		8.5	%		5.48%		41	11/7/2023
Mirae Asset Securities (USA) Inc.		340,871		8.0	%		5.43%		28	12/22/2023
ASL Capital Markets Inc.		328,989		7.7	%		5.41%		19	9/29/2023
J.P. Morgan Securities LLC		328,646		7.7	%		5.44%		14	9/14/2023
Mitsubishi UFJ Securities (USA), Inc		322,769		7.6	%		5.45%		23	10/20/2023
RBC Capital Markets, LLC		298,148		7.0	%		5.44%		16	9/18/2023
Citigroup Global Markets Inc		297,293		7.0	%		5.45%		29	10/2/2023
Daiwa Securities America Inc.		234,371		5.5	%		5.49%		47	10/17/2023
Marex Capital Markets Inc.		225,680		5.3	%		5.43%		31	10/5/2023
ING Financial Markets LLC		222,891		5.2	%		5.47%		21	9/21/2023
ABN AMRO Bank N.V.		211,135		4.9	%		5.52%		75	11/14/2023
Cantor Fitzgerald & Co		208,925		4.9	%		5.48%		43	10/16/2023
Banco Santander SA		190,030		4.4	%		5.46%		23	10/5/2023
Merrill Lynch, Pierce, Fenner & Smith		178,530		4.2	%		5.46%		16	10/25/2023
StoneX Financial Inc.		171,605		4.0	%		5.43%		13	9/15/2023
Goldman, Sachs & Co		141,554		3.3	%		5.44%		14	9/25/2023
South Street Securities, LLC		117,859		2.8	%		5.36%		26	9/29/2023
Bank of Montreal		71,113		1.7	%		5.46%		18	9/18/2023
Lucid Cash Fund USG LLC		10,707		0.3	%		5.45%		14	9/14/2023
Lucid Prime Fund, LLC		8,699		0.2	%		5.45%		14	9/14/2023
Total Borrowings	$	4,271,319		100.0	%		5.45%		28	12/22/2023

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400