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 12, 2019
Orchid Island Capital, Inc.
(Exact Name of Registrant as Specified in Charter)
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Maryland
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001-35236
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27-3269228
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(State or Other Jurisdiction of Incorporation)
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(Commission File Number)
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(IRS Employer Identification No.)
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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:
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Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
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Securities registered pursuant to Section 12(b) of the Act:
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Title of each class:
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Trading symbol:
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Name of each exchange on which registered:
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Common Stock, par value $0.01 per share
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ORC
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NYSE
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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 12, 2019, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company declared a dividend for the month of
December 2019 of $0.08 per share to be paid on January 31, 2020 to holders of record on December 31, 2019, with an ex-dividend date of December 30, 2019. In addition, the Company announced certain details of its RMBS portfolio as of November 30, 2019
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 expected funding of purchased assets and anticipated borrowings. 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 Form 10-K for the year ended December 31, 2018. 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
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Exhibit No.
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Description
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99.1
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Press Release dated December 12, 2019
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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.
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Date: December 12, 2019
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ORCHID ISLAND CAPITAL, INC.
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By:
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/s/ Robert E. Cauley
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Robert E. Cauley
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Chairman and Chief Executive Officer
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EXHIBIT 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
DECEMBER 2019 MONTHLY DIVIDEND AND
NOVEMBER 30, 2019 RMBS PORTFOLIO CHARACTERISTICS
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•
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December 2019 Monthly Dividend of $0.08 Per Share
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•
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RMBS Portfolio Characteristics as of November 30, 2019
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•
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Next Dividend Announcement Expected January 16, 2020
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The Company intends to make regular monthly cash distributions to its stockholders. 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 12, 2019, the Company had 63,058,209 shares outstanding. At September 30, 2019, the Company also had 63,058,209 shares outstanding.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of November 30, 2019 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:
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•
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RMBS Valuation Characteristics
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•
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RMBS Assets by Agency
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•
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Investment Company Act of 1940 (Whole Pool) Test Results
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•
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Repurchase Agreement Exposure by Counterparty
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•
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RMBS Risk Measures
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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 issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, and (ii) structured Agency RMBS. Orchid 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 expected funding of purchased assets and anticipated borrowings. 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 Form 10-K for the year ended December 31, 2018.
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RMBS Valuation Characteristics
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||||||||||||||||||||||||||||||||||||||||||||||||
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($ in thousands)
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||||||||||||||||||||||||||||||||||||||||||||||||
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Realized
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Realized
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|||||||||||||||||||||||||||||||||||||||||||||||
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Nov 2019
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Sep - Nov
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Modeled
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Modeled
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|||||||||||||||||||||||||||||||||||||||||||||
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Net
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Weighted
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CPR
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2019 CPR
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Interest
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Interest
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|||||||||||||||||||||||||||||||||||||||||||
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%
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Weighted
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Average
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(1-Month)
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(3-Month)
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Rate
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Rate
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||||||||||||||||||||||||||||||||||||||||||
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Current
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Fair
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of
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Current
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Average
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Maturity
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(Reported
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(Reported
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Sensitivity
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Sensitivity
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|||||||||||||||||||||||||||||||||||||||
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Type
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Face
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Value(1)
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Portfolio
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Price
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Coupon
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GWAC
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Age
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(Months)
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in Dec)
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in Dec)
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(-50 BPS)(2)
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(+50 BPS)(2)
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Pass Through RMBS
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||||||||||||||||||||||||||||||||||||||||||||||||
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Post Reset ARM
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$
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967
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$
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993
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0.03
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%
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$
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102.75
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4.51
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%
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4.96
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%
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184
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177
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0.00
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%
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36.17
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%
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$
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3
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$
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(3
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)
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|||||||||||||||||||||||||
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Fixed Rate CMO
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298,581
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310,839
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8.21
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%
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104.11
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4.21
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%
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4.57
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%
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25
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332
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20.99
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%
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23.81
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%
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1,264
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(2,140
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)
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||||||||||||||||||||||||||||||
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15yr 4.0
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19,118
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20,054
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0.53
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%
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104.89
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4.00
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%
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4.45
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%
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18
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154
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12.34
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%
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19.48
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%
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247
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(289
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)
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15yr Total
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19,118
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20,054
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0.53
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%
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104.89
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4.00
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%
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4.45
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%
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18
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154
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12.34
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%
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19.48
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%
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247
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(289
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)
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20yr 4.0
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80,829
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86,878
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2.29
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%
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107.48
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4.00
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%
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4.48
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%
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28
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207
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7.50
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%
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10.14
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%
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1,703
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(1,802
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)
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20yr Total
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80,829
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86,878
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2.29
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%
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107.48
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4.00
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%
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4.48
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%
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28
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207
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7.50
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%
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10.14
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%
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1,703
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(1,802
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)
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30yr 3.0
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201,243
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205,458
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5.43
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%
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102.09
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3.00
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%
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3.91
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%
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5
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355
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4.83
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%
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5.21
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%
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3,812
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(5,083
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)
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30yr 3.5
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705,146
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737,739
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19.48
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%
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104.62
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3.50
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%
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4.15
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%
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5
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352
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5.73
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%
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7.20
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%
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12,976
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(16,990
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)
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||||||||||||||||||||||||||||||
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30yr 4.0
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1,036,094
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1,103,147
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29.14
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%
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106.47
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4.00
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%
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4.59
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%
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15
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342
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13.77
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%
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21.13
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%
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16,012
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(21,005
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)
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30yr 4.5
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406,236
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438,637
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11.58
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%
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107.98
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4.50
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%
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5.04
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%
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12
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347
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11.28
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%
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12.48
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%
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4,620
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(6,456
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)
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30yr 5.0
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707,846
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778,729
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20.57
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%
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110.01
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5.00
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%
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5.52
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%
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18
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339
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19.25
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%
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18.81
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%
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7,719
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(10,067
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)
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||||||||||||||||||||||||||||||
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30yr Total
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3,056,565
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3,263,710
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86.20
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%
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106.78
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4.12
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%
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4.72
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%
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12
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345
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12.27
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%
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15.92
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%
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45,139
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(59,601
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)
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||||||||||||||||||||||||||||||
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Total Pass Through RMBS
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3,456,060
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3,682,474
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97.26
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%
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106.55
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4.12
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%
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4.70
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%
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14
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340
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12.91
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%
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16.64
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%
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48,356
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(63,835
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)
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||||||||||||||||||||||||||||||
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Structured RMBS
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||||||||||||||||||||||||||||||||||||||||||||||||
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Interest-Only Securities
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674,829
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79,266
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2.09
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%
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11.75
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3.76
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%
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4.34
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%
|
71
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245
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20.84
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%
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22.58
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%
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(9,207
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)
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10,131
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||||||||||||||||||||||||||||||
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Inverse Interest-Only Securities
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190,769
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24,528
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0.65
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%
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12.86
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3.36
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%
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4.86
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%
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65
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285
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13.01
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%
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14.12
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%
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1,267
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(1,997
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)
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||||||||||||||||||||||||||||||
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Total Structured RMBS
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865,598
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103,794
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2.74
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%
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11.99
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3.67
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%
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4.46
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%
|
70
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254
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19.12
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%
|
20.72
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%
|
(7,940
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)
|
8,134
|
||||||||||||||||||||||||||||||
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Total Mortgage Assets
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$
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4,321,658
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$
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3,786,268
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100.00
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%
|
4.03
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%
|
4.65
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%
|
25
|
323
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14.15
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%
|
17.61
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%
|
$
|
40,416
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$
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(55,701
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)
|
|||||||||||||||||||||||||||
|
Interest
|
Interest
|
|||||||||||||||||||||||||||||||||||||||||||||||
|
Average
|
Hedge
|
Rate
|
Rate
|
|||||||||||||||||||||||||||||||||||||||||||||
|
Notional
|
Period
|
Sensitivity
|
Sensitivity
|
|||||||||||||||||||||||||||||||||||||||||||||
|
Hedge
|
Balance
|
End
|
(-50 BPS)(2)
|
(+50 BPS)(2)
|
||||||||||||||||||||||||||||||||||||||||||||
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Eurodollar Futures
|
$
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(500,000
|
)
|
Dec-2020
|
(2,500
|
)
|
2,500
|
|||||||||||||||||||||||||||||||||||||||||
|
Swaps
|
(1,270,000
|
)
|
Oct-2023
|
(25,373
|
)
|
25,373
|
||||||||||||||||||||||||||||||||||||||||||
|
5-Year Treasury Futures
|
(140,000
|
)
|
Mar-2020(3)
|
(4,165
|
)
|
4,039
|
||||||||||||||||||||||||||||||||||||||||||
|
5-Year Treasury Futures
|
||||||||||||||||||||||||||||||||||||||||||||||||
|
Hedge Total
|
$
|
(1,910,000
|
)
|
$
|
(32,038
|
)
|
$
|
31,912
|
||||||||||||||||||||||||||||||||||||||||
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Rate Shock Grand Total
|
$
|
8,378
|
$
|
(23,789
|
)
|
|||||||||||||||||||||||||||||||||||||||||||
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(1)
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Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December
2019, and exclude assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 2019.
|
|
(2)
|
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.
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|
(3)
|
Five year treasury futures contracts were valued at prices of $118.97 at November 30, 2019. The notional contract value of the short position
was $166.6 million.
|
|
RMBS Assets by Agency
|
Investment Company Act of 1940 Whole Pool Test
|
||||||||||||||||
|
($ in thousands)
|
($ in thousands)
|
||||||||||||||||
|
Percentage
|
Percentage
|
||||||||||||||||
|
Fair
|
of
|
Fair
|
of
|
||||||||||||||
|
Asset Category
|
Value(1)
|
Portfolio
|
Asset Category
|
Value(1)
|
Portfolio
|
||||||||||||
|
As of November 30, 2019
|
As of November 30, 2019
|
||||||||||||||||
|
Fannie Mae
|
$
|
3,032,350
|
80.1
|
%
|
Non-Whole Pool Assets
|
$
|
608,884
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16.1
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%
|
||||||||
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Freddie Mac
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751,672
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19.8
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%
|
Whole Pool Assets
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3,177,384
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83.9
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%
|
||||||||||
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Ginnie Mae
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2,246
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0.1
|
%
|
Total Mortgage Assets
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$
|
3,786,268
|
100.0
|
%
|
|||||||||
|
Total Mortgage Assets
|
$
|
3,786,268
|
100.0
|
%
|
|||||||||||||
| (1) |
Amounts in the tables above include assets with a fair value of approximately $4.2 million purchased in November 2019, which settle in December 2019, and exclude
assets with a fair value of approximately $13.9 million sold in November 2019, which settle in December 2019.
|
|
Borrowings By Counterparty
|
||||||||
|
($ in thousands)
|
||||||||
|
Weighted
|
Weighted
|
|||||||
|
% of
|
Average
|
Average
|
||||||
|
Total
|
Total
|
Repo
|
Maturity
|
Longest
|
||||
|
As of November 30, 2019
|
Borrowings
|
Debt
|
Rate
|
in Days
|
Maturity
|
|||
|
Wells Fargo Bank, N.A.
|
$
|
391,976
|
11.0%
|
1.92%
|
65
|
2/11/2020
|
||
|
RBC Capital Markets, LLC
|
336,010
|
9.4%
|
2.14%
|
32
|
1/29/2020
|
|||
|
J.P. Morgan Securities LLC
|
332,677
|
9.3%
|
2.05%
|
12
|
12/30/2019
|
|||
|
Mirae Asset Securities (USA) Inc.
|
332,079
|
9.2%
|
1.98%
|
70
|
2/13/2020
|
|||
|
Cantor Fitzgerald & Co
|
290,932
|
8.1%
|
1.97%
|
44
|
1/13/2020
|
|||
|
Citigroup Global Markets Inc
|
224,938
|
6.2%
|
2.11%
|
42
|
1/14/2020
|
|||
|
ASL Capital Markets Inc.
|
216,883
|
6.0%
|
1.98%
|
39
|
1/29/2020
|
|||
|
ED&F Man Capital Markets Inc
|
201,828
|
5.6%
|
1.99%
|
56
|
2/10/2020
|
|||
|
Mitsubishi UFJ Securities (USA), Inc
|
181,032
|
5.0%
|
1.92%
|
25
|
1/28/2020
|
|||
|
ING Financial Markets LLC
|
170,823
|
4.7%
|
2.04%
|
48
|
1/27/2020
|
|||
|
ABN AMRO Bank N.V.
|
151,531
|
4.2%
|
1.89%
|
9
|
12/9/2019
|
|||
|
South Street Securities, LLC
|
149,391
|
4.1%
|
2.47%
|
108
|
4/9/2020
|
|||
|
Daiwa Securities America Inc.
|
109,289
|
3.0%
|
1.90%
|
33
|
2/10/2020
|
|||
|
ICBC Financial Services LLC
|
98,363
|
2.7%
|
1.88%
|
16
|
12/16/2019
|
|||
|
Guggenheim Securities, LLC
|
89,143
|
2.5%
|
1.99%
|
52
|
1/30/2020
|
|||
|
FHLB-Cincinnati
|
82,778
|
2.3%
|
1.73%
|
2
|
12/2/2019
|
|||
|
Lucid Cash Fund USG LLC
|
65,647
|
1.8%
|
1.91%
|
12
|
12/12/2019
|
|||
|
Bank of Montreal
|
61,149
|
1.7%
|
1.97%
|
41
|
1/13/2020
|
|||
|
Nomura Securities International, Inc.
|
47,372
|
1.3%
|
1.97%
|
44
|
1/13/2020
|
|||
|
Bank of America
|
37,064
|
1.0%
|
2.00%
|
10
|
12/12/2019
|
|||
|
J.V.B. Financial Group, LLC
|
28,245
|
0.8%
|
2.19%
|
27
|
1/6/2020
|
|||
|
Mizuho Securities USA, Inc
|
3,745
|
0.1%
|
2.31%
|
17
|
12/17/2019
|
|||
|
Total Borrowings
|
$
|
3,602,894
|
100.0%
|
2.01%
|
42
|
4/9/2020
|
|
(1)
|
In November 2019, the Company purchased assets with a fair value of approximately $4.2 million, which settle in December 2019 that are expected
to be funded by repurchase agreements. The anticipated borrowings are not included in the table above. Also, in November 2019, the Company sold assets with a fair value of approximately $13.9 million, which settle in December 2019 that
collateralize approximately $4.6 million of repurchase agreements included in the table above.
|
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400