Orchid Island Capital, Inc.
|
||
(Exact name of registrant as specified in its 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)
|
◻ |
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))
|
Title of each class:
|
Trading Symbol:
|
Name of each exchange on which registered:
|
Common Stock, par value $0.01 per share
|
ORC
|
NYSE
|
Item 5.07. |
Submission of Matters to a Vote of Security Holders.
|
Nominee for Director
|
For
|
Against
|
Abstain
|
Broker Non-Votes
|
||||||||||||
Robert E. Cauley
|
25,520,718
|
1,138,300
|
337,017
|
27,272,791
|
||||||||||||
George H. Haas, IV
|
24,614,809
|
2,028,894
|
352,332
|
27,272,791
|
||||||||||||
W Coleman Bitting
|
25,548,038
|
1,084,019
|
363,978
|
27,272,791
|
||||||||||||
Frank P. Filipps
|
25,550,922
|
1,093,638
|
351,475
|
27,272,791
|
||||||||||||
Paula Morabito
|
25,568,999
|
1,095,856
|
331,180
|
27,272,791
|
||||||||||||
Ava L. Parker
|
25,557,241
|
1,084,180
|
354,614
|
27,272,791
|
For
|
Against
|
Abstain
|
Broker Non-Votes
|
51,470,494
|
1,762,044
|
1,036,288
|
*
|
* |
No broker non-votes arose in connection with Proposal 2 due to the fact that the matter was considered “routine” under New York Stock Exchange rules.
|
For
|
Against
|
Abstain
|
Broker Non-Votes
|
23,743,039
|
2,427,510
|
825,486
|
27,272,791
|
One Year
|
Two Years
|
Three Years
|
Abstain
|
23,435,474
|
550,862
|
2,292,574
|
717,125
|
Exhibit No.
|
Description
|
Date: June 16, 2020
|
ORCHID ISLAND CAPITAL, INC.
|
||
|
|
||
|
|
||
|
By:
|
/s/ Robert E. Cauley
|
|
|
|
Robert E. Cauley
|
|
|
|
Chairman and Chief Executive Officer
|
•
|
June 2020 Monthly Dividend of $0.055 Per Share of Common Stock
|
•
|
RMBS Portfolio Characteristics as of May 31, 2020
|
•
|
Next Dividend Announcement Expected July 15, 2020
|
•
|
RMBS Valuation Characteristics
|
•
|
RMBS Assets by Agency
|
•
|
Investment Company Act of 1940 (Whole Pool) Test Results
|
•
|
Repurchase Agreement Exposure by Counterparty
|
•
|
RMBS Risk Measures
|
RMBS Valuation Characteristics
|
||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands)
|
||||||||||||||||||||||||||||||||||||||||||||||||
Realized
|
Realized
|
|||||||||||||||||||||||||||||||||||||||||||||||
May 2020
|
Mar - May
|
Modeled
|
Modeled
|
|||||||||||||||||||||||||||||||||||||||||||||
Net
|
Weighted
|
CPR
|
2020 CPR
|
Interest
|
Interest
|
|||||||||||||||||||||||||||||||||||||||||||
%
|
Weighted
|
Average
|
(1-Month)
|
(3-Month)
|
Rate
|
Rate
|
||||||||||||||||||||||||||||||||||||||||||
Current
|
Fair
|
of
|
Current
|
Average
|
Maturity
|
(Reported
|
(Reported
|
Sensitivity
|
Sensitivity
|
|||||||||||||||||||||||||||||||||||||||
Type
|
Face
|
Value(1)
|
Portfolio
|
Price
|
Coupon
|
GWAC
|
Age
|
(Months)
|
in Jun)
|
in Jun)
|
(-50 BPS)(2)
|
(+50 BPS)(2)
|
||||||||||||||||||||||||||||||||||||
Pass Through RMBS
|
||||||||||||||||||||||||||||||||||||||||||||||||
Post Reset ARM
|
$
|
944
|
$
|
977
|
0.03
|
%
|
$
|
103.50
|
4.51
|
%
|
4.96
|
%
|
190
|
171
|
0.00
|
%
|
0.00
|
%
|
$
|
3
|
$
|
(2
|
)
|
|||||||||||||||||||||||||
Fixed Rate CMO
|
158,092
|
169,611
|
4.99
|
%
|
107.29
|
4.00
|
%
|
4.40
|
%
|
35
|
321
|
27.70
|
%
|
17.92
|
%
|
395
|
(570
|
)
|
||||||||||||||||||||||||||||||
15yr 2.0 TBA
|
250,000
|
256,992
|
7.56
|
%
|
102.80
|
2.00
|
%
|
n/a
|
n/a
|
n/a
|
n/a
|
n/a
|
2,891
|
(3,541
|
)
|
|||||||||||||||||||||||||||||||||
15yr 4.0
|
1,253
|
1,349
|
0.04
|
%
|
107.65
|
4.00
|
%
|
4.49
|
%
|
25
|
141
|
0.63
|
%
|
61.44
|
%
|
17
|
(17
|
)
|
||||||||||||||||||||||||||||||
15yr Total
|
251,253
|
258,341
|
7.60
|
%
|
102.82
|
2.01
|
%
|
4.49
|
%
|
25
|
141
|
0.63
|
%
|
61.44
|
%
|
2,908
|
(3,558
|
)
|
||||||||||||||||||||||||||||||
30yr 3.0
|
363,162
|
384,601
|
11.31
|
%
|
105.90
|
3.00
|
%
|
3.88
|
%
|
5
|
350
|
5.80
|
%
|
14.72
|
%
|
2,565
|
(4,415
|
)
|
||||||||||||||||||||||||||||||
30yr 3.5
|
1,241,365
|
1,356,604
|
39.91
|
%
|
109.28
|
3.50
|
%
|
4.03
|
%
|
8
|
348
|
13.75
|
%
|
11.24
|
%
|
12,802
|
(18,267
|
)
|
||||||||||||||||||||||||||||||
30yr 4.0
|
488,805
|
545,365
|
16.04
|
%
|
111.57
|
4.00
|
%
|
4.52
|
%
|
15
|
341
|
10.48
|
%
|
9.81
|
%
|
7,375
|
(8,945
|
)
|
||||||||||||||||||||||||||||||
30yr 4.5
|
338,989
|
381,662
|
11.23
|
%
|
112.59
|
4.50
|
%
|
5.00
|
%
|
15
|
342
|
15.58
|
%
|
16.89
|
%
|
3,306
|
(3,886
|
)
|
||||||||||||||||||||||||||||||
30yr 5.0
|
232,717
|
264,821
|
7.79
|
%
|
113.80
|
5.00
|
%
|
5.51
|
%
|
24
|
332
|
24.78
|
%
|
23.46
|
%
|
2,532
|
(2,724
|
)
|
||||||||||||||||||||||||||||||
30yr Total
|
2,665,038
|
2,933,053
|
86.29
|
%
|
110.06
|
3.78
|
%
|
4.35
|
%
|
11
|
345
|
13.26
|
%
|
13.10
|
%
|
28,580
|
(38,237
|
)
|
||||||||||||||||||||||||||||||
Total Pass Through RMBS
|
3,075,327
|
3,361,982
|
98.91
|
%
|
109.32
|
3.65
|
%
|
4.36
|
%
|
13
|
344
|
14.06
|
%
|
13.43
|
%
|
31,886
|
(42,367
|
)
|
||||||||||||||||||||||||||||||
Structured RMBS
|
||||||||||||||||||||||||||||||||||||||||||||||||
Interest-Only Securities
|
360,499
|
37,070
|
1.09
|
%
|
10.28
|
4.00
|
%
|
4.59
|
%
|
71
|
276
|
35.23
|
%
|
31.32
|
%
|
(1,934
|
)
|
3,627
|
||||||||||||||||||||||||||||||
Total Structured RMBS
|
360,499
|
37,070
|
1.09
|
%
|
10.28
|
4.00
|
%
|
4.59
|
%
|
71
|
276
|
35.23
|
%
|
31.32
|
%
|
(1,934
|
)
|
3,627
|
||||||||||||||||||||||||||||||
Total Mortgage Assets
|
$
|
3,435,826
|
$
|
3,399,052
|
100.00
|
%
|
3.69
|
%
|
4.38
|
%
|
19
|
336
|
16.30
|
%
|
15.48
|
%
|
$
|
29,952
|
$
|
(38,740
|
)
|
|||||||||||||||||||||||||||
Interest
|
Interest
|
|||||||||||||||||||||||||||||||||||||||||||||||
Average
|
Hedge
|
Rate
|
Rate
|
|||||||||||||||||||||||||||||||||||||||||||||
Notional
|
Period
|
Sensitivity
|
Sensitivity
|
|||||||||||||||||||||||||||||||||||||||||||||
Hedge
|
Balance
|
End
|
(-50 BPS)(2)
|
(+50 BPS)(2)
|
||||||||||||||||||||||||||||||||||||||||||||
Eurodollar Futures
|
$
|
(50,000
|
)
|
Dec-2021
|
$
|
(438
|
)
|
$
|
438
|
|||||||||||||||||||||||||||||||||||||||
Swaps
|
(748,500
|
)
|
Aug-2024
|
(15,768
|
)
|
17,385
|
||||||||||||||||||||||||||||||||||||||||||
5-Year Treasury Futures
|
(69,000
|
)
|
Sep-2020
|
(2,314
|
)
|
2,073
|
||||||||||||||||||||||||||||||||||||||||||
Swaptions
|
(500,000
|
)
|
Mar-2021(3)
|
(367
|
)
|
1,673
|
||||||||||||||||||||||||||||||||||||||||||
Hedge Total
|
$
|
(1,367,500
|
)
|
$
|
(18,887
|
)
|
$
|
21,569
|
||||||||||||||||||||||||||||||||||||||||
Rate Shock Grand Total
|
$
|
11,065
|
$
|
(17,171
|
)
|
(1)
|
Amounts in the tables above include assets with a fair value of approximately $54.4 million sold in May 2020, which settle in June 2020.
|
(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.
|
(3)
|
Five-year treasury futures contracts were valued at prices of $125.63 at May 31, 2020. The market value of the short position was $86.7
million.
|
RMBS Assets by Agency
|
Investment Company Act of 1940 Whole Pool Test
|
||||||||||||||||
($ in thousands)
|
($ in thousands)
|
||||||||||||||||
Percentage
|
Percentage
|
||||||||||||||||
Fair
|
of
|
Fair
|
of
|
||||||||||||||
Asset Category
|
Value(1)(2)
|
Portfolio
|
Asset Category
|
Value(1)(2)
|
Portfolio
|
||||||||||||
As of May 31, 2020
|
As of May 31, 2020
|
||||||||||||||||
Fannie Mae
|
$
|
1,939,520
|
61.7
|
%
|
Non-Whole Pool Assets
|
$
|
303,124
|
9.6
|
%
|
||||||||
Freddie Mac
|
1,202,540
|
38.3
|
%
|
Whole Pool Assets
|
2,838,936
|
90.4
|
%
|
||||||||||
Total Mortgage Assets
|
$
|
3,142,060
|
100.0
|
%
|
Total Mortgage Assets
|
$
|
3,142,060
|
100.0
|
%
|
||||||||
(1)
|
Amounts in the tables above include assets with a fair value of approximately $54.4 million sold in May 2020, which settle in June 2020.
|
(2)
|
Amounts in the tables above exclude long TBA positions with a market value of approximately $257.0 million.
|
Borrowings By Counterparty
|
||||||||
($ in thousands)
|
||||||||
Weighted
|
Weighted
|
|||||||
% of
|
Average
|
Average
|
||||||
Total
|
Total
|
Repo
|
Maturity
|
Longest
|
||||
As of May 31, 2020
|
Borrowings(1)
|
Debt
|
Rate
|
in Days
|
Maturity
|
|||
Mirae Asset Securities (USA) Inc.
|
$
|
382,893
|
12.3%
|
0.25%
|
54
|
8/11/2020
|
||
Wells Fargo Bank, N.A.
|
345,195
|
11.3%
|
0.26%
|
11
|
6/19/2020
|
|||
Merrill Lynch, Pierce, Fenner & Smith
|
287,769
|
9.5%
|
0.31%
|
11
|
6/11/2020
|
|||
Mitsubishi UFJ Securities (USA), Inc
|
252,510
|
8.3%
|
0.26%
|
15
|
6/26/2020
|
|||
ABN AMRO Bank N.V.
|
234,098
|
7.7%
|
0.30%
|
40
|
8/12/2020
|
|||
Cantor Fitzgerald & Co
|
233,541
|
7.7%
|
0.28%
|
40
|
7/14/2020
|
|||
Citigroup Global Markets Inc
|
219,673
|
7.2%
|
0.33%
|
13
|
6/18/2020
|
|||
ASL Capital Markets Inc.
|
209,492
|
6.9%
|
0.25%
|
47
|
7/28/2020
|
|||
J.P. Morgan Securities LLC
|
196,560
|
6.5%
|
0.33%
|
15
|
6/25/2020
|
|||
RBC Capital Markets, LLC
|
187,875
|
6.2%
|
0.27%
|
14
|
6/26/2020
|
|||
ING Financial Markets LLC
|
94,878
|
3.1%
|
0.26%
|
18
|
6/18/2020
|
|||
Daiwa Securities America Inc.
|
80,991
|
2.7%
|
0.32%
|
57
|
8/12/2020
|
|||
Barclays Capital Inc
|
78,290
|
2.6%
|
0.38%
|
12
|
6/12/2020
|
|||
South Street Securities, LLC
|
77,817
|
2.6%
|
0.29%
|
246
|
5/13/2021
|
|||
Lucid Cash Fund USG LLC
|
54,607
|
1.8%
|
0.32%
|
11
|
6/11/2020
|
|||
ED&F Man Capital Markets Inc
|
36,749
|
1.2%
|
0.25%
|
47
|
7/22/2020
|
|||
Bank of Montreal
|
32,157
|
1.1%
|
0.27%
|
11
|
6/11/2020
|
|||
J.V.B. Financial Group, LLC
|
26,639
|
0.9%
|
0.25%
|
22
|
6/22/2020
|
|||
Austin Atlantic Asset Management Co.
|
11,554
|
0.4%
|
0.30%
|
3
|
6/3/2020
|
|||
Mizuho Securities USA, Inc
|
1,339
|
0.0%
|
1.62%
|
23
|
6/23/2020
|
|||
Total Borrowings
|
$
|
3,044,627
|
100.0%
|
0.28%
|
32
|
5/13/2021
|
(1)
|
In May 2020, the Company sold assets with a fair value of approximately $54.4 million, which settle in June 2020 that collateralize
approximately $51.9 million of repurchase agreements included in the table above.
|