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ORC 8-K 2020-10-14
false 0001518621 ☐ ☐ ☐ ☐ ☐ 0001518621 2020-10-14 2020-10-14
 
 
 
 
 
 
 
 
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):
October 14, 2020
 
 
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 October 14, 2020, Orchid Island Capital, Inc. (the
 
“Company”) announced its preliminary book value of $5.44 per share
as of
 
September 30, 2020, certain details of its RMBS portfolio as of
 
September 30, 2020, and preliminary net income of
$0.42 per share and preliminary realized and unrealized
 
gains of $0.09 per share for the quarter ended September
 
30, 2020.
These figures and the estimated net book value per share
 
are preliminary, subject to change,
 
and subject to review by the
Company's independent registered public accounting
 
firm. 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.
 
 
ITEM 8.01.
 
OTHER EVENTS.
 
 
On October 14, 2020, the Company announced
 
that the Board of Directors of the Company
 
declared a dividend for the month
of October 2020 of
 
$0.065 per share to
 
be paid on November
 
25, 2020 to holders
 
of record on October
 
30, 2020, with an
 
ex-
dividend date of October 29, 2020. In addition, the Company announced certain details of its RMBS portfolio as of September
30, 2020 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 most recent Annual Report
 
on Form 10-K for the fiscal
year ended December 31, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.
 
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: October 14, 2020
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 
 
 
 
 
 

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

ESTIMATED THIRD QUARTER 2020 RESULTS,

OCTOBER 2020 MONTHLY DIVIDEND AND

SEPTEMBER 30, 2020 RMBS PORTFOLIO CHARACTERISTICS

 

·        October 2020 Monthly Dividend of $0.065 Per Share

·        Estimated Book Value Per Share as of September 30, 2020 of $5.44

·        Estimated GAAP net income of $0.42 per share for the quarter ended September 30, 2020, including an estimated $0.09 per share of net realized and unrealized gains on RMBS and derivative instruments

·        Estimated 7.9% total return on equity for the quarter

·        Estimated book value, net income 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 September 30, 2020

·         Next Dividend Announcement Expected November 12, 2020

 

Vero Beach, Fla., October 14, 2020 - 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 October 2020. The dividend of $0.065 per share will be paid November 25, 2020 to holders of record on October 30, 2020, with an ex-dividend date of October 29, 2020. The Company plans on announcing its next dividend after the Board’s meeting on November 12, 2020.

 

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 October 14, 2020, and September 30, 2020, the Company had 69,295,962 shares outstanding. At June 30, 2020, the Company had 66,220,664 shares outstanding.

 

Estimated September 30, 2020 Book Value Per Share

 

The Company’s estimated book value per share as of September 30, 2020 was $5.44.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2020, the Company's preliminary estimated total stockholders' equity was approximately $376.7 million with 69,295,962 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 Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

 

The Company estimates it generated net income per share of $0.42, which includes $0.09 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended September 30, 2020.  These amounts compare to total dividends declared during the quarter of $0.19 per share.  Net income 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 income. 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 September 30, 2020 was 7.9%. 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 $0.41 per share, comprised of dividends per share of $0.19 and an increase in book value per share of $0.22 from June 30, 2020.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of September 30, 2020 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 September 30, 2020, 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 issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOs, 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, 2019 and Quarterly Report on Form 10-Q for the three months ended March 31, 2020.

 

 

 

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sep 2020

Jul - Sep

 

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 Oct)

in Oct)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Post Reset ARM

$

928

$

960

0.02%

$

103.49

3.64%

3.84%

 194  

 167  

0.00%

0.00%

$

4

$

(3)

Fixed Rate CMO

 

141,260

 

151,111

3.84%

 

106.97

4.00%

4.40%

 39  

 316  

28.88%

22.56%

 

(141)

 

91

15yr 4.0

 

1,217

 

1,319

0.03%

 

108.36

4.00%

4.49%

 29  

 137  

99.88%

89.58%

 

13

 

(12)

15yr Total

 

1,217

 

1,319

0.03%

 

108.36

4.00%

4.49%

 29  

 137  

99.88%

89.58%

 

13

 

(12)

20yr 2.5

 

148,522

 

155,962

3.97%

 

105.01

2.50%

3.34%

 3  

 237  

6.51%

3.76%

 

370

 

(674)

20yr Total

 

148,522

 

155,962

3.97%

 

105.01

2.50%

3.34%

 3  

 237  

6.51%

3.76%

 

370

 

(674)

30yr 2.5

 

249,737

 

263,182

6.69%

 

105.38

2.50%

3.36%

 2  

 358  

7.94%

n/a

 

1,769

 

(3,371)

30yr 3.0

 

281,234

 

303,919

7.73%

 

108.07

3.00%

3.71%

 7  

 352  

12.88%

10.31%

 

3,487

 

(4,583)

30yr 3.5

 

1,466,583

 

1,619,320

41.18%

 

110.41

3.50%

3.99%

 10  

 346  

13.44%

12.14%

 

14,781

 

(20,480)

30yr 4.0

 

462,535

 

520,169

13.23%

 

112.46

4.00%

4.52%

 19  

 336  

21.43%

16.04%

 

6,207

 

(7,260)

30yr 4.5

 

285,023

 

323,387

8.22%

 

113.46

4.50%

5.01%

 16  

 341  

20.54%

20.06%

 

2,659

 

(2,966)

30yr 5.0

 

149,517

 

170,242

4.33%

 

113.86

5.00%

5.56%

 27  

 328  

27.98%

24.27%

 

1,774

 

(1,850)

30yr Total

 

2,894,629

 

3,200,219

81.39%

 

110.56

3.62%

4.17%

 12  

 345  

15.74%

14.48%

 

30,677

 

(40,510)

Total Pass Through RMBS

 

3,186,556

 

3,509,571

89.25%

 

110.14

3.59%

4.15%

 13  

 338  

15.93%

14.34%

 

30,923

 

(41,108)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

300,143

 

30,796

0.78%

 

10.26

4.00%

4.60%

 76  

 270  

41.23%

40.44%

 

(2,467)

 

4,335

Total Structured RMBS

 

300,143

 

30,796

0.78%

 

10.26

4.00%

4.60%

 76  

 270  

41.23%

40.44%

 

(2,467)

 

4,335

Long TBA Positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FNCI 2.0 TBA

 

175,000

 

181,918

4.63%

 

103.95

2.00%

 

 

 

 

 

 

1,535

 

(1,985)

FNCL 2.5 TBA

 

200,000

 

209,813

5.34%

 

104.91

2.50%

 

 

 

 

 

 

1,716

 

(2,898)

Total Long TBA

 

375,000

 

391,731

9.96%

 

104.46

2.27%

 

 

 

 

 

 

3,251

 

(4,883)

Total Mortgage Assets

$

3,861,699

$

3,932,098

100.00%

 

 

3.49%

4.18%

 18  

 332  

18.17%

16.99%

$

31,707

$

(41,656)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

(313)

 

313

Swaps

 

(820,000)

 

Apr-2025

 

 

 

 

 

 

 

 

 

 

(9,805)

 

19,593

5-Year Treasury Futures

 

(69,000)

 

Dec-2020(3)

 

 

 

 

 

 

 

 

 

 

(1,913)

 

2,524

Swaptions

 

(667,300)

 

May-2021

 

 

 

 

 

 

 

 

 

 

(2,563)

 

4,462

Hedge Total

$

(1,606,300)

 

 

 

 

 

 

 

 

 

 

 

$

(14,594)

$

26,892

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

17,113

$

(14,764)

 

 

 

(1)    Amounts in the tables above include assets with a fair value of approximately $113.5 million purchased in September 2020, which settle in October 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 $126.03 at September 30, 2020.  The market value of the short position was $87.0 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 September 30, 2020

 

 

 

 

As of September 30, 2020

 

 

 

Fannie Mae

$

2,151,928

60.8%

 

Non-Whole Pool Assets

$

687,363

19.4%

Freddie Mac

 

1,388,439

39.2%

 

Whole Pool Assets

 

2,853,004

80.6%

Total Mortgage Assets

$

3,540,367

100.0%

 

Total Mortgage Assets

$

3,540,367

100.0%

 

(1)    Amounts in the tables above include assets with a fair value of approximately $113.5 million purchased in September 2020, which settle in October 2020.

(2)    Amounts in the tables above exclude long TBA positions with a market value of approximately $391.7 million.

 

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of September 30, 2020

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

373,441

 

11.3%

 

0.25%

79

2/11/2021

Wells Fargo Bank, N.A.

 

309,449

 

9.4%

 

0.23%

12

10/19/2020

Mitsubishi UFJ Securities (USA), Inc

 

283,239

 

8.6%

 

0.25%

62

1/26/2021

Merrill Lynch, Pierce, Fenner & Smith

 

282,384

 

8.6%

 

0.25%

74

12/14/2020

J.P. Morgan Securities LLC

 

259,594

 

7.9%

 

0.25%

160

3/12/2021

Cantor Fitzgerald & Co

 

227,378

 

6.9%

 

0.24%

90

1/8/2021

RBC Capital Markets, LLC

 

212,510

 

6.5%

 

0.22%

27

11/24/2020

ASL Capital Markets Inc.

 

205,964

 

6.3%

 

0.23%

16

10/28/2020

Citigroup Global Markets Inc

 

202,473

 

6.2%

 

0.24%

15

10/21/2020

ABN AMRO Bank N.V.

 

197,502

 

6.0%

 

0.23%

16

10/23/2020

ED&F Man Capital Markets Inc

 

192,187

 

5.9%

 

0.22%

77

1/14/2021

ING Financial Markets LLC

 

140,413

 

4.3%

 

0.25%

19

10/19/2020

Daiwa Securities America Inc.

 

127,270

 

3.9%

 

0.25%

74

1/15/2021

South Street Securities, LLC

 

77,304

 

2.4%

 

0.28%

155

5/13/2021

Bank of Montreal

 

72,642

 

2.2%

 

0.24%

72

12/11/2020

Lucid Cash Fund USG LLC

 

56,314

 

1.7%

 

0.28%

15

10/15/2020

J.V.B. Financial Group, LLC

 

26,270

 

0.8%

 

0.30%

15

10/15/2020

Barclays Capital Inc

 

25,142

 

0.8%

 

0.29%

41

11/10/2020

Austin Atlantic Asset Management Co.

 

9,827

 

0.3%

 

0.30%

7

10/7/2020

Total Borrowings

$

3,281,303

 

100.0%

 

0.24%

60

5/13/2021

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400