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orc8k20210317
false 0001518621 0001518621 2021-03-17 2021-03-17
 
 
 
 
 
 
 
 
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):
March 17, 2021
 
 
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 March
 
17, 2021,
 
Orchid Island
 
Capital, Inc.
 
(the “Company”)
 
announced that
 
the Board
 
of Directors
 
of the
 
Company
declared a dividend for the month of March 2021 of $0.065 per share of the Company’s
 
common stock to be paid on April 28,
2021 to holders of record
 
on March 31, 2021,
 
with an ex-dividend date of
 
March 30, 2021. In
 
addition, the Company announced
certain details of its RMBS
 
portfolio as of February
 
28, 2021 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 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 most
 
recent Annual
 
Report on
 
Form 10
 
-K for
 
the fiscal
 
year ended
 
December 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: March 17, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 
 
 
 
 
 

 

ORCHID ISLAND CAPITAL ANNOUNCES

MARCH 2021 MONTHLY DIVIDEND AND

FEBRUARY 28, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

·        March 2021 Monthly Dividend of $0.065 Per Share of Common Stock

·        RMBS Portfolio Characteristics as of February 28, 2021

·        Next Dividend Announcement Expected April 14, 2021

 

Vero Beach, Fla., March 17, 2021 - 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 March 2021. The dividend of $0.065 per share will be paid April 28, 2021, to holders of record of the Company’s common stock on March 31, 2021, with an ex-dividend date of March 30, 2021.  The Company plans on announcing its next common stock dividend on April 14, 2021.

 

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 March 17, 2021, the Company had 94,321,365 shares of common stock outstanding. As of February 28, 2021, the Company had 85,121,365 shares of common stock outstanding. As of December 31, 2020, the Company had 76,073,317 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of February 28, 2021 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, 2020.

 

 

 

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Feb 2021

Dec - Feb

 

Modeled

 

Modeled

 

 

 

 

 

 

 

 

Net

 

 

Weighted

CPR

2021 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 Mar)

in Mar)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

238,175

$

253,790

6.55%

$

106.56

2.50%

2.87%

 2  

 174  

2.41%

n/a

$

4,295

$

(4,998)

15yr 4.0

 

629

 

676

0.02%

 

107.58

4.00%

4.50%

 34  

 122  

8.05%

18.57%

 

8

 

(9)

15yr Total

 

238,804

 

254,466

6.56%

 

106.56

2.50%

2.88%

 3  

 174  

2.43%

18.57%

 

4,303

 

(5,007)

20yr 2.0

 

395,950

 

407,705

10.52%

 

102.97

2.00%

2.86%

 3  

 237  

3.26%

3.22%

 

6,322

 

(8,905)

20yr Total

 

395,950

 

407,705

10.52%

 

102.97

2.00%

2.86%

 3  

 237  

3.26%

3.22%

 

6,322

 

(8,905)

30yr 2.5

 

1,231,466

 

1,287,446

33.21%

 

104.55

2.50%

3.31%

 4  

 354  

4.52%

4.19%

 

25,433

 

(34,380)

30yr 3.0

 

846,209

 

919,714

23.72%

 

108.69

3.00%

3.48%

 6  

 353  

6.67%

7.14%

 

21,029

 

(24,742)

30yr 3.5

 

607,218

 

668,872

17.25%

 

110.15

3.50%

4.00%

 15  

 339  

19.91%

19.18%

 

10,390

 

(14,645)

30yr 4.0

 

176,155

 

198,298

5.11%

 

112.57

4.00%

4.51%

 30  

 322  

15.26%

19.26%

 

3,839

 

(4,375)

30yr 4.5

 

90,796

 

102,649

2.65%

 

113.05

4.50%

5.00%

 21  

 335  

30.97%

29.10%

 

1,142

 

(1,622)

30yr Total

 

2,951,844

 

3,176,979

81.94%

 

107.63

3.00%

3.62%

 9  

 348  

9.76%

10.92%

 

61,833

 

(79,764)

Total Pass Through RMBS

 

3,586,598

 

3,839,150

99.02%

 

107.04

2.86%

3.49%

 8  

 324  

8.55%

10.20%

 

72,458

 

(93,676)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

238,355

 

33,354

0.86%

 

13.99

3.98%

4.57%

 80  

 265  

35.64%

40.44%

 

(3,881)

 

3,642

Inverse Interest-Only Securities

 

69,363

 

4,644

0.12%

 

6.69

3.74%

4.40%

 42  

 312  

27.54%

n/a

 

(214)

 

(264)

Total Structured RMBS

 

307,718

 

37,998

0.98%

 

12.35

3.93%

4.53%

 71  

 276  

33.81%

40.44%

 

(4,095)

 

3,378

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

3,894,316

$

3,877,148

100.00%

 

 

2.94%

3.57%

 13  

 320  

10.55%

12.71%

$

68,363

$

(90,298)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Eurodollar Futures

$

(50,000)

 

Dec-2021

 

 

 

 

 

 

 

 

 

$

(250)

$

250

Swaps

 

(855,000)

 

Apr-2026

 

 

 

 

 

 

 

 

 

 

(22,245)

 

22,245

5-Year Treasury Future

 

(69,000)

 

Mar-2021(2)

 

 

 

 

 

 

 

 

 

 

(2,200)

 

2,226

TBA

 

(828,000)

 

Feb-2021

 

 

 

 

 

 

 

 

 

 

(11,826)

 

17,986

Swaptions

 

(725,350)

 

Feb-2022

 

 

 

 

 

 

 

 

 

 

(5,564)

 

8,405

Yield Curve Spread Floor

 

(150,000)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

n/a

Hedge Total

$

(2,677,350)

 

 

 

 

 

 

 

 

 

 

 

$

(42,085)

$

51,112

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

26,278

$

(39,186)

 

 

 

(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 $123.97 at February 28, 2021.  The market value of the short position was $85.5 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 February 28, 2021

 

 

 

 

As of February 28, 2021

 

 

 

Fannie Mae

$

3,074,228

79.3%

 

Non-Whole Pool Assets

$

541,319

14.0%

Freddie Mac

 

802,920

20.7%

 

Whole Pool Assets

 

3,335,829

86.0%

Total Mortgage Assets

$

3,877,148

100.0%

 

Total Mortgage Assets

$

3,877,148

100.0%

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of February 28, 2021

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Mirae Asset Securities (USA) Inc.

$

383,034

 

10.3%

 

0.19%

93

8/5/2021

J.P. Morgan Securities LLC

 

382,688

 

10.2%

 

0.24%

28

7/21/2021

Mitsubishi UFJ Securities (USA), Inc

 

337,701

 

9.0%

 

0.22%

48

4/26/2021

Wells Fargo Bank, N.A.

 

335,569

 

8.9%

 

0.20%

36

4/23/2021

ASL Capital Markets Inc.

 

256,287

 

6.8%

 

0.18%

31

4/26/2021

RBC Capital Markets, LLC

 

227,580

 

6.1%

 

0.18%

74

5/24/2021

Cantor Fitzgerald & Co

 

223,019

 

5.9%

 

0.18%

59

5/13/2021

Citigroup Global Markets Inc

 

213,195

 

5.7%

 

0.18%

73

5/12/2021

Nomura Securities International, Inc.

 

209,661

 

5.6%

 

0.18%

58

5/13/2021

ED&F Man Capital Markets Inc

 

209,572

 

5.6%

 

0.20%

90

8/19/2021

Barclays Capital Inc

 

156,183

 

4.2%

 

0.18%

12

3/12/2021

Merrill Lynch, Pierce, Fenner & Smith

 

146,184

 

3.9%

 

0.19%

11

3/11/2021

ING Financial Markets LLC

 

123,519

 

3.3%

 

0.21%

45

4/14/2021

Daiwa Securities America Inc.

 

100,971

 

2.7%

 

0.19%

13

3/16/2021

ABN AMRO Bank N.V.

 

89,213

 

2.4%

 

0.18%

12

3/12/2021

South Street Securities, LLC

 

79,132

 

2.1%

 

0.26%

63

5/13/2021

Goldman, Sachs & Co.

 

75,447

 

2.0%

 

0.18%

78

5/17/2021

Bank of Montreal

 

65,733

 

1.8%

 

0.18%

11

3/11/2021

Lucid Cash Fund USG LLC

 

50,423

 

1.3%

 

0.23%

11

3/11/2021

Austin Atlantic Asset Management Co.

 

50,386

 

1.3%

 

0.21%

5

3/5/2021

J.V.B. Financial Group, LLC

 

34,319

 

0.9%

 

0.20%

55

4/26/2021

Total Borrowings

$

3,749,816

 

100.0%

 

0.20%

49

8/19/2021

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400