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orc8k20210317
false 0001518621 0001518621 2021-04-14 2021-04-14
 
 
 
 
 
 
 
 
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):
April 14, 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 2.02. RESULTS
 
OF OPERATIONS
 
AND FINANCIAL CONDITION.
 
 
On April 14, 2021
 
,
 
Orchid Island Capital, Inc.
 
(the “Company”) announced
 
its estimated book value
 
of $4.94 per share
 
as of
March 31, 2021,
 
certain details of its RMBS portfolio as of March
 
31, 2021,
 
and estimated GAAP net loss per share of
 
$0.34,
including an
 
estimated $0.60
 
per share
 
of net
 
realized and
 
unrealized losses,
 
for the
 
quarter ended
 
March 31,
 
2021. These
figures and the estimated net
 
book value per share and
 
estimated GAAP net loss 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 April 14, 2021, the Company announced
 
that the Board of Directors of the Company
 
declared a dividend for the month of
April 2021 of $0.065 per share of the Company’s
 
common stock to be paid on May 26, 2021 to
 
holders of record on April 30,
2021, with an ex-dividend
 
date of April 29,
 
2021. In addition, the
 
Company announced certain
 
details of its RMBS
 
portfolio
as of March
 
31, 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. 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, 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: April 14, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 
 
 
 
 
 

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

ESTIMATED FIRST QUARTER 2021 RESULTS,

APRIL 2021 MONTHLY DIVIDEND AND

MARCH 31, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

·        April 2021 Monthly Dividend of $0.065 Per Share

·        Estimated Book Value Per Share as of March 31, 2021 of $4.94

·        Estimated GAAP net loss of $0.34 per share for the quarter ended March 31, 2021, including an estimated $0.60 per share of net realized and unrealized losses on RMBS and derivative instruments

·        Estimated (6.0)% total return on equity for the quarter

·        Estimated book value, net loss 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 March 31, 2021

·         Next Dividend Announcement Expected May 12, 2021

 

Vero Beach, Fla., April 14, 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 April 2021. The dividend of $0.065 per share will be paid May 26, 2021 to holders of record on April 30, 2021, with an ex-dividend date of April 29, 2021. The Company plans on announcing its next dividend after the Board’s meeting on May 12, 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 April 14, 2021 and March 31, 2021, the Company had 94,410,960 shares of common stock outstanding. As of December 31, 2020, the Company had 76,073,317 shares of common stock outstanding.

 

Estimated March 31, 2021 Book Value Per Share

 

The Company’s estimated book value per share as of March 31, 2021 was $4.94.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At March 31, 2021, the Company's preliminary estimated total stockholders' equity was approximately $466.2 million with 94,410,960 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 Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

 

The Company estimates it generated a net loss per share of $0.34, which includes $0.60 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended March 31, 2021.  These amounts compare to total dividends declared during the quarter of $0.195 per share.  Net loss 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 loss. 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 March 31, 2021 was (6.0)%. 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 $(0.325) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.52 from December 31, 2020.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of March 31, 2021 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 March 31, 2021, 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 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 and the expected funding of purchased assets. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mar 2021

Jan - Mar

 

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(1)

Portfolio

 

Price

Coupon

GWAC

Age

(Months)

in Apr)

in Apr)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

236,589

$

249,068

5.74%

$

105.27

2.50%

2.87%

 3  

 173  

2.49%

2.58%

$

4,298

$

(4,917)

15yr 4.0

 

620

 

668

0.02%

 

107.72

4.00%

4.50%

 35  

 121  

8.23%

13.69%

 

8

 

(9)

15yr Total

 

237,209

 

249,736

5.76%

 

105.28

2.50%

2.88%

 4  

 173  

2.51%

2.61%

 

4,306

 

(4,926)

20yr 2.0

 

148,817

 

151,037

3.48%

 

101.49

2.00%

2.87%

 3  

 237  

2.72%

1.60%

 

2,645

 

(3,469)

20yr Total

 

148,817

 

151,037

3.48%

 

101.49

2.00%

2.87%

 3  

 237  

2.72%

1.60%

 

2,645

 

(3,469)

30yr 2.5

 

1,075,521

 

1,107,883

25.54%

 

103.01

2.50%

3.36%

 5  

 353  

7.48%

5.08%

 

20,906

 

(28,734)

30yr 3.0

 

1,731,780

 

1,847,507

42.58%

 

106.68

3.00%

3.51%

 4  

 355  

5.88%

7.23%

 

37,904

 

(47,815)

30yr 3.5

 

594,616

 

648,660

14.95%

 

109.09

3.50%

4.00%

 16  

 338  

25.60%

20.87%

 

9,711

 

(13,677)

30yr 4.0

 

173,450

 

193,855

4.47%

 

111.76

4.00%

4.51%

 31  

 321  

23.10%

20.19%

 

3,603

 

(4,090)

30yr 4.5

 

87,902

 

99,054

2.28%

 

112.69

4.50%

5.00%

 22  

 334  

31.30%

29.77%

 

961

 

(1,467)

30yr Total

 

3,663,269

 

3,896,959

89.82%

 

106.38

3.02%

3.63%

 8  

 349  

11.27%

10.91%

 

73,085

 

(95,783)

Total Pass Through RMBS

 

4,049,295

 

4,297,732

99.06%

 

106.14

2.95%

3.56%

 8  

 335  

10.40%

9.95%

 

80,036

 

(104,178)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

228,272

 

35,521

0.82%

 

15.34

3.98%

4.57%

 81  

 264  

45.08%

40.28%

 

(4,784)

 

4,207

Inverse Interest-Only Securities

 

66,732

 

5,283

0.12%

 

7.91

3.77%

4.40%

 43  

 311  

40.37%

n/a

 

(293)

 

(316)

Total Structured RMBS

 

295,004

 

40,804

0.94%

 

13.83

3.93%

4.53%

 72  

 275  

44.02%

40.28%

 

(5,077)

 

3,891

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

4,344,299

$

4,338,536

100.00%

 

 

3.02%

3.62%

 12  

 331  

12.79%

12.05%

$

74,959

$

(100,287)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

$

(188)

$

188

Swaps

 

(1,355,000)

 

Dec-2026

 

 

 

 

 

 

 

 

 

 

(39,062)

 

39,062

5-Year Treasury Future

 

(69,000)

 

Jun-2021(3)

 

 

 

 

 

 

 

 

 

 

(2,525)

 

1,878

TBA

 

(1,312,000)

 

Apr-2021

 

 

 

 

 

 

 

 

 

 

(17,275)

 

26,628

Swaptions

 

(244,350)

 

Jun-2022

 

 

 

 

 

 

 

 

 

 

(7,209)

 

6,377

Yield Curve Spread Floor

 

(150,000)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

n/a

Hedge Total

$

(3,180,350)

 

 

 

 

 

 

 

 

 

 

 

$

(66,259)

$

74,133

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

8,700

$

(26,154)

 

 

 

(1)    Amounts in the tables above include assets with a fair value of approximately $211.4 million purchased in March 2021, which settle in April 2021, and exclude assets with a fair value of approximately $154.8 million sold in March 2021, which settle in April 2021.

(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 $123.40 at March 31, 2021.  The market value of the short position was $85.1 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 March 31, 2021

 

 

 

 

As of March 31, 2021

 

 

 

Fannie Mae

$

3,439,588

79.3%

 

Non-Whole Pool Assets

$

285,161

6.6%

Freddie Mac

 

898,948

20.7%

 

Whole Pool Assets

 

4,053,375

93.4%

Total Mortgage Assets

$

4,338,536

100.0%

 

Total Mortgage Assets

$

4,338,536

100.0%

 

(1)    Amounts in the tables above include assets with a fair value of approximately $211.4 million purchased in March 2021, which settle in April 2021, and exclude assets with a fair value of approximately $154.8 million sold in March 2021, which settle in April 2021.

 

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of March 31, 2021

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

404,494

 

9.7%

 

0.17%

14

4/23/2021

Mirae Asset Securities (USA) Inc.

 

382,677

 

9.2%

 

0.19%

62

8/5/2021

J.P. Morgan Securities LLC

 

368,853

 

8.8%

 

0.18%

152

9/7/2021

ASL Capital Markets Inc.

 

353,065

 

8.4%

 

0.15%

25

5/14/2021

Mitsubishi UFJ Securities (USA), Inc.

 

338,980

 

8.1%

 

0.22%

18

4/26/2021

RBC Capital Markets, LLC

 

279,377

 

6.7%

 

0.17%

37

5/24/2021

ABN AMRO Bank N.V.

 

226,566

 

5.4%

 

0.15%

35

6/11/2021

Cantor Fitzgerald & Co.

 

223,019

 

5.3%

 

0.18%

28

5/13/2021

Citigroup Global Markets Inc

 

213,195

 

5.1%

 

0.18%

42

5/12/2021

Nomura Securities International, Inc.

 

209,661

 

5.0%

 

0.18%

27

5/13/2021

ED&F Man Capital Markets Inc.

 

209,572

 

5.0%

 

0.20%

59

8/19/2021

Barclays Capital Inc.

 

152,630

 

3.6%

 

0.17%

42

5/12/2021

ING Financial Markets LLC

 

148,152

 

3.5%

 

0.20%

13

4/14/2021

Merrill Lynch, Pierce, Fenner & Smith Inc.

 

144,398

 

3.5%

 

0.17%

14

4/14/2021

South Street Securities, LLC

 

104,768

 

2.5%

 

0.24%

64

9/13/2021

Goldman Sachs & Co. LLC

 

100,860

 

2.4%

 

0.17%

38

5/17/2021

Daiwa Capital Markets America Inc.

 

98,315

 

2.4%

 

0.16%

37

5/12/2021

BMO Capital Markets Corp.

 

90,021

 

2.2%

 

0.15%

14

4/14/2021

Austin Atlantic Asset Management Co.

 

49,470

 

1.2%

 

0.19%

1

4/1/2021

Lucid Cash Fund USG LLC

 

49,289

 

1.2%

 

0.22%

15

4/15/2021

J.V.B. Financial Group, LLC

 

34,319

 

0.8%

 

0.20%

24

4/26/2021

Total Borrowings

$

4,181,680

 

100.0%

 

0.18%

43

9/13/2021

 

(1)    In March 2021, the Company sold assets with a fair value of approximately $154.8 million, which settle in April 2021 that collateralize approximately $149.1 million of repurchase agreements included in the table above. In March 2021, the Company purchased assets with a fair value of approximately $211.4 million, which settle in April 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400