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orc8k20210317
false 0001518621 0001518621 2021-05-12 2021-05-12
 
 
 
 
 
 
 
 
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):
May 12, 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 May 12, 2021, Orchid
 
Island Capital, Inc. (the “Company”)
 
announced that the Board of
 
Directors of the Company declared
a dividend for
 
the month of
 
May 2021 of
 
$0.065 per share
 
of the Company’s
 
common stock to
 
be paid on
 
June 28, 2021
 
to
holders of record
 
on May 28,
 
2021, with an
 
ex-dividend date of
 
May 27, 2021.
 
In addition, the
 
Company announced certain
details of its RMBS portfolio as of
 
April 30, 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: May 12, 2021
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 
 
 
 
 
 

 

ORCHID ISLAND CAPITAL ANNOUNCES

MAY 2021 MONTHLY DIVIDEND AND

APRIL 30, 2021 RMBS PORTFOLIO CHARACTERISTICS

 

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

·         RMBS Portfolio Characteristics as of April 30, 2021

·         Next Dividend Announcement Expected June 15, 2021

 

Vero Beach, Fla., May 12, 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 May 2021. The dividend of $0.065 per share will be paid June 28, 2021, to holders of record of the Company’s common stock on May 28, 2021, with an ex-dividend date of May 27, 2021.  The Company plans on announcing its next common stock dividend on June 15, 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 May 12, 2021, the Company had 95,262,758 shares of common stock outstanding. As of April 30, 2021 and March 31, 2021, the Company had 94,410,960 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of April 30, 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 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apr 2021

Feb - Apr

 

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 May)

in May)

 

(-50 BPS)(2)

 

(+50 BPS)(2)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

234,989

$

248,468

5.85%

$

105.74

2.50%

2.87%

 4  

 172  

4.64%

3.19%

$

3,689

$

(4,483)

15yr 4.0

 

612

 

659

0.02%

 

107.76

4.00%

4.50%

 36  

 120  

8.21%

8.16%

 

7

 

(8)

15yr Total

 

235,601

 

249,127

5.87%

 

105.74

2.50%

2.88%

 5  

 172  

4.65%

3.20%

 

3,696

 

(4,491)

20yr 2.0

 

148,010

 

151,177

3.56%

 

102.14

2.00%

2.87%

 4  

 236  

3.17%

2.38%

 

1,979

 

(3,032)

20yr Total

 

148,010

 

151,177

3.56%

 

102.14

2.00%

2.87%

 4  

 236  

3.17%

2.38%

 

1,979

 

(3,032)

30yr 2.5

 

682,916

 

710,585

16.74%

 

104.05

2.50%

3.46%

 6  

 351  

7.92%

6.27%

 

8,831

 

(15,510)

30yr 3.0

 

1,971,077

 

2,111,209

49.74%

 

107.11

3.00%

3.50%

 5  

 354  

6.94%

8.09%

 

32,952

 

(47,461)

30yr 3.5

 

590,509

 

647,413

15.25%

 

109.64

3.50%

4.00%

 17  

 338  

21.10%

22.63%

 

6,623

 

(11,345)

30yr 4.0

 

178,573

 

200,433

4.72%

 

112.24

4.00%

4.51%

 31  

 322  

20.27%

19.98%

 

3,279

 

(3,861)

30yr 4.5

 

84,955

 

95,643

2.25%

 

112.58

4.50%

5.00%

 23  

 333  

34.25%

32.75%

 

574

 

(1,040)

30yr Total

 

3,508,030

 

3,765,283

88.71%

 

107.33

3.07%

3.66%

 9  

 349  

10.85%

12.90%

 

52,259

 

(79,217)

Total Pass Through RMBS

 

3,891,641

 

4,165,587

98.14%

 

107.04

3.00%

3.59%

 8  

 334  

10.18%

11.49%

 

57,934

 

(86,740)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest-Only Securities

 

496,943

 

74,334

1.75%

 

14.97

3.61%

4.19%

 60  

 288  

29.31%

39.71%

 

(7,132)

 

6,392

Inverse Interest-Only Securities

 

62,791

 

4,619

0.11%

 

7.36

3.79%

4.40%

 44  

 310  

55.23%

42.17%

 

(475)

 

(81)

Total Structured RMBS

 

559,734

 

78,953

1.86%

 

14.11

3.63%

4.21%

 58  

 291  

32.77%

40.26%

 

(7,607)

 

6,311

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

4,451,375

$

4,244,540

100.00%

 

 

3.08%

3.67%

 15  

 328  

12.62%

14.15%

$

50,327

$

(80,429)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

(39,176)

 

39,176

5-Year Treasury Future

 

(269,000)

 

Jun-2021(3)

 

 

 

 

 

 

 

 

 

 

(9,888)

 

7,355

10-Year Treasury Ultra

 

(23,500)

 

Jun-2021(4)

 

 

 

 

 

 

 

 

 

 

(2,449)

 

2,098

TBA

 

(548,000)

 

May-2021

 

 

 

 

 

 

 

 

 

 

(4,356)

 

8,776

Swaptions

 

(244,350)

 

Jun-2022

 

 

 

 

 

 

 

 

 

 

(6,754)

 

6,217

Yield Curve Spread Floor

 

(150,000)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

n/a

 

n/a

Hedge Total

$

(2,639,850)

 

 

 

 

 

 

 

 

 

 

 

$

(62,811)

$

63,810

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(12,484)

$

(16,619)

 

 

(1)    Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 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 $123.94 at April 30, 2021.  The market value of the short position was $333.4 million.

(4)    Ten-year Treasury Ultra futures contracts were valued at prices of $145.55 at April 30, 2021.  The market value of the short position was $34.2 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 April 30, 2021

 

 

 

 

As of April 30, 2021

 

 

 

Fannie Mae

$

3,340,240

78.7%

 

Non-Whole Pool Assets

$

322,417

7.6%

Freddie Mac

 

904,300

21.3%

 

Whole Pool Assets

 

3,922,123

92.4%

Total Mortgage Assets

$

4,244,540

100.0%

 

Total Mortgage Assets

$

4,244,540

100.0%

 

(1)    Amounts in the tables above include assets with a fair value of approximately $15.8 million purchased in April 2021, which settle in May 2021.

 

 

 

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of April 30, 2021

 

Borrowings(1)

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

379,037

 

9.4%

 

0.12%

54

7/12/2021

Mirae Asset Securities (USA) Inc.

 

370,908

 

9.1%

 

0.17%

59

8/5/2021

ASL Capital Markets Inc.

 

345,921

 

8.5%

 

0.13%

50

7/16/2021

J.P. Morgan Securities LLC

 

345,447

 

8.5%

 

0.18%

122

9/7/2021

Mitsubishi UFJ Securities (USA), Inc.

 

329,683

 

8.1%

 

0.17%

49

7/12/2021

RBC Capital Markets, LLC

 

277,217

 

6.8%

 

0.16%

32

7/19/2021

ABN AMRO Bank N.V.

 

224,818

 

5.5%

 

0.15%

61

7/12/2021

Cantor Fitzgerald & Co.

 

216,315

 

5.3%

 

0.15%

33

7/8/2021

Citigroup Global Markets Inc

 

206,872

 

5.1%

 

0.18%

12

5/12/2021

Nomura Securities International, Inc.

 

205,089

 

5.0%

 

0.12%

28

6/18/2021

ED&F Man Capital Markets Inc.

 

204,081

 

5.0%

 

0.15%

85

8/19/2021

Barclays Capital Inc.

 

152,630

 

3.8%

 

0.17%

12

5/12/2021

ING Financial Markets LLC

 

145,001

 

3.6%

 

0.13%

69

7/8/2021

Merril Lynch, Pierce, Fenner & Smith Inc.

 

141,877

 

3.5%

 

0.15%

73

7/14/2021

South Street Securities, LLC

 

103,724

 

2.5%

 

0.23%

79

10/8/2021

Goldman, Sachs & Co. LLC

 

100,655

 

2.5%

 

0.17%

31

7/12/2021

Daiwa Capital Markets America Inc.

 

98,119

 

2.4%

 

0.16%

11

5/12/2021

BMO Capital Markets Corp.

 

89,396

 

2.2%

 

0.13%

75

7/14/2021

Lucid Cash Fund USG LLC

 

49,242

 

1.2%

 

0.17%

13

5/13/2021

Austin Atlantic Asset Management Co.

 

49,157

 

1.2%

 

0.19%

6

5/6/2021

J.V.B. Financial Group, LLC

 

32,945

 

0.8%

 

0.11%

85

7/26/2021

Total Borrowings

$

4,068,134

 

100.0%

 

0.15%

54

10/8/2021

 

(1)    In April 2021, the Company purchased assets with a fair value of approximately $15.8 million, which settle in May 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