8-K
Orchid Island Capital, Inc. (ORC)
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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): August 19, 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 8.01. OTHER EVENTS.
On August 19, 2020, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company declared a dividend for the month of August 2020 of $0.065 per share to be paid on September 28, 2020 to holders of record on August 31, 2020, with an ex-dividend date of August 28, 2020. In addition, the Company announced certain details of its RMBS portfolio as of July 31, 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 | Press Release dated August 19, 2020 |
| 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: August 19, 2020 | ORCHID ISLAND CAPITAL, INC. | |
|---|---|---|
| By: | /s/ Robert E. Cauley | |
| Robert E. Cauley | ||
| Chairman and Chief Executive Officer |
ORCHID ISLAND CAPITAL ANNOUNCES
AUGUST2020 MONTHLY DIVIDEND AND
JULY31, 2020 RMBS PORTFOLIO CHARACTERISTICS
· August 2020 Monthly Dividend of $0.065 Per Share of Common Stock
· RMBS Portfolio Characteristics as of July 31, 2020
· Next Dividend Announcement Expected September 16, 2020
Vero Beach, Fla., August 19, 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 August 2020. The dividend of $0.065 per share will be paid September 28, 2020, to holders of record of the Company’s common stock on August 31, 2020, with an ex-dividend date of August 28, 2020. The Company plans on announcing its next common stock dividend after the Board’s meeting on September 16, 2020.
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 August 19, 2020, the Company had 66,402,329 shares of common stock outstanding. As of July 31, 2020 and June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.
RMBSPortfolio Characteristics
Details of the RMBS portfolio as of July 31, 2020 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
AboutOrchid 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-LookingStatements
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<br> Valuation Characteristics | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ( in<br> thousands) | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | Realized | Realized | **** | **** | **** | **** | |
| **** | **** | **** | Jul 2020 | May - Jul | **** | 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 Aug) | in Aug) | **** | (-50 BPS)^(2)^ | **** | (+50 BPS)^(2)^ |
| Pass Through RMBS | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| Post<br> Reset ARM | 936 | $ | 971 | 0.03% | $ | 103.77 | 4.51% | 4.75% | 191 | 169 | 0.00% | 0.00% | $ | 2 | $ | (2) |
| Fixed<br> Rate CMO | 148,531 | 159,208 | 4.38% | 107.19 | 4.00% | 4.40% | 36 | 319 | 17.73% | 21.73% | 270 | (119) | ||||
| 15yr<br> 4.0 | 1,238 | 1,328 | 0.04% | 107.24 | 4.00% | 4.49% | 27 | 139 | 3.53% | 1.61% | 17 | (17) | ||||
| 15yr<br> Total | 1,238 | 1,328 | 0.04% | 107.24 | 4.00% | 4.49% | 27 | 139 | 3.53% | 1.61% | 17 | (17) | ||||
| 20yr<br> 2.5 | 150,000 | 157,906 | 4.34% | 105.27 | 2.50% | 3.34% | 1 | 239 | 1.24% | n/a | 215 | (453) | ||||
| 20yr<br> Total | 150,000 | 157,906 | 4.34% | 105.27 | 2.50% | 3.34% | 1 | 239 | 1.24% | n/a | 215 | (453) | ||||
| 30yr<br> 3.0 | 356,349 | 380,033 | 10.45% | 106.65 | 3.00% | 3.88% | 7 | 348 | 6.29% | 7.96% | 1,637 | (2,299) | ||||
| 30yr<br> 3.5 | 1,421,763 | 1,563,289 | 42.98% | 109.95 | 3.50% | 4.00% | 9 | 347 | 8.89% | 9.14% | 14,027 | (18,544) | ||||
| 30yr<br> 4.0 | 475,106 | 531,231 | 14.61% | 111.81 | 4.00% | 4.52% | 17 | 339 | 11.90% | 12.40% | 6,459 | (7,589) | ||||
| 30yr<br> 4.5 | 302,397 | 340,954 | 9.37% | 112.75 | 4.50% | 5.01% | 16 | 342 | 18.81% | 17.04% | 2,879 | (3,157) | ||||
| 30yr<br> 5.0 | 156,341 | 177,734 | 4.89% | 113.68 | 5.00% | 5.56% | 25 | 330 | 22.49% | 21.38% | 1,840 | (1,913) | ||||
| 30yr<br> Total | 2,711,956 | 2,993,241 | 82.30% | 110.37 | 3.72% | 4.28% | 12 | 344 | 11.05% | 11.46% | 26,842 | (33,502) | ||||
| Total<br> Pass Through RMBS | 3,012,661 | 3,312,654 | 91.08% | 109.96 | 3.67% | 4.24% | 12 | 338 | 10.87% | 12.06% | 27,346 | (34,093) | ||||
| Structured RMBS | ||||||||||||||||
| Interest-Only<br> Securities | 329,362 | 31,046 | 0.85% | 9.43 | 4.00% | 4.59% | 73 | 273 | 39.79% | 37.73% | (839) | 1,797 | ||||
| Total<br> Structured RMBS | 329,362 | 31,046 | 0.85% | 9.43 | 4.00% | 4.59% | 73 | 273 | 39.79% | 37.73% | (839) | 1,797 | ||||
| Long TBA Positions | ||||||||||||||||
| FNCL<br> 2.5 TBA | 279,000 | 293,386 | 8.07% | 105.16 | 2.50% | 2,165 | (3,069) | |||||||||
| Total<br> Long TBA | 279,000 | 293,386 | 8.07% | 105.16 | 2.50% | 2,165 | (3,069) | |||||||||
| Total<br> Mortgage Assets | 3,621,023 | $ | 3,637,086 | 100.00% | 3.61% | 4.27% | 18 | 331 | 13.81% | 15.06% | $ | 28,672 | $ | (35,365) | ||
| Interest | **** | Interest | ||||||||||||||
| Average | Hedge | Rate | **** | Rate | ||||||||||||
| Notional | Period | Sensitivity | **** | Sensitivity | ||||||||||||
| Hedge | Balance | End | (-50 BPS)^(2)^ | **** | (+50 BPS)^(2)^ | |||||||||||
| Eurodollar<br> Futures | (50,000) | Dec-2021 | (375) | 375 | ||||||||||||
| Swaps | (820,000) | Apr-2025 | (16,509) | 20,785 | ||||||||||||
| 5-Year<br> Treasury Futures | (69,000) | Sep-2020^(3)^ | (2,246) | 2,190 | ||||||||||||
| Swaptions | (666,300) | Oct-2021 | (2,848) | 4,507 | ||||||||||||
| Hedge<br> Total | (1,605,300) | $ | (21,978) | $ | 27,857 | |||||||||||
| Rate<br> Shock Grand Total | $ | 6,694 | $ | (7,508) |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million purchased in July 2020, which settle in August 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 $126.13 at July 31, 2020. The market value of the short position was $87.0 million.
| RMBS<br> Assets by Agency | **** | **** | Investment<br> Company Act of 1940 Whole Pool Test | ||
|---|---|---|---|---|---|
| ( in<br> thousands) | **** | **** | ( in<br> thousands) | **** | **** |
| **** | Percentage | **** | Percentage | ||
| Fair | of | Fair | of | ||
| Asset<br> Category | Value^(1)(2)^ | Portfolio | Asset<br> Category | Value^(1)(2)^ | Portfolio |
| As of<br> July 31, 2020 | **** | **** | As of<br> July 31, 2020 | **** | **** |
| Fannie<br> Mae | 2,072,835 | 62.0% | Non-Whole<br> Pool Assets | 706,208 | 21.1% |
| Freddie<br> Mac | 1,270,865 | 38.0% | Whole<br> Pool Assets | 2,637,492 | 78.9% |
| Total<br> Mortgage Assets | 3,343,700 | 100.0% | Total<br> Mortgage Assets | 3,343,700 | 100.0% |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $110.0 million sold in July 2020, which settle in August 2020.
(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $293.4 million.
| Borrowings<br> By Counterparty | |||||
|---|---|---|---|---|---|
| ( in<br> thousands) | |||||
| Weighted | Weighted | **** | |||
| **** | % of | Average | Average | **** | |
| Total | Total | Repo | Maturity | Longest | |
| As of<br> July 31, 2020 | Borrowings | Debt | Rate | in Days | Maturity |
| Mirae<br> Asset Securities (USA) Inc. | 375,504 | 12.2% | 0.25% | 73 | 1/14/2021 |
| Wells<br> Fargo Bank, N.A. | 320,812 | 10.4% | 0.25% | 12 | 8/19/2020 |
| Merrill<br> Lynch, Pierce, Fenner & Smith | 284,967 | 9.2% | 0.28% | 13 | 8/31/2020 |
| J.P.<br> Morgan Securities LLC | 266,174 | 8.6% | 0.28% | 44 | 10/1/2020 |
| ABN<br> AMRO Bank N.V. | 232,576 | 7.5% | 0.26% | 16 | 8/24/2020 |
| Cantor<br> Fitzgerald & Co | 230,880 | 7.5% | 0.25% | 16 | 9/15/2020 |
| Citigroup<br> Global Markets Inc | 212,205 | 6.9% | 0.28% | 14 | 8/20/2020 |
| RBC<br> Capital Markets, LLC | 208,584 | 6.8% | 0.27% | 16 | 8/24/2020 |
| ASL<br> Capital Markets Inc. | 204,791 | 6.6% | 0.23% | 77 | 10/28/2020 |
| Mitsubishi<br> UFJ Securities (USA), Inc | 189,233 | 6.1% | 0.25% | 45 | 9/25/2020 |
| ING<br> Financial Markets LLC | 141,636 | 4.6% | 0.25% | 18 | 8/19/2020 |
| Daiwa<br> Securities America Inc. | 78,951 | 2.6% | 0.29% | 22 | 9/4/2020 |
| South<br> Street Securities, LLC | 77,304 | 2.5% | 0.28% | 216 | 5/13/2021 |
| Bank<br> of Montreal | 73,269 | 2.4% | 0.25% | 13 | 8/13/2020 |
| ED&F<br> Man Capital Markets Inc | 64,506 | 2.1% | 0.22% | 64 | 10/22/2020 |
| Lucid<br> Cash Fund USG LLC | 58,089 | 1.9% | 0.31% | 13 | 8/13/2020 |
| J.V.B.<br> Financial Group, LLC | 26,270 | 0.9% | 0.30% | 76 | 10/15/2020 |
| Barclays<br> Capital Inc | 25,445 | 0.8% | 0.29% | 10 | 8/10/2020 |
| Austin<br> Atlantic Asset Management Co. | 11,361 | 0.4% | 0.30% | 5 | 8/5/2020 |
| Total<br> Borrowings | 3,082,557 | 100.0% | 0.26% | 37 | 5/13/2021 |
All values are in US Dollars.
Peer Performance
The tables below present total return data for the Company compared to a selected group of peers based on stock price performance for periods through August 14, 2020 and based on book value performance for periods through June 30, 2020.
| Portfolio Total Rate of Return Versus Peer Group Average - Stock Price Performance | |||
|---|---|---|---|
| **** | **** | ORC Spread | |
| **** | ORC | **** | Over / (Under) |
| **** | Total Rate | Peer | Peer |
| **** | of Return^(1)^ | Average^(1)(2)^ | Average^(3)^ |
| Year<br> to Date (1/1/2020 - 8/14/2020) | (2.4)% | (25.4)% | 23.0% |
| One<br> Year Total Return | 3.3% | (16.7)% | 20.0% |
| Two<br> Year Total Return | (12.7)% | (20.1)% | 7.4% |
| Three<br> Year Total Return | (14.2)% | (23.2)% | 9.0% |
| Four<br> Year Total Return | (10.5)% | (15.1)% | 4.6% |
| Five<br> Year Total Return | 22.7% | (3.5)% | 26.2% |
| Six<br> Year Total Return | (5.4)% | (7.0)% | 1.6% |
| Seven<br> Year Total Return | 42.1% | 7.7% | 34.4% |
| Inception<br> to Date (2/13/2013 - 8/14/2020) | 11.3% | (12.1)% | 23.4% |
Source:SEC filings and press releases of the Company and Peer Group
(1) Total rate of return for each period is pulled from Bloomberg COMP page and includes reinvested dividends, for each period noted.
(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, DX, AI and CHMI.
(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.
| Portfolio Total Rate of Return Versus Peer Group Average - Book Value Performance | |||
|---|---|---|---|
| **** | **** | ORC Spread | |
| **** | ORC | **** | Over / (Under) |
| **** | Total Rate | Peer | Peer |
| **** | of Return^(1)^ | Average^(1)(2)^ | Average^(3)^ |
| Year<br> to Date (1/1/2020 - 6/30/2020) | (10.3)% | (20.4)% | 10.1% |
| One<br> Year Total Return | (7.9)% | (14.2)% | 6.3% |
| Two<br> Year Total Return | (10.0)% | (14.4)% | 4.4% |
| Three<br> Year Total Return | (8.0)% | (11.5)% | 3.5% |
| Four<br> Year Total Return | (6.3)% | (8.7)% | 2.4% |
| Five<br> Year Total Return | (4.2)% | (7.4)% | 3.2% |
| Six<br> Year Total Return | 7.4% | (3.7)% | 11.1% |
| Inception<br> to Date (3/31/2013 - 6/30-2020)^(4)^ | 9.2% | (4.3)% | 13.5% |
Source:SEC filings and press releases of the Company and Peer Group
(1) Total rate of return for each period is change in book value per share over the period plus dividends per share declared divided by the book value per share at the beginning of the period.
(2) The peer average is the unweighted, simple, average of the total rate of return for each of the following companies in each respective measurement period: NLY, AGNC, ANH, CMO, ARR, DX, AI and CHMI.
(3) Represents the total rate of return for the Company minus peer average in each respective measurement period.
(4) Peer book values are not available for the Company’s true inception date (2/13/2013). Because all peer book values are not available as of the Company’s true inception date (2/13/2013), the starting point for all of the peer companies is 3/31/2013.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400