8-K
Orchid Island Capital, Inc. (ORC)
View as plain text
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): September 16, 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 September 16, 2020, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company declared a dividend for the month of September 2020 of $0.065 per share to be paid on October 28, 2020 to holders of record on September 30, 2020, with an ex-dividend date of September 29, 2020. In addition, the Company announced certain details of its RMBS portfolio as of August 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 September 16, 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: September 16, 2020 | ORCHID ISLAND CAPITAL, INC. | |
|---|---|---|
| By: | /s/ Robert E. Cauley | |
| Robert E. Cauley | ||
| Chairman and Chief Executive Officer |
ORCHID ISLAND CAPITAL ANNOUNCES
SEPTEMBER2020 MONTHLY DIVIDEND AND
AUGUST31, 2020 RMBS PORTFOLIO CHARACTERISTICS
· September 2020 Monthly Dividend of $0.065 Per Share of Common Stock
· RMBS Portfolio Characteristics as of August 31, 2020
· Next Dividend Announcement Expected October 14, 2020
Vero Beach, Fla., September 16, 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 September 2020. The dividend of $0.065 per share will be paid October 28, 2020, to holders of record of the Company’s common stock on September 30, 2020, with an ex-dividend date of September 29, 2020. The Company plans on announcing its next common stock dividend after the Board’s meeting on October 14, 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 September 16, 2020, the Company had 68,906,465 shares of common stock outstanding. As of August 31, 2020, the Company had 68,214,819 shares of common stock outstanding. As of June 30, 2020, the Company had 66,220,664 shares of common stock outstanding.
RMBSPortfolio Characteristics
Details of the RMBS portfolio as of August 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 | **** | **** | **** | **** | |
| **** | **** | **** | Aug 2020 | Jun - Aug | **** | 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 | Portfolio | **** | Price | Coupon | GWAC | Age | (Months) | in Sep) | in Sep) | **** | (-50 BPS)^(1)^ | **** | (+50 BPS)^(1)^ |
| Pass Through RMBS | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| Post<br> Reset ARM | 932 | $ | 964 | 0.02% | $ | 103.43 | 4.30% | 4.09% | 193 | 168 | 0.00% | 0.00% | $ | 4 | $ | (3) |
| Fixed<br> Rate CMO | 145,144 | 155,431 | 4.02% | 107.09 | 4.00% | 4.40% | 38 | 317 | 20.53% | 19.18% | 324 | (302) | ||||
| 15yr<br> 4.0 | 1,228 | 1,319 | 0.03% | 107.39 | 4.00% | 4.49% | 28 | 138 | 3.58% | 2.59% | 17 | (17) | ||||
| 15yr<br> Total | 1,228 | 1,319 | 0.03% | 107.39 | 4.00% | 4.49% | 28 | 138 | 3.58% | 2.59% | 17 | (17) | ||||
| 20yr<br> 2.5 | 149,402 | 157,549 | 4.08% | 105.45 | 2.50% | 3.34% | 2 | 238 | 3.45% | n/a | (211) | 30 | ||||
| 20yr<br> Total | 149,402 | 157,549 | 4.08% | 105.45 | 2.50% | 3.34% | 2 | 238 | 3.45% | n/a | (211) | 30 | ||||
| 30yr<br> 2.5 | 250,000 | 264,317 | 6.84% | 105.73 | 2.50% | 3.36% | 1 | 359 | 0.00% | n/a | 2,350 | (3,756) | ||||
| 30yr<br> 3.0 | 181,932 | 194,067 | 5.02% | 106.67 | 3.00% | 3.84% | 9 | 349 | 14.21% | 10.17% | 927 | (1,304) | ||||
| 30yr<br> 3.5 | 1,408,624 | 1,551,560 | 40.13% | 110.15 | 3.50% | 3.99% | 10 | 346 | 11.48% | 10.03% | 15,968 | (21,146) | ||||
| 30yr<br> 4.0 | 469,162 | 524,607 | 13.57% | 111.82 | 4.00% | 4.52% | 18 | 337 | 13.89% | 13.82% | 6,940 | (8,134) | ||||
| 30yr<br> 4.5 | 296,626 | 335,290 | 8.67% | 113.03 | 4.50% | 5.01% | 17 | 341 | 20.30% | 19.60% | 3,054 | (3,399) | ||||
| 30yr<br> 5.0 | 152,723 | 173,899 | 4.50% | 113.87 | 5.00% | 5.56% | 26 | 329 | 19.98% | 20.88% | 1,916 | (2,012) | ||||
| 30yr<br> Total | 2,759,067 | 3,043,740 | 78.73% | 110.32 | 3.65% | 4.21% | 12 | 345 | 12.39% | 12.97% | 31,155 | (39,751) | ||||
| Total<br> Pass Through RMBS | 3,055,773 | 3,359,003 | 86.88% | 109.92 | 3.61% | 4.18% | 13 | 338 | 12.33% | 13.35% | 31,289 | (40,043) | ||||
| Structured RMBS | ||||||||||||||||
| Interest-Only<br> Securities | 314,354 | 31,349 | 0.81% | 9.97 | 4.00% | 4.59% | 75 | 272 | 39.64% | 39.27% | (1,212) | 2,400 | ||||
| Total<br> Structured RMBS | 314,354 | 31,349 | 0.81% | 9.97 | 4.00% | 4.59% | 75 | 272 | 39.64% | 39.27% | (1,212) | 2,400 | ||||
| Long TBA Positions | ||||||||||||||||
| FNCI<br> 2.0 TBA | 175,000 | 181,918 | 4.71% | 103.95 | 2.00% | 1,856 | (2,301) | |||||||||
| FNCL<br> 2.5 TBA | 279,000 | 293,865 | 7.60% | 105.33 | 2.50% | 2,912 | (4,196) | |||||||||
| Total<br> Long TBA | 454,000 | 475,783 | 12.31% | 104.80 | 2.31% | 4,768 | (6,497) | |||||||||
| Total<br> Mortgage Assets | 3,824,127 | $ | 3,866,135 | 100.00% | 3.49% | 4.22% | 18 | 332 | 14.88% | 16.48% | $ | 34,845 | $ | (44,140) | ||
| Interest | **** | Interest | ||||||||||||||
| Average | Hedge | Rate | **** | Rate | ||||||||||||
| Notional | Period | Sensitivity | **** | Sensitivity | ||||||||||||
| Hedge | Balance | End | (-50 BPS)^(1)^ | **** | (+50 BPS)^(1)^ | |||||||||||
| Eurodollar<br> Futures | (50,000) | Dec-2021 | (375) | 375 | ||||||||||||
| Swaps | (820,000) | Apr-2025 | (10,824) | 19,590 | ||||||||||||
| 5-Year<br> Treasury Futures | (69,000) | Dec-2020^(2)^ | (2,263) | 2,188 | ||||||||||||
| Swaptions | (667,300) | May-2021 | (3,278) | 4,680 | ||||||||||||
| Hedge Total | (1,606,300) | $ | (16,740) | $ | 26,833 | |||||||||||
| Rate<br> Shock Grand Total | $ | 18,105 | $ | (17,307) |
All values are in US Dollars.
(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 $126.03 at August 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)^ | Portfolio | Asset<br> Category | Value^(1)^ | Portfolio |
| As of<br> August 31, 2020 | **** | **** | As of<br> August 31, 2020 | **** | **** |
| Fannie<br> Mae | 1,984,995 | 58.5% | Non-Whole<br> Pool Assets | 698,379 | 20.6% |
| Freddie<br> Mac | 1,405,357 | 41.5% | Whole<br> Pool Assets | 2,691,973 | 79.4% |
| Total<br> Mortgage Assets | 3,390,352 | 100.0% | Total<br> Mortgage Assets | 3,390,352 | 100.0% |
All values are in US Dollars.
(1) Amounts in the tables above exclude long TBA positions with a market value of approximately $475.8 million.
| Borrowings<br> By Counterparty | |||||
|---|---|---|---|---|---|
| ( in<br> thousands) | |||||
| Weighted | Weighted | **** | |||
| **** | % of | Average | Average | **** | |
| Total | Total | Repo | Maturity | Longest | |
| As of<br> August 31, 2020 | Borrowings | Debt | Rate | in Days | Maturity |
| Mirae<br> Asset Securities (USA) Inc. | 373,441 | 11.6% | 0.25% | 109 | 2/11/2021 |
| Wells<br> Fargo Bank, N.A. | 313,490 | 9.7% | 0.23% | 11 | 9/18/2020 |
| Mitsubishi<br> UFJ Securities (USA), Inc | 292,156 | 9.0% | 0.24% | 20 | 9/28/2020 |
| Merrill<br> Lynch, Pierce, Fenner & Smith | 284,184 | 8.8% | 0.25% | 14 | 9/30/2020 |
| J.P.<br> Morgan Securities LLC | 266,174 | 8.2% | 0.28% | 13 | 10/1/2020 |
| Cantor<br> Fitzgerald & Co | 231,199 | 7.1% | 0.25% | 11 | 9/15/2020 |
| RBC<br> Capital Markets, LLC | 214,643 | 6.6% | 0.23% | 40 | 11/24/2020 |
| ASL<br> Capital Markets Inc. | 205,964 | 6.4% | 0.23% | 46 | 10/28/2020 |
| Citigroup<br> Global Markets Inc | 205,375 | 6.3% | 0.25% | 15 | 9/21/2020 |
| ABN AMRO<br> Bank N.V. | 199,067 | 6.2% | 0.24% | 27 | 10/23/2020 |
| ING<br> Financial Markets LLC | 140,669 | 4.3% | 0.26% | 38 | 10/19/2020 |
| Daiwa<br> Securities America Inc. | 127,730 | 3.9% | 0.24% | 35 | 11/10/2020 |
| ED&F<br> Man Capital Markets Inc | 112,371 | 3.5% | 0.21% | 58 | 11/30/2020 |
| South<br> Street Securities, LLC | 77,304 | 2.4% | 0.28% | 185 | 5/13/2021 |
| Bank<br> of Montreal | 73,195 | 2.3% | 0.25% | 14 | 9/14/2020 |
| Lucid<br> Cash Fund USG LLC | 57,076 | 1.8% | 0.27% | 10 | 9/10/2020 |
| J.V.B.<br> Financial Group, LLC | 26,270 | 0.8% | 0.30% | 45 | 10/15/2020 |
| Barclays<br> Capital Inc | 25,142 | 0.8% | 0.29% | 71 | 11/10/2020 |
| Austin<br> Atlantic Asset Management Co. | 10,072 | 0.3% | 0.30% | 2 | 9/2/2020 |
| Total<br> Borrowings | 3,235,522 | 100.0% | 0.25% | 38 | 5/13/2021 |
All values are in US Dollars.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400