8-K
Orchid Island Capital, Inc. (ORC)
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):
November 12, 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 November 12, 2020,
Orchid Island Capital, Inc.
(the “Company”) announced that
the Board of Directors
of the Company
declared a dividend for the month of November 2020 of
$0.065 per share to be paid on December
29, 2020 to holders of record
on November 30, 2020, with
an ex-dividend date of November
27, 2020. In addition, the
Company announced certain details
of its RMBS
portfolio as
of October
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 November 12, 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: November 12, 2020
ORCHID ISLAND CAPITAL,
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHID ISLAND CAPITAL ANNOUNCES
NOVEMBER2020 MONTHLY DIVIDEND AND
OCTOBER31, 2020 RMBS PORTFOLIO CHARACTERISTICS
· November 2020 Monthly Dividend of $0.065 Per Share of Common Stock
· RMBS Portfolio Characteristics as of October 31, 2020
· Next Dividend Announcement Expected December 15, 2020
Vero Beach, Fla., November 12, 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 November 2020. The dividend of $0.065 per share will be paid December 29, 2020, to holders of record of the Company’s common stock on November 30, 2020, with an ex-dividend date of November 27, 2020. The Company plans on announcing its next common stock dividend on December 15, 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 November 12, 2020, October 31, 2020 and September 30, 2020, the Company had 69,295,962 shares of common stock outstanding.
RMBSPortfolio Characteristics
Details of the RMBS portfolio as of October 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 | **** | **** | **** | **** | |
| **** | **** | **** | Oct 2020 | Aug - Oct | **** | 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 Nov) | in Nov) | **** | (-50 BPS)^(2)^ | **** | (+50 BPS)^(2)^ |
| Pass Through RMBS | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| Post<br> Reset ARM | 924 | $ | 956 | 0.02% | $ | 103.50 | 3.39% | 3.84% | 195 | 166 | 65.71% | 51.63% | $ | 3 | $ | (2) |
| Fixed<br> Rate CMO | 135,894 | 145,172 | 3.60% | 106.83 | 4.00% | 4.40% | 40 | 315 | 11.02% | 20.49% | (86) | (137) | ||||
| 15yr<br> 4.0 | 692 | 742 | 0.02% | 107.24 | 4.00% | 4.49% | 30 | 125 | 6.41% | 89.68% | 7 | (8) | ||||
| 15yr<br> Total | 692 | 742 | 0.02% | 107.24 | 4.00% | 4.49% | 30 | 125 | 6.41% | 89.68% | 7 | (8) | ||||
| 20yr<br> 2.0 | 100,000 | 103,397 | 2.56% | 103.40 | 2.00% | 2.88% | 1 | 239 | 0.70% | 6.16% | 984 | (1,646) | ||||
| 20yr<br> 2.5 | 147,250 | 153,647 | 3.81% | 104.34 | 2.50% | 3.34% | 4 | 236 | 8.46% | 4.30% | 579 | (1,151) | ||||
| 20yr<br> Total | 247,250 | 257,044 | 6.37% | 103.96 | 2.30% | 3.15% | 3 | 237 | 5.32% | 4.99% | 1,563 | (2,797) | ||||
| 30yr<br> 2.5 | 247,618 | 259,497 | 6.43% | 104.80 | 2.50% | 3.36% | 3 | 357 | 5.44% | n/a | 2,245 | (4,152) | ||||
| 30yr<br> 3.0 | 605,480 | 662,434 | 16.42% | 109.41 | 3.00% | 3.56% | 4 | 355 | 17.76% | 18.52% | 11,463 | (14,265) | ||||
| 30yr<br> 3.5 | 1,446,206 | 1,600,002 | 39.66% | 110.63 | 3.50% | 3.99% | 11 | 345 | 15.02% | 13.74% | 15,437 | (22,471) | ||||
| 30yr<br> 4.0 | 204,193 | 229,733 | 5.69% | 112.51 | 4.00% | 4.52% | 27 | 327 | 20.09% | 17.83% | 3,632 | (4,114) | ||||
| 30yr<br> 4.5 | 279,005 | 316,470 | 7.84% | 113.43 | 4.50% | 5.01% | 17 | 340 | 21.57% | 21.15% | 2,703 | (3,212) | ||||
| 30yr<br> 5.0 | 46,897 | 53,024 | 1.31% | 113.06 | 5.00% | 5.65% | 33 | 321 | 23.95% | 28.06% | 480 | (486) | ||||
| 30yr<br> Total | 2,829,399 | 3,121,160 | 77.37% | 110.31 | 3.47% | 4.01% | 11 | 346 | 15.69% | 15.87% | 35,960 | (48,700) | ||||
| Total<br> Pass Through RMBS | 3,214,159 | 3,525,074 | 87.38% | 109.67 | 3.40% | 3.96% | 12 | 336 | 14.60% | 14.50% | 37,447 | (51,644) | ||||
| Structured RMBS | ||||||||||||||||
| Interest-Only<br> Securities | 285,612 | 30,517 | 0.76% | 10.68 | 4.00% | 4.60% | 77 | 269 | 45.15% | 42.46% | (2,805) | 4,546 | ||||
| Total<br> Structured RMBS | 285,612 | 30,517 | 0.76% | 10.68 | 4.00% | 4.60% | 77 | 269 | 45.15% | 42.46% | (2,805) | 4,546 | ||||
| Long TBA Positions | ||||||||||||||||
| FNCL<br> 2.0 TBA | 465,000 | 478,514 | 11.86% | 102.91 | 2.00% | 7,273 | (10,599) | |||||||||
| Total<br> Long TBA | 465,000 | 478,514 | 11.86% | 102.91 | 2.00% | 7,273 | (10,599) | |||||||||
| Total<br> Mortgage Assets | 3,964,771 | $ | 4,034,105 | 100.00% | 3.28% | 4.01% | 17 | 331 | 17.35% | 17.25% | $ | 41,915 | $ | (57,697) | ||
| 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 | (313) | 313 | ||||||||||||
| Swaps | (820,000) | Apr-2025 | (9,790) | 19,564 | ||||||||||||
| 5-Year<br> Treasury Futures | (69,000) | Dec-2020^(3)^ | (2,455) | 1,979 | ||||||||||||
| TBA | (328,000) | Nov-2020 | (2,472) | 4,111 | ||||||||||||
| Swaptions | (667,300) | May-2021 | (3,810) | 4,712 | ||||||||||||
| Hedge<br> Total | (1,934,300) | $ | (18,840) | $ | 30,679 | |||||||||||
| Rate<br> Shock Grand Total | $ | 23,075 | $ | (27,018) |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 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 $125.60 at October 31, 2020. The market value of the short position was $86.7 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> October 31, 2020 | **** | **** | As of<br> October 31, 2020 | **** | **** |
| Fannie<br> Mae | 2,087,940 | 58.7% | Non-Whole<br> Pool Assets | 777,779 | 21.9% |
| Freddie<br> Mac | 1,467,651 | 41.3% | Whole<br> Pool Assets | 2,777,812 | 78.1% |
| Total<br> Mortgage Assets | 3,555,591 | 100.0% | Total<br> Mortgage Assets | 3,555,591 | 100.0% |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $362.0 million purchased in October 2020, which settle in November 2020.
(2) Amounts in the tables above exclude long TBA positions with a market value of approximately $478.5 million.
| Borrowings<br> By Counterparty | |||||
|---|---|---|---|---|---|
| ( in<br> thousands) | |||||
| Weighted | Weighted | **** | |||
| **** | % of | Average | Average | **** | |
| Total | Total | Repo | Maturity | Longest | |
| As of<br> October 31, 2020 | Borrowings | Debt | Rate | in Days | Maturity |
| Mirae<br> Asset Securities (USA) Inc. | 367,343 | 11.8% | 0.24% | 90 | 2/11/2021 |
| Mitsubishi<br> UFJ Securities (USA), Inc | 341,477 | 11.1% | 0.24% | 60 | 1/26/2021 |
| Merrill<br> Lynch, Pierce, Fenner & Smith | 282,037 | 9.2% | 0.25% | 44 | 12/14/2020 |
| Wells<br> Fargo Bank, N.A. | 282,011 | 9.2% | 0.23% | 60 | 1/19/2021 |
| J.P.<br> Morgan Securities LLC | 259,243 | 8.5% | 0.25% | 130 | 3/12/2021 |
| RBC<br> Capital Markets, LLC | 205,128 | 6.7% | 0.22% | 61 | 1/12/2021 |
| Citigroup<br> Global Markets Inc | 199,862 | 6.5% | 0.23% | 75 | 1/21/2021 |
| ED&F<br> Man Capital Markets Inc | 164,703 | 5.4% | 0.22% | 61 | 1/22/2021 |
| ABN<br> AMRO Bank N.V. | 162,034 | 5.3% | 0.22% | 58 | 1/13/2021 |
| ASL<br> Capital Markets Inc. | 153,278 | 5.0% | 0.23% | 71 | 1/20/2021 |
| ING<br> Financial Markets LLC | 133,587 | 4.4% | 0.22% | 75 | 1/14/2021 |
| Cantor<br> Fitzgerald & Co. | 129,520 | 4.2% | 0.24% | 70 | 1/13/2021 |
| Daiwa<br> Securities America Inc. | 121,359 | 4.0% | 0.25% | 44 | 1/15/2021 |
| South<br> Street Securities, LLC | 76,724 | 2.5% | 0.28% | 135 | 5/13/2021 |
| Bank<br> of Montreal | 72,242 | 2.4% | 0.24% | 41 | 12/11/2020 |
| Lucid<br> Cash Fund USG LLC | 54,433 | 1.8% | 0.26% | 12 | 11/12/2020 |
| Goldman,<br> Sachs & Co. | 27,563 | 0.9% | 0.20% | 16 | 11/16/2020 |
| J.V.B.<br> Financial Group, LLC | 25,024 | 0.8% | 0.23% | 76 | 1/15/2021 |
| AAAMCO | 9,713 | 0.3% | 0.26% | 4 | 11/4/2020 |
| Total<br> Borrowings | 3,067,281 | 100.0% | 0.24% | 70 | 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