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):
January 13, 2022
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 January 13,
2022, Orchid Island
Capital, Inc. (the
“Company”) announced
its estimated book
value of $4.34
per share as
of December 31, 2021, certain details of its RMBS portfolio as of December 31, 2021, and estimated GAAP net loss per share
of $0.27, including an
estimated $0.49 per share
of net realized and
unrealized losses, for the
quarter ended December 31,
2021.
These figures and the
estimated 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.
Item 8.01.
Other Events.
On January 13, 2022, the
Company announced that the Board of
Directors of the Company declared
a dividend for the month
of January 2022 of $0.055 per share of the Company’s
common stock to be paid on February 24, 2022 to holders
of record on
January 31,
2022, with
an ex-dividend
date of
January 28,
2022.
In addition,
the Company
announced certain
details of
its
RMBS
portfolio
as
of
December
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 the
effect of
actual or
proposed actions
of the
Federal Reserve
and the
Federal Open
Market Committee
with respect
to
monetary policy or interest rates, timing with respect thereto, and the related impact of those actual
or proposed actions on the
Company.
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
Press Release dated January 13, 2022
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: January 13, 2022
ORCHID ISLAND CAPITAL,
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHIDISLAND CAPITAL ANNOUNCES
ESTIMATEDFOURTH QUARTER 2021 RESULTS,
JANUARY2022 MONTHLY DIVIDEND AND
DECEMBER31, 2021 RMBS PORTFOLIO CHARACTERISTICS
· January 2022 Monthly Dividend of $0.055 Per Share of Common Stock
· Estimated Book Value Per Share as of December 31, 2021 of $4.34
· Estimated GAAP net loss of $0.27 per share for the quarter ended December 31, 2021, including an estimated $0.49 per share of net realized and unrealized losses on RMBS and derivative instruments
· Estimated (4.9)% total return on equity for the quarter
· Estimated book value, net income 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 December 31, 2021
· Next Dividend Announcement Expected February 16, 2022
Vero Beach, Fla., January 13, 2022 - 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 January 2022. The dividend of $0.055 per share will be paid February 24, 2022 to holders of record of the Company’s common stock on January 31, 2022, with an ex-dividend date of January 28, 2022. The Company plans on announcing its next common stock dividend on February 16, 2022.
The Company has elected to reduce the monthly cash dividend in light of the rapid compression of the Company’s net interest margin that has occurred over the course of the fourth quarter. Additionally, recent comments from members of the Federal Open Market Committee indicate that the Federal Reserve may take actions to remove the substantial monetary policy accommodation that has been in place since the onset of the COVID-19 pandemic over the very near term. The Company’s net interest margin has also been impacted by the persistence of longer-term rates remaining at or below levels observed earlier in 2021. As a result prepayment rates on the Company’s pass-through and interest-only securities remain elevated.
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 January 13, 2022 and December 31, 2021, the Company had 176,993,049 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding.
EstimatedDecember 31, 2021 Book Value Per Share
The Company’s estimated book value per share as of December 31, 2021 was $4.34. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2021, the Company's preliminary estimated total stockholders' equity was approximately $768.1 million with 176,993,049 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 andRealized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net loss per share of $0.27, which includes $0.49 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended December 31, 2021. These amounts compare to total dividends declared during the quarter of $0.195 per share. Net income 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 income. 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.
EstimatedTotal Return on Equity
The Company’s estimated total return on equity for the quarter ended December 31, 2021 was (4.9)%. 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 $(0.235) per share, comprised of dividends per share of $0.195 and a decrease in book value per share of $0.43 from September 30, 2021.
RMBSPortfolio Characteristics
Details of the RMBS portfolio as of December 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 December 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
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 and the effect of actual or proposed actions of the Federal Reserve and the Federal Open Market Committee with respect to monetary policy or interest rates, timing with respect thereto, and the related impact of those actual or proposed actions on the Company. 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<br> Valuation Characteristics | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ( in<br> thousands) | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | Realized | Realized | **** | **** | **** | **** | |
| **** | **** | **** | Dec 2021 | Oct - Dec | **** | 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 | Portfolio | **** | Price | Coupon | GWAC | Age | (Months) | in Jan) | in Jan) | **** | (-50 BPS)^(1)^ | **** | (+50 BPS)^(1)^ |
| Pass Through RMBS | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| 15yr<br> 2.5 | 214,031 | $ | 223,724 | 3.44% | $ | 104.53 | 2.50% | 2.87% | 12 | 163 | 7.9% | 9.9% | $ | 3,536 | $ | (4,053) |
| 15yr<br> 4.0 | 433 | 461 | 0.01% | 106.67 | 4.00% | 4.54% | 44 | 136 | 0.7% | 62.7% | 6 | (7) | ||||
| 15yr<br> Total | 214,464 | 224,185 | 3.44% | 104.53 | 2.50% | 2.88% | 13 | 163 | 7.8% | 10.0% | 3,542 | (4,060) | ||||
| 30yr<br> 2.5 | 1,055,207 | 1,079,884 | 16.59% | 102.34 | 2.50% | 3.30% | 6 | 353 | 2.8% | 5.7% | 17,623 | (25,647) | ||||
| 30yr<br> 3.0 | 4,347,161 | 4,600,632 | 70.66% | 105.83 | 3.00% | 3.48% | 9 | 350 | 7.8% | 8.8% | 81,570 | (108,919) | ||||
| 30yr<br> 3.5 | 251,296 | 274,480 | 4.22% | 109.23 | 3.50% | 4.04% | 22 | 331 | 20.2% | 21.4% | 4,704 | (5,769) | ||||
| 30yr<br> 4.0 | 110,070 | 119,006 | 1.83% | 108.12 | 4.00% | 4.75% | 27 | 331 | 19.1% | 17.6% | 1,162 | (1,474) | ||||
| 30yr<br> Total | 5,763,734 | 6,074,002 | 93.29% | 105.38 | 2.95% | 3.50% | 9 | 349 | 7.7% | 8.9% | 105,059 | (141,809) | ||||
| Total<br> Pass Through RMBS | 5,978,198 | 6,298,187 | 96.73% | 105.35 | 2.93% | 3.47% | 9 | 342 | 7.7% | 9.0% | 108,601 | (145,869) | ||||
| Structured RMBS | ||||||||||||||||
| IO<br> 20yr 3.0 | 377,211 | 39,506 | 0.61% | 10.47 | 3.00% | 3.69% | 66 | 168 | 24.4% | 28.0% | (3,555) | 2,517 | ||||
| IO<br> 20yr 4.0 | 13,647 | 1,663 | 0.03% | 12.18 | 4.00% | 4.57% | 120 | 113 | 19.1% | 18.5% | (29) | 18 | ||||
| IO<br> 30yr 3.0 | 92,301 | 12,971 | 0.20% | 14.05 | 3.00% | 3.65% | 52 | 299 | 14.8% | 17.5% | (1,241) | 915 | ||||
| IO<br> 30yr 3.5 | 801,314 | 130,095 | 2.00% | 16.24 | 3.48% | 4.00% | 50 | 301 | 20.3% | 20.2% | (13,333) | 10,094 | ||||
| IO<br> 30yr 4.0 | 175,555 | 24,971 | 0.38% | 14.22 | 4.00% | 4.56% | 69 | 284 | 27.9% | 29.2% | (2,227) | 2,226 | ||||
| IO 30yr<br> 4.5 | 4,811 | 768 | 0.01% | 15.97 | 4.50% | 4.99% | 138 | 209 | 28.7% | 24.1% | (68) | 58 | ||||
| IO<br> 30yr 5.0 | 2,643 | 410 | 0.01% | 15.51 | 5.00% | 5.36% | 138 | 209 | 22.0% | 29.7% | (29) | 27 | ||||
| IO<br> Total | 1,467,482 | 210,384 | 3.23% | 14.34 | 3.40% | 3.98% | 57 | 263 | 21.9% | 24.6% | (20,482) | 15,855 | ||||
| IIO<br> 30yr 4.0 | 44,505 | 2,524 | 0.04% | 5.67 | 3.75% | 4.41% | 51 | 300 | 32.3% | 24.9% | (142) | (97) | ||||
| Total<br> Structured RMBS | 1,511,987 | 212,908 | 3.27% | 14.08 | 3.41% | 3.99% | 57 | 264 | 22.3% | 24.6% | (20,624) | 15,758 | ||||
| Total<br> Mortgage Assets | 7,490,185 | $ | 6,511,095 | 100.00% | 3.03% | 3.58% | 19 | 326 | 10.6% | 11.4% | $ | 87,977 | $ | (130,111) | ||
| Interest | **** | Interest | ||||||||||||||
| Average | Hedge | Rate | **** | Rate | ||||||||||||
| Notional | Period | Sensitivity | **** | Sensitivity | ||||||||||||
| Hedge | Balance | End | (-50 BPS)^(1)^ | **** | (+50 BPS)^(1)^ | |||||||||||
| 5-Year<br> Treasury Future(2) | (369,000) | Mar-2022 | $ | (8,602) | $ | 13,379 | ||||||||||
| 10-Year<br> Treasury Ultra(3) | (220,000) | Mar-2022 | (15,908) | 25,428 | ||||||||||||
| Swaps | (1,355,000) | Dec-2026 | (34,700) | 34,700 | ||||||||||||
| TBA | (575,000) | Jan-2022 | (7,842) | 11,454 | ||||||||||||
| Swaptions | (327,000) | Oct-2022 | (8,686) | 14,124 | ||||||||||||
| Hedge<br> Total | (2,846,000) | $ | (75,738) | $ | 99,085 | |||||||||||
| Rate<br> Shock Grand Total | $ | 12,239 | $ | (31,026) |
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 $120.98 at December 31, 2021. The market value of the short position was $446.4 million.
(3) Ten-year Treasury Ultra futures contracts were valued at prices of $146.44 at December 31, 2021. The market value of the short position was $322.2 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 | Portfolio | Asset<br> Category | Value | Portfolio |
| As of<br> December 31, 2021 | **** | **** | As of<br> December 31, 2021 | **** | **** |
| Fannie<br> Mae | 4,719,349 | 72.5% | Non-Whole<br> Pool Assets | 290,344 | 4.5% |
| Freddie<br> Mac | 1,791,746 | 27.5% | Whole<br> Pool Assets | 6,220,751 | 95.5% |
| Total<br> Mortgage Assets | 6,511,095 | 100.0% | Total<br> Mortgage Assets | 6,511,095 | 100.0% |
All values are in US Dollars.
| Borrowings<br> By Counterparty | |||||
|---|---|---|---|---|---|
| ( in<br> thousands) | |||||
| Weighted | Weighted | **** | |||
| **** | % of | Average | Average | **** | |
| Total | Total | Repo | Maturity | Longest | |
| As of<br> December 31, 2021 | Borrowings | Debt | Rate | in Days | Maturity |
| Wells<br> Fargo Bank, N.A. | 436,954 | 7.2% | 0.13% | 29 | 2/11/2022 |
| Mirae<br> Asset Securities (USA) Inc. | 425,890 | 6.8% | 0.13% | 62 | 9/14/2022 |
| J.P.<br> Morgan Securities LLC | 424,776 | 6.8% | 0.14% | 31 | 2/8/2022 |
| RBC<br> Capital Markets, LLC | 416,185 | 6.7% | 0.14% | 15 | 1/28/2022 |
| ABN<br> AMRO Bank N.V. | 407,945 | 6.5% | 0.13% | 44 | 3/14/2022 |
| Merrill<br> Lynch, Pierce, Fenner & Smith | 388,303 | 6.2% | 0.16% | 15 | 1/28/2022 |
| Cantor<br> Fitzgerald & Co | 348,968 | 5.6% | 0.12% | 29 | 3/21/2022 |
| Mitsubishi<br> UFJ Securities (USA), Inc | 345,853 | 5.5% | 0.22% | 48 | 3/31/2022 |
| Goldman,<br> Sachs & Co. | 339,026 | 5.4% | 0.18% | 21 | 1/28/2022 |
| Citigroup<br> Global Markets Inc | 318,709 | 5.1% | 0.14% | 15 | 1/21/2022 |
| ED&F<br> Man Capital Markets Inc | 301,941 | 4.8% | 0.11% | 22 | 2/17/2022 |
| Santander<br> Bank | 299,670 | 4.8% | 0.14% | 17 | 1/25/2022 |
| Nomura<br> Securities International, Inc. | 284,851 | 4.6% | 0.13% | 47 | 2/22/2022 |
| ASL<br> Capital Markets Inc. | 281,879 | 4.5% | 0.14% | 17 | 1/20/2022 |
| ING<br> Financial Markets LLC | 274,333 | 4.4% | 0.13% | 10 | 1/10/2022 |
| Bank<br> of Montreal | 245,932 | 3.9% | 0.17% | 25 | 2/14/2022 |
| Daiwa<br> Capital Markets America Inc. | 207,575 | 3.3% | 0.15% | 15 | 2/8/2022 |
| South<br> Street Securities, LLC | 141,548 | 2.3% | 0.15% | 17 | 1/18/2022 |
| Barclays<br> Capital Inc | 137,691 | 2.2% | 0.14% | 14 | 1/14/2022 |
| Austin<br> Atlantic Asset Management Co. | 95,754 | 1.5% | 0.14% | 5 | 1/5/2022 |
| Lucid<br> Cash Fund USG, LLC | 88,865 | 1.4% | 0.18% | 13 | 1/13/2022 |
| StoneX<br> Financial Inc. | 27,869 | 0.4% | 0.13% | 18 | 1/18/2022 |
| Mizuho<br> Securities USA, Inc | 3,589 | 0.1% | 0.56% | 12 | 1/12/2022 |
| Total<br> Borrowings | 6,244,106 | 100.0% | 0.15% | 27 | 9/14/2022 |
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