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):
March 16, 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 8.01.
Other Events.
On
March
16,
2022,
Orchid
Island
Capital,
Inc.
(the
“Company”)
announced
that
the
Board
of
Directors
of
the
Company
declared a dividend for the month of March 2022 of $0.045 per share of the Company’s common
stock to be paid on April 27,
2022 to holders
of record on
March 31, 2022,
with an ex-dividend
date of March
30, 2022. In
addition, the Company announced
certain details of
its RMBS portfolio
as of February
28, 2022 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 Annual
Report on Form 10-K
for the fiscal year
ended
December
31,
2021.
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 March 16, 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: March 16, 2022
ORCHID ISLAND CAPITAL,
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
orc8k20220316x991
ORCHID ISLAND CAPITAL ANNOUNCES
MARCH 2022 MONTHLY DIVIDEND, AND FEBRUARY 28, 2022 RMBS
PORTFOLIO CHARACTERISTICS
●
March 2022 Monthly Dividend of $0.045 Per Share of Common Stock
●
RMBS Portfolio Characteristics as of February 28, 2022
●
Next Dividend Announcement Expected April 13, 2022
Vero
Beach,
Fla.,
March
16, 2022
-
Orchid
Island
Capital,
Inc.
(the
“Company”)
(NYSE:
ORC) announced
today
that the
Board of Directors of
the Company (the
“Board”) declared a
monthly cash dividend for
the month of March
- The dividend
of $0.045 per share will be paid April 27, 2022, to
holders of record of the Company’s common stock on March 31, 2022, with
an ex-dividend date of March 30,
- The Company plans on announcing its
next common stock dividend on April 13,
2022.
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
March 16,
2022, February
28, 2022
and December
31, 2021,
the Company
had 176,993,049
shares of
common stock
outstanding.
RMBS Portfolio Characteristics
Details
of
the
RMBS
portfolio
as
of
February
28,
2022
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
.
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,
2021.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Feb 2022
Dec - Feb
Modeled
Modeled
Net
Weighted
CPR
2022 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 Mar)
in Mar)
(-50 BPS)
(2)
(+50 BPS)
(2)
Pass Through RMBS
15yr 2.5
$
209,229
$
212,803
4.03%
$
101.71
2.50%
2.87%
14
160
9.4%
8.0%
$
3,918
$
(4,164)
15yr 4.0
427
450
0.01%
105.22
4.00%
4.54%
46
134
0.7%
0.7%
6
(7)
15yr Total
209,656
213,253
4.04%
101.72
2.50%
2.88%
15
160
9.4%
8.0%
3,924
(4,171)
30yr 2.5
365,631
361,707
6.85%
98.93
2.50%
3.41%
11
345
9.1%
5.3%
8,933
(10,567)
30yr 3.0
4,048,598
4,128,462
78.13%
101.97
3.00%
3.48%
11
347
5.8%
7.1%
102,356
(116,946)
30yr 3.5
242,130
254,730
4.82%
105.20
3.50%
4.04%
24
328
13.5%
16.6%
5,663
(6,256)
30yr 4.0
104,795
111,046
2.10%
105.96
4.00%
4.75%
29
329
26.7%
24.6%
1,615
(1,995)
30yr Total
4,761,154
4,855,945
91.90%
101.99
3.01%
3.53%
12
346
6.9%
7.8%
118,567
(135,764)
Total Pass Through
RMBS
4,970,810
5,069,198
95.94%
101.98
2.99%
3.50%
12
338
7.0%
7.8%
122,491
(139,935)
Structured RMBS
IO 20yr 3.0
358,021
40,396
0.76%
11.28
3.00%
3.69%
68
166
17.1%
20.9%
(1,916)
1,301
IO 20yr 4.0
13,036
1,591
0.03%
12.20
4.00%
4.57%
122
111
13.5%
15.5%
(13)
7
IO 30yr 3.0
89,448
12,941
0.24%
14.47
3.00%
3.66%
54
298
14.2%
14.7%
(672)
508
IO 30yr 3.5
769,538
132,111
2.50%
17.17
3.48%
4.00%
52
299
16.6%
18.7%
(7,479)
5,609
IO 30yr 4.0
164,847
24,529
0.46%
14.88
4.00%
4.56%
70
282
28.2%
27.7%
(1,644)
1,523
IO 30yr 4.5
4,543
772
0.01%
16.99
4.50%
4.99%
140
207
20.0%
24.2%
(45)
40
IO 30yr 5.0
2,529
421
0.01%
16.63
5.00%
5.36%
140
207
11.5%
17.6%
(23)
23
IO Total
1,401,962
212,761
4.03%
15.18
3.40%
3.98%
59
261
17.9%
20.0%
(11,792)
9,011
IIO 30yr 4.0
41,270
2,014
0.04%
4.88
3.75%
4.40%
53
298
53.6%
35.0%
124
(230)
Total Structured
RMBS
1,443,232
214,775
4.06%
14.88
3.41%
3.99%
59
262
18.9%
20.5%
(11,668)
8,781
Total Mortgage Assets
$
6,414,042
$
5,283,973
100.00%
3.08%
3.61%
22
321
9.7%
10.7%
$
110,823
$
(131,154)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)
(2)
(+50 BPS)
(2)
5-Year Treasury
Future
(3)
$
(1,194,000)
Jun-2022
$
(35,702)
$
32,030
10-Year Treasury
Ultra
(4)
(270,000)
Jun-2022
(29,703)
17,843
TBA
(500,000)
Mar-2022
(10,132)
12,200
Swaps
(1,400,000)
Jul-2028
(42,437)
42,437
Swaptions
(868,700)
Apr-2023
(12,885)
20,334
Hedge Total
$
(4,232,700)
$
(130,859)
$
124,844
Rate Shock Grand Total
$
(20,036)
$
(6,310)
(1)
Amounts in the tables above exclude assets with a fair value of approximately
$335.2 million sold in February 2022, which settle in March 2022.
(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 $118.28 at February 28, 2022.
The market value of the short position was $1,412.3 million.
(4)
Ten-year Treasury
Ultra futures contracts were valued at prices of $141.33 at February 28, 2022.
The market value of the short position was $381.6 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
(1)
Portfolio
Asset Category
Value
(1)
Portfolio
As of February 28, 2022
As of February 28, 2022
Fannie Mae
$
3,579,700
67.7%
Non-Whole Pool Assets
$
287,136
5.4%
Freddie Mac
1,704,273
32.3%
Whole Pool Assets
4,996,837
94.6%
Total Mortgage Assets
$
5,283,973
100.0%
Total Mortgage Assets
$
5,283,973
100.0%
(1)
Amounts in the tables above include assets with a fair value of approximately
$335.2 million sold in February 2022, which settle in March 2022.
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of February 28, 2022
Borrowings
(1)
Debt
Rate
in Days
Maturity
ABN AMRO Bank N.V.
$
412,908
7.6%
0.14%
18
4/12/2022
J.P.
Morgan Securities LLC
399,470
7.4%
0.15%
13
4/25/2022
Merrill Lynch, Pierce, Fenner & Smith Incorporated
379,052
7.0%
0.23%
37
4/13/2022
RBC Capital Markets, LLC
367,437
6.8%
0.16%
18
4/29/2022
Mirae Asset Securities (USA) Inc.
358,959
6.6%
0.18%
42
9/14/2022
Wells Fargo Bank, N.A.
337,707
6.3%
0.13%
13
3/21/2022
Mitsubishi UFJ Securities (USA), Inc
337,363
6.2%
0.30%
36
4/29/2022
Cantor Fitzgerald & Co., Inc.
334,806
6.2%
0.15%
18
4/25/2022
ED&F Man Capital Markets Inc.
286,077
5.3%
0.18%
35
4/14/2022
Santander Bank, N.A.
283,297
5.2%
0.21%
30
4/25/2022
Goldman, Sachs & Co. LLC
260,082
4.8%
0.39%
48
4/25/2022
ING Financial Markets LLC
256,403
4.7%
0.13%
17
3/17/2022
Citigroup Global Markets Inc.
225,487
4.2%
0.21%
29
4/25/2022
Nomura Securities International, Inc.
222,175
4.1%
0.13%
16
3/17/2022
ASL Capital Markets Inc.
219,094
4.1%
0.17%
23
4/22/2022
Daiwa Capital Markets America Inc.
197,371
3.7%
0.14%
17
3/17/2022
BMO Capital Markets Corp.
189,048
3.5%
0.19%
17
3/21/2022
Austin Atlantic Asset Management Co.
90,178
1.7%
0.14%
2
3/2/2022
South Street Securities LLC.
87,114
1.6%
0.31%
39
4/18/2022
Lucid Cash Fund USG, LLC
85,252
1.6%
0.19%
10
3/10/2022
Barclays Capital Inc
42,074
0.8%
0.19%
14
3/14/2022
StoneX Financial Inc.
27,648
0.5%
0.19%
50
4/19/2022
Mizuho Securities USA, Inc
3,671
0.1%
0.57%
11
3/11/2022
Total Borrowings
$
5,402,673
100.0%
0.19%
25
9/14/2022
(1)
In February 2022, the Company sold assets with a fair value of approximately $335.2 million, which settle in March 2022
that collateralize approximately $323.1 million of repurchase agreements
included in the table above.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero
Beach, Florida 32963
Telephone: (772)
231-1400