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):
September 16, 2021
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, 2021,
Orchid Island Capital, Inc. (the
“Company”) announced that the
Board of Directors of
the Company
declared a
dividend for
the month
of September
2021 of
$0.065 per
share of
the Company’s
common stock
to be
paid on
October 27, 2021
to holders of
record on September
30, 2021, with
an ex-dividend date
of September 29,
- In addition,
the Company
announced certain
details of
its RMBS
portfolio as
of August
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
expected funding
of purchased
assets. 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 September 16, 2021
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, 2021
ORCHID ISLAND CAPITAL,
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHID ISLAND CAPITAL ANNOUNCES
SEPTEMBER2021 MONTHLY DIVIDEND AND
AUGUST31, 2021 RMBS PORTFOLIO CHARACTERISTICS
· September 2021 Monthly Dividend of $0.065 Per Share of Common Stock
· RMBS Portfolio Characteristics as of August 31, 2021
· Next Dividend Announcement Expected October 12, 2021
Vero Beach, Fla., September 16, 2021 - 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 2021. The dividend of $0.065 per share will be paid October 27, 2021, to holders of record of the Company’s common stock on September 30, 2021, with an ex-dividend date of September 29, 2021. The Company plans on announcing its next common stock dividend on October 12, 2021.
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, 2021, the Company had 138,055,140 shares of common stock outstanding. As of August 31, 2021, the Company had 129,280,140 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.
RMBSPortfolio Characteristics
Details of the RMBS portfolio as of August 31, 2021 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 and expected funding of purchased assets. 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 | **** | **** | **** | **** | |
| **** | **** | **** | Aug 2021 | Jun - Aug | **** | 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^(1)^ | Portfolio | **** | Price | Coupon | GWAC | Age | (Months) | in Sep) | in Sep) | **** | (-50 BPS)^(2)^ | **** | (+50 BPS)^(2)^ |
| Pass Through RMBS | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| 15yr<br> 2.5 | 225,732 | $ | 238,943 | 4.55% | $ | 105.85 | 2.50% | 2.87% | 8 | 167 | 5.8% | 7.5% | $ | 3,342 | $ | (4,109) |
| 15yr<br> 4.0 | 578 | 621 | 0.01% | 107.38 | 4.00% | 4.51% | 40 | 117 | 9.7% | 9.2% | 6 | (7) | ||||
| 15yr<br> Total | 226,310 | 239,564 | 4.56% | 105.86 | 2.50% | 2.88% | 9 | 167 | 5.8% | 7.5% | 3,348 | (4,116) | ||||
| 20yr<br> 2.0 | 150,000 | 154,236 | 2.94% | 102.82 | 2.00% | 2.86% | - | 239 | n/a | n/a | 2,295 | (3,197) | ||||
| 20yr<br> Total | 150,000 | 154,236 | 2.94% | 102.82 | 2.00% | 2.86% | - | 239 | n/a | n/a | 2,295 | (3,197) | ||||
| 30yr<br> 2.5 | 628,233 | 654,656 | 12.46% | 104.21 | 2.50% | 3.40% | 7 | 350 | 12.1% | 14.9% | 6,577 | (12,877) | ||||
| 30yr<br> 3.0 | 3,360,545 | 3,618,576 | 68.88% | 107.68 | 3.00% | 3.48% | 6 | 352 | 7.5% | 7.7% | 46,504 | (74,854) | ||||
| 30yr<br> 3.5 | 326,189 | 359,127 | 6.84% | 110.10 | 3.50% | 4.01% | 19 | 334 | 19.8% | 19.6% | 4,351 | (6,198) | ||||
| 30yr<br> 4.0 | 46,457 | 51,781 | 0.99% | 111.46 | 4.00% | 4.63% | 62 | 292 | 23.7% | 24.6% | 841 | (938) | ||||
| 30yr<br> 4.5 | 49,944 | 56,292 | 1.07% | 112.71 | 4.50% | 4.97% | 26 | 328 | 18.3% | 23.7% | 448 | (720) | ||||
| 30yr<br> Total | 4,411,368 | 4,740,432 | 90.24% | 107.46 | 2.99% | 3.54% | 8 | 350 | 9.4% | 10.2% | 58,721 | (95,587) | ||||
| Total<br> Pass Through RMBS | 4,787,678 | 5,134,232 | 97.73% | 107.24 | 2.94% | 3.49% | 8 | 338 | 9.2% | 10.0% | 64,364 | (102,900) | ||||
| Structured RMBS | ||||||||||||||||
| IO<br> 20yr 3.0 | 190,169 | 17,486 | 0.33% | 9.20 | 3.00% | 3.68% | 58 | 177 | 33.5% | n/a | (2,341) | 1,732 | ||||
| IO<br> 20yr 4.0 | 15,043 | 1,881 | 0.04% | 12.50 | 4.00% | 4.58% | 116 | 117 | 19.7% | 20.4% | (47) | 31 | ||||
| IO 30yr<br> 3.0 | 100,294 | 13,598 | 0.26% | 13.56 | 3.00% | 3.66% | 48 | 304 | 17.5% | 18.9% | (1,738) | 1,323 | ||||
| IO<br> 30yr 3.5 | 342,576 | 56,272 | 1.07% | 16.43 | 3.50% | 4.01% | 46 | 305 | 17.6% | 20.5% | (5,907) | 4,469 | ||||
| IO<br> 30yr 4.0 | 203,357 | 25,530 | 0.49% | 12.55 | 4.00% | 4.56% | 65 | 287 | 31.4% | 34.9% | (2,487) | 2,547 | ||||
| IO<br> 30yr 4.5 | 5,313 | 846 | 0.02% | 15.92 | 4.50% | 4.99% | 134 | 213 | 27.0% | 26.3% | (92) | 81 | ||||
| IO<br> 30yr 5.0 | 3,087 | 506 | 0.01% | 16.39 | 5.00% | 5.37% | 134 | 214 | 46.1% | 38.8% | (41) | 41 | ||||
| IO<br> Total | 859,839 | 116,119 | 2.21% | 13.50 | 3.47% | 4.05% | 55 | 268 | 24.6% | 25.4% | (12,653) | 10,224 | ||||
| IIO<br> 30yr 4.0 | 53,077 | 3,043 | 0.06% | 5.73 | 3.75% | 4.40% | 48 | 304 | 41.0% | 25.8% | (459) | 31 | ||||
| Total<br> Structured RMBS | 912,916 | 119,162 | 2.27% | 13.05 | 3.49% | 4.07% | 55 | 270 | 25.6% | 25.5% | (13,112) | 10,255 | ||||
| Total<br> Mortgage Assets | 5,700,594 | $ | 5,253,394 | 100.00% | 3.03% | 3.58% | 15 | 327 | 12.0% | 12.4% | $ | 51,252 | $ | (92,645) | ||
| 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 | $ | (125) | $ | 125 | ||||||||||
| Swaps | (1,355,000) | Dec-2026 | (37,214) | 37,214 | ||||||||||||
| 5-Year<br> Treasury Future(3) | (269,000) | Dec-2021 | (8,500) | 8,490 | ||||||||||||
| 10-Year<br> Treasury Ultra(4) | (23,500) | Dec-2021 | (2,415) | 2,136 | ||||||||||||
| Swaptions | (244,350) | May-2022 | (7,190) | 9,047 | ||||||||||||
| Yield<br> Curve Spread Floor | (150,000) | Feb-2023 | n/a | n/a | ||||||||||||
| Hedge<br> Total | (2,091,850) | $ | (55,444) | $ | 57,012 | |||||||||||
| Rate<br> Shock Grand Total | $ | (4,192) | $ | (35,633) |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.
(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 $123.72 at August 31, 2021. The market value of the short position was $332.8 million.
(4) Ten-year Treasury Ultra futures contracts were valued at prices of $148.02 at August 31, 2021. The market value of the short position was $34.8 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, 2021 | **** | **** | As of<br> August 31, 2021 | **** | **** |
| Fannie<br> Mae | 4,202,486 | 80.0% | Non-Whole<br> Pool Assets | 359,155 | 6.8% |
| Freddie<br> Mac | 1,050,908 | 20.0% | Whole<br> Pool Assets | 4,894,239 | 93.2% |
| Total<br> Mortgage Assets | 5,253,394 | 100.0% | Total<br> Mortgage Assets | 5,253,394 | 100.0% |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.
| Borrowings<br> By Counterparty | |||||
|---|---|---|---|---|---|
| ( in<br> thousands) | |||||
| Weighted | Weighted | **** | |||
| **** | % of | Average | Average | **** | |
| Total | Total | Repo | Maturity | Longest | |
| As of<br> August 31, 2021 | Borrowings^(1)^ | Debt | Rate | in Days | Maturity |
| ABN<br> AMRO Bank N.V. | 421,280 | 9.1% | 0.12% | 60 | 11/12/2021 |
| Mirae<br> Asset Securities (USA) Inc. | 369,891 | 7.8% | 0.12% | 60 | 11/15/2021 |
| Wells<br> Fargo Bank, N.A. | 356,357 | 7.6% | 0.12% | 36 | 10/22/2021 |
| J.P.<br> Morgan Securities LLC | 342,010 | 7.3% | 0.17% | 18 | 11/22/2021 |
| ASL<br> Capital Markets Inc. | 321,928 | 6.8% | 0.12% | 44 | 10/19/2021 |
| RBC<br> Capital Markets, LLC | 296,331 | 6.3% | 0.12% | 64 | 11/10/2021 |
| Cantor<br> Fitzgerald & Co. | 271,407 | 5.8% | 0.12% | 32 | 10/25/2021 |
| Goldman<br> Sachs & Co. | 254,010 | 5.4% | 0.13% | 59 | 11/30/2021 |
| Mitsubishi<br> UFJ Securities (USA), Inc. | 216,404 | 4.6% | 0.27% | 36 | 10/12/2021 |
| ING<br> Financial Markets LLC | 203,609 | 4.3% | 0.12% | 15 | 10/12/2021 |
| ED&F<br> Man Capital Markets Inc. | 199,989 | 4.2% | 0.12% | 51 | 11/19/2021 |
| Nomura<br> Securities International, Inc. | 199,411 | 4.2% | 0.11% | 71 | 11/22/2021 |
| Citigroup<br> Global Markets Inc. | 186,516 | 4.0% | 0.12% | 42 | 10/12/2021 |
| Santander<br> Bank, N.A. | 157,774 | 3.3% | 0.13% | 30 | 10/14/2021 |
| Barclays<br> Capital Inc. | 146,858 | 3.1% | 0.12% | 13 | 9/13/2021 |
| BMO<br> Capital Markets Corp. | 138,151 | 2.9% | 0.11% | 39 | 10/22/2021 |
| Merrill<br> Lynch, Pierce, Fenner & Smith | 133,749 | 2.8% | 0.14% | 43 | 10/14/2021 |
| South<br> Street Securities, LLC | 124,623 | 2.6% | 0.14% | 57 | 11/23/2021 |
| Daiwa<br> Securities America Inc. | 118,737 | 2.5% | 0.11% | 12 | 9/13/2021 |
| Austin<br> Atlantic Asset Management Co. | 100,586 | 2.1% | 0.14% | 2 | 9/2/2021 |
| Lucid<br> Prime Fund, LLC | 70,247 | 1.5% | 0.19% | 9 | 9/9/2021 |
| Lucid<br> Cash Fund USG, LLC | 51,238 | 1.1% | 0.12% | 9 | 9/9/2021 |
| J.V.B.<br> Financial Group, LLC | 32,897 | 0.7% | 0.12% | 53 | 10/25/2021 |
| Total<br> Borrowings | 4,714,003 | 100.0% | 0.13% | 42 | 11/30/2021 |
All values are in US Dollars.
(1) In August 2021, the Company purchased assets with a fair value of approximately $317.3 million, which settle in September 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400