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):
October 12, 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 2.02.
Results of Operations and Financial Condition
On October 12, 2021, Orchid Island Capital, Inc. (the “Company”)
announced its estimated book value of $4.77 per share as
of September 30, 2021, certain details of its RMBS portfolio as of September 30,
2021, and estimated GAAP net income per
share of $0.20, including an estimated $0.02 per share of net realized and unrealized
losses, for the quarter ended September
30, 2021.
These figures and the estimated book value per share and estimated GAAP net income
per share are preliminary,
subject to change, and subject to review by the Company’s
independent registered public accounting firm. 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 reference.
Item 8.01.
Other Events.
On October 12, 2021, the Company announced that
the Board of Directors of the Company declared
a dividend for the month
of October 2021
of $0.065 per
share of the
Company’s common
stock to be paid
on November 26,
2021 to holders
of record
on October 29, 2021, with an ex-dividend date of October
28, 2021. In addition, the Company announced certain details of its
RMBS
portfolio
as
of
September
30,
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 October 12, 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: October 12, 2021
ORCHID ISLAND CAPITAL,
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHIDISLAND CAPITAL ANNOUNCES
ESTIMATEDTHIRD QUARTER 2021 RESULTS,
OCTOBER2021 MONTHLY DIVIDEND AND
SEPTEMBER30, 2021 RMBS PORTFOLIO CHARACTERISTICS
· October 2021 Monthly Dividend of $0.065 Per Share of Common Stock
· Estimated Book Value Per Share as of September 30, 2021 of $4.77
· Estimated GAAP net income of $0.20 per share for the quarter ended September 30, 2021, including an estimated $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments
· Estimated 5.4% 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 September 30, 2021
· Next Dividend Announcement Expected November 9, 2021
Vero Beach, Fla., October 12, 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 October 2021. The dividend of $0.065 per share will be paid November 26, 2021 to holders of record of the Company’s common stock on October 29, 2021, with an ex-dividend date of October 28, 2021. The Company plans on announcing its next common stock dividend on November 9, 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 October 12, 2021, the Company had 153,831,978 shares of common stock outstanding. As of September 30, 2021, the Company had 153,318,351 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.
EstimatedSeptember 30, 2021 Book Value Per Share
The Company’s estimated book value per share as of September 30, 2021 was $4.77. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2021, the Company's preliminary estimated total stockholders' equity was approximately $730.6 million with 153,318,351 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 Income Per Shareand Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated net income per share of $0.20, which includes $0.02 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 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 September 30, 2021 was 5.4%. 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 $0.255 per share, comprised of dividends per share of $0.195 and an increase in book value per share of $0.06 from June 30, 2021.
RMBSPortfolio Characteristics
Details of the RMBS portfolio as of September 30, 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 September 30, 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 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 | **** | **** | **** | **** | |
| **** | **** | **** | Sep 2021 | Jul - Sep | **** | 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 Oct) | in Oct) | **** | (-50 BPS)^(2)^ | **** | (+50 BPS)^(2)^ |
| Pass Through RMBS | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** | **** |
| 15yr<br> 2.5 | 223,524 | $ | 235,988 | 4.21% | $ | 105.58 | 2.50% | 2.87% | 9 | 166 | 10.5% | 8.3% | $ | 3,620 | $ | (4,307) |
| 15yr<br> 4.0 | 569 | 610 | 0.01% | 107.25 | 4.00% | 4.51% | 41 | 117 | 10.0% | 9.6% | 6 | (8) | ||||
| 15yr<br> Total | 224,093 | 236,598 | 4.22% | 105.58 | 2.50% | 2.88% | 10 | 166 | 10.5% | 8.3% | 3,626 | (4,315) | ||||
| 30yr<br> 2.5 | 755,961 | 782,574 | 13.97% | 103.52 | 2.50% | 3.39% | 7 | 351 | 9.2% | 15.6% | 10,688 | (17,923) | ||||
| 30yr<br> 3.0 | 3,685,738 | 3,955,954 | 70.63% | 107.33 | 3.00% | 3.48% | 7 | 352 | 6.7% | 7.6% | 62,963 | (92,337) | ||||
| 30yr<br> 3.5 | 329,487 | 362,129 | 6.47% | 109.91 | 3.50% | 4.02% | 19 | 334 | 22.0% | 20.2% | 5,210 | (7,144) | ||||
| 30yr<br> 4.0 | 81,269 | 89,089 | 1.59% | 109.62 | 4.00% | 4.72% | 36 | 321 | 19.0% | 28.5% | 996 | (1,220) | ||||
| 30yr 4.5 | 28,342 | 32,218 | 0.58% | 113.68 | 4.50% | 4.91% | 23 | 329 | 18.4% | 17.6% | 509 | (611) | ||||
| 30yr<br> Total | 4,880,797 | 5,221,964 | 93.23% | 106.99 | 2.98% | 3.53% | 8 | 350 | 8.3% | 9.9% | 80,366 | (119,235) | ||||
| Total<br> Pass Through RMBS | 5,104,890 | 5,458,562 | 97.45% | 106.93 | 2.96% | 3.50% | 8 | 342 | 8.4% | 9.8% | 83,992 | (123,550) | ||||
| Structured RMBS | ||||||||||||||||
| IO<br> 20yr 3.0 | 363,225 | 37,650 | 0.67% | 10.37 | 3.00% | 3.68% | 61 | 173 | 31.2% | 33.5% | (4,077) | 2,526 | ||||
| IO<br> 20yr 4.0 | 14,677 | 1,857 | 0.03% | 12.65 | 4.00% | 4.58% | 117 | 116 | 22.5% | 20.0% | (39) | 21 | ||||
| IO<br> 30yr 3.0 | 98,485 | 13,883 | 0.25% | 14.10 | 3.00% | 3.66% | 49 | 303 | 24.8% | 20.2% | (1,430) | 992 | ||||
| IO<br> 30yr 3.5 | 336,401 | 57,119 | 1.02% | 16.98 | 3.50% | 4.01% | 47 | 304 | 20.7% | 19.4% | (4,818) | 3,301 | ||||
| IO<br> 30yr 4.0 | 195,862 | 28,170 | 0.50% | 14.38 | 4.00% | 4.56% | 66 | 286 | 32.6% | 34.0% | (2,552) | 2,292 | ||||
| IO<br> 30yr 4.5 | 5,166 | 799 | 0.01% | 15.47 | 4.50% | 4.99% | 135 | 212 | 24.2% | 26.2% | (77) | 59 | ||||
| IO<br> 30yr 5.0 | 2,924 | 465 | 0.01% | 15.90 | 5.00% | 5.36% | 135 | 213 | 25.7% | 41.9% | (37) | 32 | ||||
| IO<br> Total | 1,016,740 | 139,943 | 2.50% | 13.76 | 3.39% | 3.98% | 58 | 250 | 27.2% | 24.9% | (13,031) | 9,224 | ||||
| IIO<br> 30yr 4.0 | 49,645 | 2,783 | 0.05% | 5.61 | 3.75% | 4.41% | 48 | 304 | 27.4% | 28.0% | (285) | (96) | ||||
| Total<br> Structured RMBS | 1,066,385 | 142,726 | 2.55% | 13.38 | 3.40% | 4.00% | 57 | 253 | 27.2% | 25.1% | (13,316) | 9,128 | ||||
| Total<br> Mortgage Assets | 6,171,275 | $ | 5,601,288 | 100.00% | 3.04% | 3.59% | 17 | 326 | 11.8% | 12.4% | $ | 70,676 | $ | (114,422) | ||
| 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 | (35,820) | 35,820 | ||||||||||||
| 5-Year<br> Treasury Future(3) | (269,000) | Dec-2021 | (9,532) | 7,254 | ||||||||||||
| 10-Year Treasury Ultra(4) | (23,500) | Dec-2021 | (2,560) | 1,837 | ||||||||||||
| Swaptions | (244,350) | May-2022 | (7,654) | (7,654) | ||||||||||||
| Yield<br> Curve Spread Floor | (150,000) | Feb-2023 | n/a | n/a | ||||||||||||
| Hedge<br> Total | (2,091,850) | $ | (55,691) | $ | 37,382 | |||||||||||
| Rate<br> Shock Grand Total | $ | 14,985 | $ | (77,040) |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 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 $122.74 at September 30, 2021. The market value of the short position was $330.2 million.
(4) Ten-year Treasury Ultra futures contracts were valued at prices of $145.25 at September 30, 2021. The market value of the short position was $34.1 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> September 30, 2021 | **** | **** | As of<br> September 30, 2021 | **** | **** |
| Fannie<br> Mae | 4,314,966 | 77.0% | Non-Whole<br> Pool Assets | 325,421 | 5.8% |
| Freddie<br> Mac | 1,286,322 | 23.0% | Whole<br> Pool Assets | 5,275,867 | 94.2% |
| Total<br> Mortgage Assets | 5,601,288 | 100.0% | Total<br> Mortgage Assets | 5,601,288 | 100.0% |
All values are in US Dollars.
(1) Amounts in the tables above include assets with a fair value of approximately $180.8 million purchased in September 2021, which settle in October 2021.
| Borrowings<br> By Counterparty | |||||
|---|---|---|---|---|---|
| ( in<br> thousands) | |||||
| Weighted | Weighted | **** | |||
| **** | % of | Average | Average | **** | |
| Total | Total | Repo | Maturity | Longest | |
| As of<br> September 30, 2021 | Borrowings^(1)^ | Debt | Rate | in Days | Maturity |
| ABN<br> AMRO Bank N.V. | 421,280 | 8.3% | 0.12% | 30 | 11/12/2021 |
| Mirae<br> Asset Securities (USA) Inc. | 396,039 | 7.6% | 0.12% | 74 | 9/14/2022 |
| Wells<br> Fargo Bank, N.A. | 357,656 | 6.9% | 0.11% | 14 | 10/22/2021 |
| RBC<br> Capital Markets, LLC | 356,691 | 6.8% | 0.12% | 31 | 11/10/2021 |
| J.P.<br> Morgan Securities LLC | 334,245 | 6.4% | 0.12% | 41 | 11/22/2021 |
| Goldman,<br> Sachs & Co. | 323,521 | 6.2% | 0.12% | 40 | 12/27/2021 |
| ASL<br> Capital Markets Inc. | 321,542 | 6.2% | 0.12% | 15 | 10/19/2021 |
| Cantor<br> Fitzgerald & Co | 268,272 | 5.1% | 0.12% | 24 | 11/15/2021 |
| Citigroup<br> Global Markets Inc | 263,278 | 5.0% | 0.11% | 13 | 10/14/2021 |
| Mitsubishi<br> UFJ Securities (USA), Inc | 259,581 | 5.0% | 0.24% | 23 | 11/29/2021 |
| Santander<br> Bank, N.A. | 210,831 | 4.0% | 0.11% | 29 | 11/15/2021 |
| ED&F<br> Man Capital Markets Inc | 199,744 | 3.8% | 0.12% | 32 | 12/8/2021 |
| ING<br> Financial Markets LLC | 199,544 | 3.8% | 0.12% | 37 | 11/10/2021 |
| Nomura<br> Securities International, Inc. | 199,411 | 3.8% | 0.11% | 41 | 11/22/2021 |
| South<br> Street Securities, LLC | 173,977 | 3.3% | 0.12% | 42 | 11/23/2021 |
| BMO<br> Capital Markets Corp. | 169,909 | 3.3% | 0.13% | 14 | 10/22/2021 |
| Daiwa<br> Securities America Inc. | 167,813 | 3.2% | 0.11% | 16 | 11/8/2021 |
| Barclays<br> Capital Inc | 145,516 | 2.8% | 0.11% | 13 | 10/13/2021 |
| Merrill<br> Lynch, Pierce, Fenner & Smith | 141,192 | 2.7% | 0.17% | 15 | 10/29/2021 |
| Austin<br> Atlantic Asset Management Co. | 99,395 | 1.9% | 0.14% | 7 | 10/7/2021 |
| Lucid<br> Price Fund, LLC | 85,283 | 1.6% | 0.18% | 14 | 10/14/2021 |
| Lucid<br> Cash Fund USG, LLC | 60,503 | 1.2% | 0.12% | 14 | 10/14/2021 |
| J.V.B.<br> Financial Group, LLC | 58,647 | 1.1% | 0.12% | 22 | 10/25/2021 |
| Total<br> Borrowings | 5,213,869 | 100.0% | 0.13% | 30 | 9/14/2022 |
All values are in US Dollars.
(1) In September 2021, the Company purchased assets with a fair value of approximately $180.8 million, which settle in October 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