false 0001518621 0001518621 2022-03-16 2022-03-16
 
 
 
 
 
 
 
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
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
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
 
2022. 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,
 
2022. 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