false 0001518621 0001518621 2023-01-11 2023-01-11
 
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 11, 2023
 
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 11, 2023, Orchid Island Capital, Inc. (the “Company”) announced its estimated book value of $11.94 per share as of December 31, 2022, certain details of its RMBS portfolio as of December 31, 2022, and estimated GAAP net income per share of $0.94, including an estimated $1.04 per share of net realized and unrealized gains, for the quarter ended December 31, 2022.  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.
 
Item 8.01 Other Events.
 
On January 11, 2023, the Company announced that the Board of Directors of the Company (the “Board”) declared a dividend for the month of January 2023 of $0.16 per share of the Company’s common stock, to be paid on February 24, 2023 to holders of record on January 31, 2023, with an ex-dividend date of January 30, 2023. In addition, the Company announced certain details of its RMBS portfolio as of December 31, 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: January 11, 2023
 
 ORCHID ISLAND CAPITAL, INC.
   
   
 
By:
/s/ Robert E. Cauley
   
Robert E. Cauley
   
Chairman and Chief Executive Officer
 
 

Exhibit 99.1

 

ORCHID ISLAND CAPITAL ANNOUNCES

ESTIMATED FOURTH QUARTER 2022 RESULTS,

JANUARY 2023 MONTHLY DIVIDEND AND

DECEMBER 31, 2022 RMBS PORTFOLIO CHARACTERISTICS

 

 

●

January 2023 Monthly Dividend of $0.16 Per Share of Common Stock
  ● Estimated Book Value Per Share as of December 31, 2022 of $11.93
  ● Estimated GAAP net income of $0.94 per share for the quarter ended December 31, 2022, including an estimated $1.04 per share of net realized and unrealized gains on RMBS and derivative instruments
  ● Estimated 8.7% 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, 2022
 

●

Next Dividend Announcement Expected February 15, 2023 

 

Vero Beach, Fla., January 11, 2023 - Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of January 2023. The dividend of $0.16 per share will be paid February 24, 2023 to holders of record of the Company’s common stock on January 31, 2023, with an ex-dividend date of January 30, 2023. The Company plans on announcing its next common stock dividend on February 15, 2023.

 

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 11, 2023, the Company had 36,391,942 shares of common stock outstanding. As of December 31, 2022, the Company had 36,764,983 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding.

 

Estimated December 31, 2022 Book Value Per Share

 

The Company’s estimated book value per share as of December 31, 2022 was $11.93.  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, 2022, the Company's preliminary estimated total stockholders' equity was approximately $438.8 million with 36,764,983 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 Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

 

The Company estimates it generated a net income per share of $0.94, which includes $1.04 per share of net realized and unrealized gains on RMBS and derivative instruments for the quarter ended December 31, 2022.  These amounts compare to total dividends declared during the quarter of $0.48 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. 

 

Estimated Total Return on Equity

 

The Company’s estimated total return on equity for the quarter ended December 31, 2022 was 8.7%. 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 $0.99 per share, comprised of dividends per share of $0.48 and an increase in book value per share of $0.51 from September 30, 2022.

 

 
 

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of December 31, 2022 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, 2022, 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

 

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

                  
                                                                   

Dec-22

    

Oct - Dec

    

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

    

Portfolio

    

Price

    

Coupon

    

GWAC

    

Age

    

(Months)

    

in Jan)

    

in Jan)

    

(-50 BPS)(1)

    

(+50 BPS)(1)

  

Pass Through RMBS

                                                                                                

15yr 4.0

   $ 400     $ 393       0.01 %   $ 98.44       4.00 %     4.54 %     56       123       0.8 %     0.8 %   $ 7     $ (7 )

15yr Total

     400       393       0.01 %     98.44       4.00 %     4.54 %     56       123       0.8 %     0.8 %     7       (7 )

30yr 3.0

     2,553,246       2,268,955       64.09 %     88.87       3.00 %     3.44 %     20       336       4.3 %     4.8 %     71,068       (72,824 )

30yr 3.5

     214,835       199,927       5.65 %     93.06       3.50 %     4.03 %     34       317       8.9 %     7.3 %     5,414       (5,512 )

30yr 4.0

     271,291       256,787       7.25 %     94.65       4.00 %     4.72 %     18       340       8.8 %     7.2 %     6,141       (6,623 )

30yr 4.5

     368,710       356,848       10.08 %     96.78       4.50 %     5.45 %     6       354       5.8 %     2.9 %     6,559       (7,433 )

30yr 5.0

     439,885       436,996       12.34 %     99.34       5.00 %     5.90 %     5       355       5.7 %     3.3 %     7,318       (8,467 )

30yr Total

     3,847,967       3,519,513       99.42 %     91.46       3.47 %     4.04 %     18       339       5.2 %     4.9 %     96,500       (100,859 )

Total Pass Through RMBS

     3,848,367       3,519,906       99.43 %     91.46       3.47 %     4.04 %     18       339       5.2 %     4.9 %     96,506       (100,865 )

Structured RMBS

                                                                                                

IO 20yr 4.0

     10,776       1,212       0.03 %     11.25       4.00 %     4.57 %     132       101       9.8 %     9.4 %     5       (6 )

IO 30yr 3.0

     3,213       395       0.01 %     12.31       3.00 %     3.64 %     95       256       25.7 %     10.8 %     -       (1 )

IO 30yr 4.0

     91,435       16,878       0.48 %     18.46       4.00 %     4.60 %     101       251       6.2 %     6.1 %     (482 )     345  

IO 30yr 4.5

     3,925       745       0.02 %     18.98       4.50 %     4.99 %     150       196       5.4 %     6.2 %     (10 )     5  

IO 30yr 5.0

     2,190       439       0.01 %     20.04       5.00 %     5.36 %     150       198       2.7 %     5.7 %     (10 )     7  

IO Total

     111,539       19,669       0.56 %     17.63       4.01 %     4.60 %     106       234       7.0 %     6.5 %     (497 )     350  

IIO 30yr 4.0

     31,499       427       0.01 %     1.35       0.00 %     4.40 %     63       286       0.6 %     4.0 %     100       (85 )

Total Structured RMBS

     143,038       20,096       0.57 %     14.05       3.13 %     4.55 %     97       245       5.6 %     6.0 %     (397 )     265  
                                                                                                 

Total Mortgage Assets

   $ 3,991,405     $ 3,540,002       100.00 %             3.46 %     4.05 %     20       336       5.2 %     5.0 %   $ 96,110     $ (100,600 )

 

             

Interest

    

Interest

  
   

Average

  

Hedge

  

Rate

    

Rate

  
   

Notional

  

Period

  

Sensitivity

    

Sensitivity

  

Hedge

  

Balance

  

End

  

(-50 BPS)(1)

    

(+50 BPS)(1)

  

5-Year Treasury Future(2)

   $ (750,500 )

Mar-23

   $ (16,186 )   $ 18,207  

10-Year Treasury Ultra(3)

     (174,500 )

Mar-23

     (9,154 )     10,079  

Swaps

     (1,400,000 )

Jul-28

     (31,762 )     30,734  

TBA

     (675,000 )

Jan-23

     (18,292 )     19,202  

Swaptions

     (653,000 )

Jul-24

     (6,440 )     7,157  

Hedge Total

   $ (3,653,000 )     $ (81,834 )   $ 85,379  

Rate Shock Grand Total

             $ 14,276     $ (15,221 )

 

(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 $107.93 at December 31, 2022. The market value of the short position was $809.5 million.

(3)

Ten-year Treasury Ultra futures contracts were valued at prices of $118.28 at December 31, 2022. The market value of the short position was $206.4 million.

 

 

 
 

 

RMBS Assets by Agency

                

($ in thousands)

                
           

Percentage

  
   

Fair

    

of

  

Asset Category

  

Value

    

Portfolio

  

As of December 31, 2022

                

Fannie Mae

   $ 2,320,960       65.6 %

Freddie Mac

     1,219,042       34.4 %

Total Mortgage Assets

   $ 3,540,002       100.0 %

 

 

Investment Company Act of 1940 Whole Pool Test

  

($ in thousands)

                
           

Percentage

  
   

Fair

    

of

  

Asset Category

  

Value

    

Portfolio

  

As of December 31, 2022

                

Non-Whole Pool Assets

   $ 156,874       4.4 %

Whole Pool Assets

     3,383,128       95.6 %

Total Mortgage Assets

   $ 3,540,002       100.0 %

 

Borrowings By Counterparty

                                

($ in thousands)

                                
                   

Weighted

    

Weighted

    
           

% of

    

Average

    

Average

    
   

Total

    

Total

    

Repo

    

Maturity

  

Longest

As of December 31, 2022

  

Borrowings

    

Debt

    

Rate

    

in Days

  

Maturity

Mirae Asset Securities (USA) Inc.

   $ 312,989       9.3 %    

4.23%

     77  

6/22/2023

RBC Capital Markets, LLC

     274,790       8.1 %    

4.50%

     30  

2/13/2023

Daiwa Capital Markets America Inc.

     251,854       7.5 %    

4.48%

     18  

1/17/2023

ED&F Man Capital Markets Inc

     240,587       7.1 %    

4.49%

     29  

3/13/2023

ING Financial Markets LLC

     238,212       7.1 %    

4.47%

     34  

2/2/2023

Cantor Fitzgerald & Co

     229,444       6.8 %    

4.46%

     30  

2/13/2023

ABN AMRO Bank N.V.

     227,888       6.7 %    

4.48%

     14  

1/13/2023

J.P. Morgan Securities LLC

     219,283       6.5 %    

4.49%

     13  

1/23/2023

Merrill Lynch, Pierce, Fenner & Smith

     192,467       5.7 %    

4.47%

     10  

1/30/2023

Citigroup Global Markets Inc

     190,956       5.7 %    

4.32%

     10  

1/23/2023

StoneX Financial Inc.

     184,375       5.5 %    

4.45%

     27  

2/10/2023

Mitsubishi UFJ Securities (USA), Inc

     178,394       5.3 %    

4.43%

     22  

1/30/2023

ASL Capital Markets Inc.

     165,172       4.9 %    

4.50%

     36  

2/13/2023

Goldman, Sachs & Co.

     124,821       3.7 %    

4.53%

     27  

2/23/2023

Santander Bank, N.A.

     115,477       3.4 %    

4.40%

     25  

1/27/2023

Wells Fargo Bank, N.A.

     95,366       2.8 %    

4.46%

     13  

1/12/2023

BMO Capital Markets Corp.

     77,708       2.3 %    

4.37%

     24  

1/23/2023

South Street Securities, LLC

     37,198       1.1 %    

4.48%

     18  

1/17/2023

Lucid Cash Fund USG, LLC

     18,703       0.6 %    

4.38%

     13  

1/12/2023

Lucid Prime Fund, LLC

     2,761       0.1 %    

4.38%

     13  

1/12/2023

Total Borrowings

   $ 3,378,445       100.0 %    

4.44%

     28  

6/22/2023

 

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400