false 0001518621 0001518621 2022-02-16 2022-02-16
 
 
 
 
 
 
 
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):
February 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 February
 
16, 2022,
 
Orchid Island
 
Capital, Inc.
 
(the “Company”)
 
announced that
 
the Board
 
of Directors
 
of the
 
Company
declared a dividend for the month of February 2022 of $0.055 per share of the Company’s common stock to be paid on March
29, 2022 to holders of record on February 28,
 
2022, with an ex-dividend date of February 25, 2022.
 
In addition, the Company
announced
 
certain
 
details
 
of
 
its RMBS
 
portfolio
 
as
 
of
 
January
 
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,
 
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
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: February 16, 2022
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
 

ORCHID ISLAND CAPITAL ANNOUNCES

FEBRUARY 2022 MONTHLY DIVIDEND, AND JANUARY 31, 2022 RMBS PORTFOLIO CHARACTERISTICS

 

·         February 2022 Monthly Dividend of $0.055 Per Share of Common Stock

·         RMBS Portfolio Characteristics as of January 31, 2022

·         Next Dividend Announcement Expected March 16, 2022

 

Vero Beach, Fla., February 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 February 2022. The dividend of $0.055 per share will be paid March 29, 2022, to holders of record of the Company’s common stock on February 28, 2022, with an ex-dividend date of February 25, 2022. The Company plans on announcing its next common stock dividend on March 16, 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 February 16, 2022, January 31, 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 January 31, 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

 

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, 2020.

 

RMBS Valuation Characteristics

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized

Realized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan 2022

Nov - Jan

 

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 Feb)

in Feb)

 

(-50 BPS)(1)

 

(+50 BPS)(1)

Pass Through RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15yr 2.5

$

211,500

$

217,429

3.44%

$

102.80

2.50%

2.87%

 13  

 162  

6.6%

9.3%

$

3,922

$

(4,228)

15yr 4.0

 

430

 

457

0.01%

 

106.22

4.00%

4.54%

 45  

 135  

0.7%

0.7%

 

6

 

(7)

15yr Total

 

211,930

 

217,886

3.45%

 

102.81

2.50%

2.88%

 14  

 162  

6.6%

9.3%

 

3,928

 

(4,235)

30yr 2.5

 

1,050,955

 

1,051,121

16.64%

 

100.02

2.50%

3.30%

 7  

 352  

2.8%

4.8%

 

23,993

 

(29,923)

30yr 3.0

 

4,309,680

 

4,453,578

70.50%

 

103.34

3.00%

3.48%

 10  

 348  

8.6%

8.5%

 

103,208

 

(122,345)

30yr 3.5

 

245,869

 

263,930

4.18%

 

107.35

3.50%

4.04%

 23  

 330  

14.5%

17.1%

 

5,505

 

(6,258)

30yr 4.0

 

107,916

 

116,048

1.84%

 

107.54

4.00%

4.75%

 28  

 330  

27.2%

21.2%

 

1,444

 

(1,867)

30yr Total

 

5,714,420

 

5,884,677

93.15%

 

102.98

2.95%

3.49%

 10  

 348  

8.2%

8.5%

 

134,150

 

(160,393)

Total Pass Through RMBS

 

5,926,350

 

6,102,563

96.60%

 

102.97

2.93%

3.47%

 10  

 341  

8.1%

8.6%

 

138,078

 

(164,628)

Structured RMBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IO 20yr 3.0

 

366,815

 

42,320

0.67%

 

11.54

3.00%

3.69%

 67  

 167  

21.0%

24.5%

 

(2,470)

 

1,738

IO 20yr 4.0

 

13,308

 

1,637

0.03%

 

12.30

4.00%

4.57%

 121  

 112  

13.7%

17.8%

 

(17)

 

10

IO 30yr 3.0

 

90,860

 

12,435

0.20%

 

13.69

3.00%

3.66%

 53  

 298  

15.0%

14.7%

 

(751)

 

558

IO 30yr 3.5

 

784,649

 

130,679

2.07%

 

16.65

3.48%

4.00%

 51  

 300  

18.9%

20.6%

 

(8,735)

 

6,526

IO 30yr 4.0

 

169,891

 

24,403

0.39%

 

14.36

4.00%

4.56%

 69  

 282  

26.4%

27.4%

 

(1,720)

 

1,721

IO 30yr 4.5

 

4,669

 

784

0.01%

 

16.79

4.50%

4.99%

 139  

 208  

23.5%

24.5%

 

(51)

 

45

IO 30yr 5.0

 

2,582

 

423

0.01%

 

16.38

5.00%

5.36%

 139  

 208  

19.1%

27.7%

 

(25)

 

25

IO Total

 

1,432,774

 

212,681

3.37%

 

14.84

3.40%

3.98%

 58  

 262  

20.0%

22.2%

 

(13,769)

 

10,623

IIO 30yr 4.0

 

42,179

 

2,160

0.03%

 

5.12

3.75%

4.41%

 52  

 299  

12.6%

22.3%

 

74

 

(222)

Total Structured RMBS

 

1,474,953

 

214,841

3.40%

 

14.57

3.41%

3.99%

 58  

 263  

19.8%

22.2%

 

(13,695)

 

10,401

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage Assets

$

7,401,303

$

6,317,404

100.00%

 

 

3.03%

3.58%

 20  

 326  

10.4%

11.1%

$

124,383

$

(154,227)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

Interest

 

 

Average

 

Hedge

 

 

 

 

 

 

 

 

 

 

Rate

 

Rate

 

 

Notional

 

Period

 

 

 

 

 

 

 

 

 

 

Sensitivity

 

Sensitivity

Hedge

 

Balance

 

End

 

 

 

 

 

 

 

 

 

 

(-50 BPS)(1)

 

(+50 BPS)(1)

5-Year Treasury Future(2)

$

(944,000)

 

Mar-2022

 

 

 

 

 

 

 

 

 

$

(18,713)

$

35,716

10-Year Treasury Ultra(3)

 

(220,000)

 

Mar-2022

 

 

 

 

 

 

 

 

 

 

(14,985)

 

24,189

Swaps

 

(1,355,000)

 

Jul-2028

 

 

 

 

 

 

 

 

 

 

(30,589)

 

30,589

Swaptions

 

(458,300)

 

Feb-2023

 

 

 

 

 

 

 

 

 

 

(13,455)

 

19,993

Hedge Total

$

(2,977,300)

 

 

 

 

 

 

 

 

 

 

 

$

(77,742)

$

110,487

Rate Shock Grand Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

46,641

$

(43,740)

 

 

(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 $119.20 at January 31, 2022.  The market value of the short position was $1,125.2 million.

(3)    Ten-year Treasury Ultra futures contracts were valued at prices of $142.83 at January 31, 2022.  The market value of the short position was $314.2 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

Portfolio

 

Asset Category

 

Value

Portfolio

As of January 31, 2022

 

 

 

 

As of January 31, 2022

 

 

 

Fannie Mae

$

4,576,565

72.4%

 

Non-Whole Pool Assets

$

290,116

4.6%

Freddie Mac

 

1,740,839

27.6%

 

Whole Pool Assets

 

6,027,288

95.4%

Total Mortgage Assets

$

6,317,404

100.0%

 

Total Mortgage Assets

$

6,317,404

100.0%

 

Borrowings By Counterparty

 

 

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted

Weighted

 

 

 

 

 

% of

 

Average

Average

 

 

 

Total

 

Total

 

Repo

Maturity

Longest

As of January 31, 2022

 

Borrowings

 

Debt

 

Rate

in Days

Maturity

Wells Fargo Bank, N.A.

$

430,856

 

7.1%

 

0.13%

12

2/18/2022

Mirae Asset Securities (USA) Inc.

 

424,755

 

6.9%

 

0.13%

48

9/14/2022

J.P. Morgan Securities LLC

 

421,289

 

6.9%

 

0.14%

11

2/28/2022

RBC Capital Markets, LLC

 

404,661

 

6.6%

 

0.13%

16

2/28/2022

ABN AMRO Bank N.V.

 

403,098

 

6.6%

 

0.14%

30

4/12/2022

Merrill Lynch, Pierce, Fenner & Smith

 

382,142

 

6.2%

 

0.21%

56

4/13/2022

Mitsubishi UFJ Securities (USA), Inc

 

345,349

 

5.6%

 

0.24%

49

4/12/2022

Cantor Fitzgerald & Co

 

337,714

 

5.5%

 

0.13%

38

3/21/2022

Goldman, Sachs & Co.

 

336,585

 

5.5%

 

0.18%

21

2/28/2022

Citigroup Global Markets Inc

 

311,157

 

5.1%

 

0.14%

16

2/22/2022

Santander Bank, N.A.

 

294,089

 

4.8%

 

0.14%

17

2/24/2022

ED&F Man Capital Markets Inc

 

291,081

 

4.7%

 

0.17%

51

4/14/2022

Nomura Securities International, Inc.

 

284,851

 

4.6%

 

0.13%

16

2/22/2022

ASL Capital Markets Inc.

 

269,487

 

4.4%

 

0.13%

27

3/17/2022

ING Financial Markets LLC

 

266,089

 

4.3%

 

0.13%

11

2/11/2022

BMO Capital Markets Corp.

 

242,161

 

3.9%

 

0.17%

28

3/17/2022

Daiwa Capital Markets America Inc.

 

203,310

 

3.3%

 

0.14%

14

2/14/2022

South Street Securities, LLC

 

139,155

 

2.3%

 

0.14%

17

2/18/2022

Barclays Capital Inc

 

133,675

 

2.2%

 

0.12%

14

2/14/2022

Austin Atlantic Asset Management Co.

 

93,031

 

1.5%

 

0.14%

2

2/2/2022

Lucid Cash Fund USG, LLC

 

87,664

 

1.4%

 

0.18%

10

2/10/2022

StoneX Financial Inc.

 

27,648

 

0.5%

 

0.19%

78

4/19/2022

Mizuho Securities USA, Inc

 

3,832

 

0.1%

 

0.57%

11

2/11/2022

Total Borrowings

$

6,133,679

 

100.0%

 

0.15%

27

9/14/2022

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400