false 0001518621 0001518621 2022-05-11 2022-05-11
 
 
 
 
 
 
 
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):
May 11, 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 May 11, 2022, Orchid
 
Island Capital, Inc. (the
 
“Company”) announced that the
 
Board of Directors
 
of the Company
 
declared
a dividend
 
for the
 
month of
 
May 2022
 
of $0.045
 
per share
 
of the
 
Company’s
 
common stock
 
to be
 
paid on
 
June 28,
 
2022 to
holders of
 
record on
 
May 31, 2022
 
,
 
with an
 
ex-dividend date
 
of May
 
27, 2022.
 
In addition,
 
the Company
 
announced certain
details of its RMBS
 
portfolio as of April
 
30, 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 and the
 
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,
 
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: May 11, 2022
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHID ISLAND CAPITAL ANNOUNCES
MAY
 
2022 MONTHLY DIVIDEND AND APRIL 30, 2022 RMBS PORTFOLIO
CHARACTERISTICS
●
May 2022 Monthly Dividend of $0.045 Per Share of Common Stock
●
RMBS Portfolio Characteristics as of April 30, 2022
●
Next Dividend Announcement Expected June 14, 2022
Vero
 
Beach, Fla., May 11, 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
 
May 2022.
 
The dividend
 
of
$0.045 per share
 
will be paid June
 
28, 2022, to holders
 
of record of the
 
Company’s common
 
stock on May 31,
 
2022, with an
ex-dividend date of May 27, 2022. The Company plans on announcing
 
its next common stock dividend on June 14, 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 May 11, 2022, April 30, 2022 and March 31, 2022, the Company had 177,117,186 shares of common stock outstanding.
 
RMBS Portfolio Characteristics
Details of the RMBS portfolio
 
as of April 30, 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
 
and
 
the
 
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, 2021.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Apr 2022
Feb - Apr
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 May)
in May)
(-50 BPS)
(2)
(+50 BPS)
(2)
Pass Through RMBS
15yr 2.5
$
422
$
434
0.01%
$
102.82
4.00%
4.54%
 
48
 
 
132
 
0.8%
0.7%
$
7
$
(7)
15yr TBA
200,000
196,498
4.64%
98.25
3.19%
3,908
(4,166)
15yr Total
200,422
196,932
4.65%
98.26
3.19%
4.54%
 
48
 
 
132
 
0.8%
0.7%
3,915
(4,173)
30yr 3.0
3,529,349
3,354,573
79.22%
95.05
3.00%
3.47%
 
13
 
 
345
 
7.5%
6.8%
100,185
(106,588)
30yr 3.5
234,038
230,649
5.45%
98.55
3.50%
4.03%
 
26
 
 
326
 
11.6%
13.8%
6,092
(6,424)
30yr 4.0
272,605
272,381
6.43%
99.92
4.00%
1.70%
 
12
 
 
117
 
23.0%
29.4%
5,896
(6,665)
30yr Total
4,035,992
3,857,603
91.10%
95.58
3.10%
3.38%
 
13
 
 
328
 
8.1%
7.8%
112,173
(119,677)
Total Pass Through
 
RMBS
4,236,414
4,054,535
95.76%
95.71
3.10%
3.38%
 
13
 
 
328
 
8.1%
7.8%
116,088
(123,850)
Structured RMBS
IO 20yr 3.0
342,464
40,793
0.96%
11.91
3.00%
3.69%
 
70
 
 
164
 
15.8%
17.9%
(723)
464
IO 20yr 4.0
12,492
1,525
0.04%
12.20
4.00%
4.57%
 
124
 
 
109
 
17.1%
15.9%
(1)
(1)
IO 30yr 3.0
42,836
7,036
0.17%
16.43
3.00%
3.69%
 
34
 
 
319
 
14.6%
17.3%
(286)
220
IO 30yr 3.5
517,016
99,925
2.36%
19.33
3.50%
4.01%
 
53
 
 
298
 
12.9%
15.3%
(2,914)
2,133
IO 30yr 4.0
154,709
27,986
0.66%
18.09
4.00%
4.56%
 
72
 
 
279
 
19.9%
24.6%
(1,165)
1,026
IO 30yr 4.5
4,350
774
0.02%
17.80
4.50%
4.99%
 
142
 
 
205
 
20.3%
20.3%
(23)
19
IO 30yr 5.0
2,407
432
0.01%
17.96
5.00%
5.36%
 
142
 
 
204
 
15.1%
20.5%
(15)
12
IO Total
1,076,274
178,471
4.21%
16.58
3.41%
3.99%
 
62
 
 
251
 
15.0%
17.6%
(5,127)
3,873
IIO 30yr 4.0
36,690
1,261
0.03%
3.44
3.53%
4.41%
 
56
 
 
296
 
21.5%
29.9%
205
(214)
Total Structured
 
RMBS
1,112,964
179,732
4.24%
16.15
3.41%
4.00%
 
61
 
 
252
 
15.2%
18.0%
(4,922)
3,659
Total Mortgage Assets
$
5,349,378
$
4,234,267
100.00%
3.17%
3.51%
 
24
 
 
312
 
9.7%
10.1%
$
111,166
$
(120,191)
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
$
(31,130)
$
31,251
10-Year Treasury
 
Ultra
(4)
(270,000)
Jun-2022
(21,135)
17,781
TBA
(250,000)
Jun-2022
(7,735)
8,208
Swaps
(1,400,000)
Jul-2028
(38,102)
36,748
Swaptions
(777,800)
Mar-2023
(22,697)
22,884
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Hedge Total
$
(3,891,800)
$
(120,799)
$
116,872
Rate Shock Grand Total
$
(9,633)
$
(3,319)
(1)
Amounts in
 
the tables
above include
 
assets with a
 
fair value of
 
approximately $174.5
 
million purchased in
 
April 2022, which
 
settle in May
 
2022, and exclude
 
assets
with a fair value of approximately $352.6 million sold in April 2022, which
 
settle in May 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 $112.67 at April 30, 2022.
 
The market value of the short position was $1,345.3 million.
(4)
Ten-year Treasury
 
Ultra futures contracts were valued at prices of $129.00 at April 30, 2022.
 
The market value of the short position was $348.3 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
(1)
($ in thousands)
(1)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
Portfolio
Asset Category
Value
Portfolio
As of April 30, 2022
As of April 30, 2022
Fannie Mae
$
2,847,347
70.5%
Non-Whole Pool Assets
$
245,138
6.1%
Freddie Mac
1,190,423
29.5%
Whole Pool Assets
3,792,632
93.9%
Total Mortgage Assets
$
4,037,770
100.0%
Total Mortgage Assets
$
4,037,770
100.0%
(1)
 
Amounts in the tables above include assets with a fair value of approximately
 
$174.5 million purchased in April 2022, which settle in May 2022, and exclude
 
assets
with a fair value of approximately $352.6 million sold in April 2022, which
 
settle in May 2022.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of April 30, 2022
Borrowings
(1)
Debt
Rate
in Days
Maturity
J.P.
 
Morgan Securities LLC
$
372,217
9.0%
0.70%
43
7/25/2022
ABN AMRO Bank N.V.
335,617
8.2%
0.84%
67
7/14/2022
Mitsubishi UFJ Securities (USA), Inc
317,646
7.7%
0.84%
41
7/28/2022
Merrill Lynch, Pierce, Fenner & Smith Inc.
309,881
7.5%
0.84%
56
7/13/2022
Cantor Fitzgerald & Co
304,373
7.4%
0.61%
32
6/17/2022
ED&F Man Capital Markets Inc
262,263
6.4%
0.69%
41
7/25/2022
Mirae Asset Securities (USA) Inc.
258,676
6.3%
0.41%
38
9/14/2022
RBC Capital Markets, LLC
233,102
5.7%
0.86%
65
7/14/2022
ING Financial Markets LLC
221,203
5.4%
0.40%
5
5/5/2022
Goldman, Sachs & Co.
199,411
4.9%
0.77%
24
5/25/2022
ASL Capital Markets Inc.
188,140
4.6%
0.64%
24
6/21/2022
Santander Bank, N.A.
179,576
4.4%
0.82%
51
7/25/2022
Citigroup Global Markets Inc
177,318
4.3%
0.70%
30
6/24/2022
Daiwa Capital Markets America Inc.
151,289
3.7%
0.73%
47
6/16/2022
Nomura Securities International, Inc.
133,438
3.2%
0.61%
18
5/18/2022
Wells Fargo Bank, N.A.
125,542
3.1%
0.81%
62
7/21/2022
BMO Capital Markets Corp.
119,125
2.9%
0.64%
18
5/20/2022
Austin Atlantic Asset Management Co.
84,200
2.0%
0.39%
4
5/4/2022
South Street Securities, LLC
61,524
1.5%
0.60%
18
5/18/2022
Lucid Cash Fund USG, LLC
44,673
1.1%
0.63%
12
5/12/2022
StoneX Financial Inc.
24,410
0.6%
0.61%
19
5/19/2022
Mizuho Securities USA, Inc
4,235
0.1%
1.00%
12
5/12/2022
Total Borrowings
$
4,107,859
100.0%
0.70%
39
9/14/2022
(1)
In April 2022, the Company purchased assets with a fair value of approximately $174.5 million, which settle in May 2022
that are expected to be funded
 
substantially by repurchase agreements
 
not included in the table above.
 
In April 2022, the
Company
 
sold
 
assets
 
with
 
a
 
fair
 
value
 
of
 
approximately
 
$352.6
 
million,
 
which
 
settle
 
in
 
May
 
2022
 
that
 
collateralize
approximately $348.6 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