false 0001518621 0001518621 2022-09-12 2022-09-12
 
 
 
 
 
 
 
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):
September 12, 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 September 12, 2022, Orchid Island Capital, Inc. (the “Company”) announced
 
that the Board of Directors of the Company
declared a dividend for the month of September 2022 of $0.16 per
 
share of the Company’s common stock, to be
 
paid on
October 27, 2022 to holders of record on September 30, 2022, with an ex-dividend
 
date of September 29, 2022. In addition,
the Company announced certain details of its RMBS portfolio as of August 31, 2022
 
as well as certain other information
regarding the Company.
 
A copy of the Company’s press release announcing
 
the dividend and 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: September 12, 2022
 
ORCHID ISLAND CAPITAL,
 
INC.
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHID ISLAND CAPITAL ANNOUNCES
SEPTEMBER 2022 MONTHLY DIVIDEND AND AUGUST 31, 2022 RMBS
PORTFOLIO CHARACTERISTICS
●
September 2022 Monthly Dividend of $0.16 Per Share of Common Stock
●
RMBS Portfolio Characteristics as of August 31, 2022
●
Next Dividend Announcement Expected October 12, 2022
Vero
 
Beach, Fla., September 12, 2022 - 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 September 2022. The dividend
of $0.16 per share will be paid October 27, 2022
 
to holders of record of the Company’s common stock on September 30, 2022,
with
 
an
 
ex-dividend
 
date
 
of
 
September
 
29,
 
2022.
 
The
 
Company
 
plans
 
on
 
announcing
 
its
 
next
 
common
 
stock
 
dividend
 
on
October 12, 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 September 12, 2022, the
 
Company had 35,075,239 shares of common stock
 
outstanding. As of August 31, 2022
 
and June
30, 2022, the Company had 35,250,239 shares of common stock outstanding,
 
adjusted for the Company’s one-for-five
 
reverse
stock split effective August 30, 2022.
 
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of August
 
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
●
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
Aug 2022
Jun - Aug
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 Sep)
in Sep)
(-50 BPS)
(2)
(+50 BPS)
(2)
Pass Through RMBS
15yr 4.0
$
411
$
413
0.01%
$
100.46
4.00%
4.54%
 
52
 
 
127
 
0.7%
0.8%
$
7
$
(7)
15yr Total
411
413
0.01%
100.46
4.00%
4.54%
 
52
 
 
127
 
0.7%
0.8%
7
(7)
30yr 3.0
3,417,993
3,188,340
74.66%
93.28
3.00%
3.46%
 
17
 
 
340
 
6.3%
6.5%
101,295
(105,745)
30yr 3.5
221,920
215,654
5.05%
97.18
3.50%
4.03%
 
30
 
 
321
 
10.1%
11.4%
6,018
(6,250)
30yr 4.0
279,622
274,982
6.44%
98.34
4.00%
4.72%
 
14
 
 
345
 
6.6%
7.3%
6,174
(6,922)
30yr 4.5
371,742
370,995
8.69%
99.80
4.50%
5.45%
 
2
 
 
359
 
n/a
n/a
5,623
(6,897)
30yr 5.0
55,453
56,119
1.31%
101.20
5.00%
5.92%
 
2
 
 
359
 
12.0%
n/a
678
(852)
30yr Total
4,346,730
4,106,090
96.15%
94.46
3.24%
3.77%
 
16
 
 
341
 
6.6%
6.8%
119,788
(126,666)
Total Pass Through
 
RMBS
4,347,141
4,106,503
96.16%
94.46
3.24%
3.77%
 
16
 
 
341
 
6.6%
6.8%
119,795
(126,673)
Structured RMBS
IO 20yr 3.0
321,009
37,756
0.88%
11.76
3.00%
3.69%
 
74
 
 
159
 
10.0%
10.9%
(331)
153
IO 20yr 4.0
11,540
1,373
0.03%
11.90
4.00%
4.57%
 
128
 
 
105
 
13.3%
12.3%
1
(4)
IO 30yr 3.0
40,417
6,292
0.15%
15.57
3.00%
3.69%
 
38
 
 
315
 
13.3%
14.5%
(173)
135
IO 30yr 3.5
491,842
91,966
2.15%
18.70
3.50%
4.01%
 
57
 
 
294
 
10.4%
11.0%
(1,736)
1,154
IO 30yr 4.0
143,093
24,875
0.58%
17.38
4.00%
4.55%
 
76
 
 
275
 
12.3%
14.7%
(837)
668
IO 30yr 4.5
4,105
725
0.02%
17.66
4.50%
4.99%
 
146
 
 
201
 
11.6%
10.6%
(18)
14
IO 30yr 5.0
2,253
445
0.01%
19.73
5.00%
5.36%
 
146
 
 
201
 
2.4%
14.1%
(14)
11
IO Total
1,014,259
163,432
3.83%
16.11
3.41%
3.99%
 
65
 
 
246
 
10.7%
11.7%
(3,108)
2,131
IIO 30yr 4.0
34,042
736
0.02%
2.16
1.92%
4.40%
 
60
 
 
290
 
23.4%
12.8%
181
(159)
Total Structured
 
RMBS
1,048,301
164,168
3.84%
15.66
3.36%
4.00%
 
65
 
 
248
 
11.1%
11.7%
(2,927)
1,972
Total Mortgage Assets
$
5,395,442
$
4,270,671
100.00%
3.27%
3.82%
 
25
 
 
323
 
7.6%
7.8%
$
116,868
$
(124,701)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)
(2)
(+50 BPS)
(2)
5-Year Treasury
 
Future
(3)
$
(1,200,500)
Dec-2022
$
(27,346)
$
31,640
10-Year Treasury
 
Ultra
(4)
(274,500)
Dec-2022
(16,897)
17,978
Swaps
(1,400,000)
Jul-2028
(35,518)
34,325
TBA
(175,000)
Oct-2022
(5,361)
5,550
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaptions
(826,900)
Jul-2025
(14,138)
11,159
Hedge Total
$
(3,876,900)
$
(99,260)
$
100,652
Rate Shock Grand Total
$
17,608
$
(24,049)
(1)
Amounts in the tables above include assets with a fair value of approximately
 
$371.0 million purchased in August 2022, which settle in September
 
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 $110.82 at August 31, 2022.
 
The market value of the short position was $1,330.4 million.
(4)
Ten-year Treasury
 
Ultra futures contracts were valued at prices of $125.19 at August 31, 2022.
 
The market value of the short position was $343.6 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
(1)
Portfolio
Asset Category
Value
(1)
Portfolio
As of August 31, 2022
As of August 31, 2022
Fannie Mae
$
2,866,484
67.1%
Non-Whole Pool Assets
$
259,030
6.1%
Freddie Mac
1,404,186
32.9%
Whole Pool Assets
4,011,640
93.9%
Total Mortgage Assets
$
4,270,670
100.0%
Total Mortgage Assets
$
4,270,670
100.0%
(1)
 
Amounts in the tables above include assets with a fair value of approximately
 
$371.0 million purchased in August 2022, which settle in September
 
2022.
 
 
 
 
 
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of August 31, 2022
Borrowings
(1)
Debt
Rate
in Days
Maturity
J.P.
 
Morgan Securities LLC
$
350,323
9.3%
2.41%
13
9/26/2022
Mirae Asset Securities (USA) Inc.
347,836
9.3%
2.06%
43
1/30/2023
Mitsubishi UFJ Securities (USA), Inc
328,481
8.8%
2.71%
36
11/8/2022
ABN AMRO Bank N.V.
321,115
8.6%
2.62%
57
11/15/2022
Merrill Lynch, Pierce, Fenner & Smith
313,086
8.4%
2.50%
24
10/21/2022
Cantor Fitzgerald & Co
244,711
6.5%
2.55%
38
11/16/2022
ED&F Man Capital Markets Inc
232,222
6.2%
2.36%
21
9/22/2022
RBC Capital Markets, LLC
224,605
6.0%
2.38%
6
9/14/2022
ING Financial Markets LLC
199,799
5.3%
2.38%
22
9/22/2022
Daiwa Capital Markets America Inc.
179,821
4.8%
2.36%
17
9/22/2022
Santander Bank, N.A.
171,740
4.6%
2.51%
28
9/29/2022
Goldman, Sachs & Co.
157,918
4.2%
2.51%
27
9/29/2022
ASL Capital Markets Inc.
136,326
3.6%
2.38%
16
9/16/2022
Wells Fargo Bank, N.A.
119,485
3.2%
2.48%
37
11/10/2022
Citigroup Global Markets Inc
115,187
3.1%
2.53%
39
10/24/2022
BMO Capital Markets Corp.
109,982
2.9%
2.44%
25
11/18/2022
StoneX Financial Inc.
77,380
2.1%
2.39%
22
9/22/2022
South Street Securities, LLC
59,791
1.6%
2.39%
19
9/19/2022
Nomura Securities International, Inc.
35,099
0.9%
2.38%
21
9/21/2022
Lucid Cash Fund USG, LLC
23,506
0.6%
2.38%
8
9/8/2022
Total Borrowings
$
3,748,413
100.0%
2.44%
29
1/30/2023
(1)
In
 
August
 
2022,
 
the
 
Company
 
purchased
 
assets
 
with
 
a
 
fair
 
value
 
of
 
approximately
 
$371.0
 
million,
 
which
 
settle
 
in
September 2022 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