false 0001518621 0001518621 2023-09-11 2023-09-11
 
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): September 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 8.01. Other Events.
 
On September 11, 2023, Orchid Island Capital, Inc. (the "Company") announced that the Board of Directors of the Company declared a dividend for the month of September 2023 of $0.16 per share of the Company’s common stock, to be paid on October 27, 2023 to holders of record on September 29, 2023, with an ex-dividend date of September 28, 2023. In addition, the Company announced certain details of its RMBS portfolio as of August 31, 2023 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, 2022. 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
   Press Release dated September 11, 2023
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 11, 2023
 
 ORCHID ISLAND CAPITAL, INC.
   
   
 
By:
/s/ Robert E. Cauley
   
Robert E. Cauley
   
Chairman and Chief Executive Officer
 
 

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

SEPTEMBER 2023 MONTHLY DIVIDEND AND

AUGUST 31, 2023 RMBS PORTFOLIO CHARACTERISTICS

 

 

●

September 2023 Monthly Dividend of $0.16 Per Share of Common Stock
 

●

RMBS Portfolio Characteristics as of August 31, 2023
 

●

Next Dividend Announcement Expected October 11, 2023 

 

Vero Beach, Fla., September 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 September 2023. The dividend of $0.16 per share will be paid October 27, 2023 to holders of record of the Company’s common stock on September 29, 2023, with an ex-dividend date of September 28, 2023. The Company plans on announcing its next common stock dividend on October 11, 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 September 11, 2023, the Company had 52,121,160 shares of common stock outstanding. As of August 31, 2023, the Company had 52,106,160 shares of common stock outstanding. As of June 30, 2023, the Company had 43,896,709 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of August 31, 2023 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, 2022.

 

 
 

 

RMBS Valuation Characteristics

  

($ in thousands)

                                                                                            
                                                                         

Realized

              
                                                                   

Realized

    

Jun 23 -

              
                                                                    Aug-23     Aug-23              
                                   

Net

                    

Weighted

    

CPR

    

CPR

              
                                    Weighted                     Average     (1-Month)     (3-Month)     Modeled Interest  
   

Current

    

Fair

    

% of

    

Current

    

Average

                    

Maturity

    

(Reported

    

(Reported

    

Rate Sensitivity (1)

  

Type

  

Face

    

Value

    

Portfolio

    

Price

    

Coupon

    

GWAC

    

Age

    

(Months)

    

in Sep)

    

in Sep)

    

(-50 BPS)

    

(+50 BPS)

  

Fixed Rate RMBS

                                                                                                

15yr 4.0

   $ 377     $ 366       0.01 %   $ 97.09       4.00 %     4.54 %     64       114       0.8 %     0.8 %   $ 6     $ (6 )

15yr 5.0 TBA

     100,000       98,797       2.17 %     98.80       5.00 %     5.67 %     10       166       n/a       n/a       1,290       (1,466 )

15yr Total

     100,377       99,163       2.18 %     98.79       5.00 %     5.66 %     10       166       0.8 %     0.8 %     1,296       (1,472 )

30yr 3.0

     2,439,957       2,120,116       46.65 %     86.89       3.00 %     3.44 %     28       327       6.7 %     6.2 %     69,945       (70,569 )

30yr 3.5

     200,480       182,750       4.02 %     91.16       3.50 %     4.04 %     42       308       4.7 %     6.6 %     5,231       (5,273 )

30yr 4.0

     573,906       531,542       11.70 %     92.62       4.00 %     4.78 %     19       339       5.9 %     5.5 %     13,645       (14,563 )

30yr 4.5

     351,118       333,748       7.34 %     95.05       4.50 %     5.45 %     14       345       7.5 %     6.9 %     6,879       (7,541 )

30yr 5.0

     565,711       549,464       12.09 %     97.13       5.00 %     5.93 %     12       347       8.0 %     6.9 %     10,657       (12,009 )

30yr 5.5

     276,535       274,660       6.04 %     99.32       5.50 %     6.42 %     5       355       3.1 %     3.2 %     4,560       (5,398 )

30yr 6.0

     232,691       234,442       5.16 %     100.75       6.00 %     7.01 %     6       350       6.1 %     7.8 %     3,009       (3,638 )

30yr 6.5

     196,037       199,884       4.40 %     101.96       6.50 %     7.40 %     2       358       12.3 %     n/a       2,068       (2,585 )

30yr Total

     4,836,435       4,426,606       97.41 %     91.53       3.91 %     4.56 %     21       335       6.7 %     6.2 %     115,994       (121,576 )

Total Pass Through RMBS

     4,936,812       4,525,769       99.59 %     91.67       3.93 %     4.58 %     21       332       6.7 %     6.2 %     117,290       (123,049 )

Structured RMBS

                                                                                                

IO 20yr 4.0

     9,376       1,003       0.02 %     10.70       4.00 %     4.57 %     140       93       7.1 %     7.8 %     5       (4 )

IO 30yr 3.0

     3,003       365       0.01 %     12.17       3.00 %     3.64 %     103       246       0.7 %     7.3 %     (1 )     -  

IO 30yr 4.0

     84,340       15,843       0.35 %     18.78       4.00 %     4.60 %     108       243       4.9 %     7.0 %     (306 )     232  

IO 30yr 4.5

     3,624       686       0.02 %     18.93       4.50 %     4.99 %     158       188       7.9 %     8.8 %     (5 )     3  

IO 30yr 5.0

     1,988       400       0.01 %     20.11       5.00 %     5.36 %     158       190       14.3 %     8.5 %     (6 )     4  

IO Total

     102,331       18,297       0.40 %     17.88       4.01 %     4.60 %     114       226       5.2 %     7.2 %     (313 )     234  

IIO 30yr 4.0

     28,890       313       0.01 %     1.08       0.00 %     4.40 %     71       278       0.6 %     0.5 %     82       (70 )

Total Structured RMBS

     131,221       18,610       0.41 %     14.18       3.13 %     4.55 %     104       238       4.2 %     5.7 %     (231 )     164  
                                                                                                 

Total Mortgage Assets

   $ 5,068,033     $ 4,544,379       100.00 %             3.91 %     4.58 %     23       329       6.7 %     6.2 %   $ 117,059     $ (122,885 )

 

   

Average

  

Hedge

  

Modeled Interest

  
   

Notional

  

Period

  

Rate Sensitivity (1)

  

Hedge

  

Balance

  

End

  

(-50 BPS)

    

(+50 BPS)

  

5-Year Treasury Future(2)

   $ (471,500 )

Dec-23

   $ (9,668 )   $ 9,445  

10-Year Treasury Future(3)

     (395,000 )

Dec-23

     (12,829 )     12,454  

10-Year Ultra Treasury Future(4)

     (244,200 )

Dec-23

     (11,464 )     10,920  

Swaps

     (2,326,500 )

Nov-29

     (59,796 )     57,565  

TBA

     (350,000 )

Sep-23

     (9,694 )     9,969  

Swaptions

     (1,000,000 )

Dec-24

     (1,822 )     2,541  

Hedge Total

   $ (4,787,200 )     $ (105,273 )   $ 102,894  

Rate Shock Grand Total

             $ 11,786     $ (19,991 )

 

(1)

Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR 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 $106.92 at August 31, 2023. The market value of the short position was $504.1 million.
(3) Ten-year Treasury futures contracts were valued at prices of $111.03 at August 31, 2023. The market value of the short position was $438.6 million.

(4)

Ten-year Treasury Ultra futures contracts were valued at prices of $116.11 at August 31, 2023. The market value of the short position was $283.5 million.

 

 

 
 

 

RMBS Assets by Agency

                

($ in thousands)

                
           

Percentage

  
   

Fair

    

of

  

Asset Category

  

Value

    

Portfolio

  

As of August 31, 2023

                

Fannie Mae

   $ 3,018,946       66.4 %

Freddie Mac

     1,525,433       33.6 %

Total Mortgage Assets

   $ 4,544,379       100.0 %

 

 

Investment Company Act of 1940 Whole Pool Test

  

($ in thousands)

                
           

Percentage

  
   

Fair

    

of

  

Asset Category

  

Value

    

Portfolio

  

As of August 31, 2023

                

Non-Whole Pool Assets

   $ 145,213       3.2 %

Whole Pool Assets

     4,399,166       96.8 %

Total Mortgage Assets

   $ 4,544,379       100.0 %

 

Borrowings By Counterparty

                                  

($ in thousands)

                                  
                   

Weighted

    

Weighted

    
           

% of

    

Average

    

Average

    
   

Total

    

Total

    

Repo

    

Maturity

  

Longest

As of August 31, 2023

  

Borrowings

    

Debt

    

Rate

    

in Days

  

Maturity

Wells Fargo Bank, N.A.

   $ 361,504       8.5 %    

5.48%

       41  

11/7/2023

Mirae Asset Securities (USA) Inc.

     340,871       8.0 %    

5.43%

       28  

12/22/2023

ASL Capital Markets Inc.

     328,989       7.7 %    

5.41%

       19  

9/29/2023

J.P. Morgan Securities LLC

     328,646       7.7 %    

5.44%

       14  

9/14/2023

Mitsubishi UFJ Securities (USA), Inc

     322,769       7.6 %    

5.45%

       23  

10/20/2023

RBC Capital Markets, LLC

     298,148       7.0 %    

5.44%

       16  

9/18/2023

Citigroup Global Markets Inc

     297,293       7.0 %    

5.45%

       29  

10/2/2023

Daiwa Securities America Inc.

     234,371       5.5 %    

5.49%

       47  

10/17/2023

Marex Capital Markets Inc.

     225,680       5.3 %    

5.43%

       31  

10/5/2023

ING Financial Markets LLC

     222,891       5.2 %    

5.47%

       21  

9/21/2023

ABN AMRO Bank N.V.

     211,135       4.9 %    

5.52%

       75  

11/14/2023

Cantor Fitzgerald & Co

     208,925       4.9 %    

5.48%

       43  

10/16/2023

Banco Santander SA

     190,030       4.4 %    

5.46%

       23  

10/5/2023

Merrill Lynch, Pierce, Fenner & Smith

     178,530       4.2 %    

5.46%

       16  

10/25/2023

StoneX Financial Inc.

     171,605       4.0 %    

5.43%

       13  

9/15/2023

Goldman, Sachs & Co

     141,554       3.3 %    

5.44%

       14  

9/25/2023

South Street Securities, LLC

     117,859       2.8 %    

5.36%

       26  

9/29/2023

Bank of Montreal

     71,113       1.7 %    

5.46%

       18  

9/18/2023

Lucid Cash Fund USG LLC

     10,707       0.3 %    

5.45%

       14  

9/14/2023

Lucid Prime Fund, LLC

     8,699       0.2 %    

5.45%

       14  

9/14/2023

Total Borrowings

   $ 4,271,319       100.0 %    

5.45%

       28  

12/22/2023

 

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400

 

 
v3.23.2
Document And Entity Information
Sep. 11, 2023
Document Information [Line Items]  
Entity, Registrant Name Orchid Island Capital, Inc.
Document, Type 8-K
Document, Period End Date Sep. 11, 2023
Entity, Incorporation, State or Country Code MD
Entity, File Number 001-35236
Entity, Tax Identification Number 27-3269228
Entity, Address, Address Line One 3305 Flamingo Drive
Entity, Address, City or Town Vero Beach
Entity, Address, State or Province FL
Entity, Address, Postal Zip Code 32963
City Area Code 772
Local Phone Number 231-1400
Written Communications false
Soliciting Material false
Pre-commencement Tender Offer false
Pre-commencement Issuer Tender Offer false
Title of 12(b) Security Common Stock
Trading Symbol ORC
Security Exchange Name NYSE
Entity, Emerging Growth Company false
Amendment Flag false
Entity, Central Index Key 0001518621
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