Form 8-K - Current report

 

 

 

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): August 14, 2024

 

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 [phone]

 

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. ☐

 

 

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Item 8.01. Other Events.

 

On August 14, 2024, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company declared a dividend for the month of August 2024 of $0.12 per share of the Company’s common stock, to be paid on September 27, 2024 to holders of record on August 30, 2024, with an ex-dividend date of August 30, 2024. In addition, the Company announced certain details of its RMBS portfolio as of July 31, 2024 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, 2023. 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 August 14, 2024
104		Cover Page Interactive Data File (embedded within the Inline XBRL document)

 

 

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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: August 14, 2024		ORCHID ISLAND CAPITAL, INC.
	By:	/s/ Robert E. Cauley
		Robert E. Cauley
		Chairman and Chief Executive Officer

 

 

Exhibit 99.1

 

ORCHID ISLAND CAPITAL ANNOUNCES

AUGUST 2024 MONTHLY DIVIDEND AND

JULY 31, 2024 RMBS PORTFOLIO CHARACTERISTICS

 

●

August 2024 Monthly Dividend of $0.12 Per Share of Common Stock

●

RMBS Portfolio Characteristics as of July 31, 2024

●

Next Dividend Announcement Expected September 9, 2024

 

Vero Beach, Fla., August 14, 2024 - 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 August 2024. The dividend of $0.12 per share will be paid September 27, 2024 to holders of record of the Company’s common stock on August 30, 2024, with an ex-dividend date of August 30, 2024. The Company plans on announcing its next common stock dividend on September 9, 2024.

 

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 August 14, 2024 and July 31, 2024, the Company had 71,338,574 shares of common stock outstanding. As of June 30, 2024, the Company had 64,824,374 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of July 31, 2024 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, 2023.

 

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RMBS Valuation Characteristics
($ in thousands)
																																						Realized
																																		Realized				May-24 -
																																		Jul-24				Jul-24
																		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 Aug)				in Aug)				(-50 BPS)				(+50 BPS)
Fixed Rate RMBS
30yr 3.0		$	1,335,136			$	1,177,040				22.91	%			88.16				3.00	%			3.46	%			40				314				7.0	%			6.0	%		$	35,980			$	(36,469	)
30yr 3.5			183,829				169,086				3.29	%			91.98				3.50	%			4.04	%			53				295				9.5	%			9.7	%			4,622				(4,679	)
30yr 4.0			542,422				508,658				9.90	%			93.78				4.00	%			4.78	%			30				326				7.4	%			5.7	%			12,177				(12,999	)
30yr 4.5			317,163				305,894				5.95	%			96.45				4.50	%			5.44	%			25				332				7.4	%			11.5	%			5,890				(6,512	)
30yr 5.0			524,616				517,127				10.07	%			98.57				5.00	%			5.93	%			23				333				3.9	%			9.4	%			9,116				(10,415	)
30yr 5.5			262,800				264,835				5.16	%			100.77				5.50	%			6.43	%			16				341				7.0	%			8.0	%			4,177				(4,988	)
30yr 6.0			966,079				985,781				19.19	%			102.04				6.00	%			6.99	%			8				348				6.4	%			7.7	%			11,626				(14,657	)
30yr 6.5			791,343				815,206				15.87	%			103.02				6.50	%			7.43	%			7				350				7.9	%			8.7	%			7,001				(9,191	)
30yr 7.0			362,322				376,835				7.34	%			104.01				7.00	%			7.95	%			9				346				11.2	%			13.4	%			2,725				(3,460	)
30yr Total			5,285,710				5,120,462				99.68	%			96.87				4.88	%			5.67	%			23				333				7.2	%			7.8	%			93,314				(103,370	)
Total Pass Through RMBS			5,285,710				5,120,462				99.68	%			96.87				4.88	%			5.67	%			23				333				7.2	%			7.8	%			93,314				(103,370	)
Structured RMBS
IO 20yr 4.0			7,736				757				0.01	%			9.78				4.00	%			4.57	%			151				83				11.6	%			11.2	%			4				(5	)
IO 30yr 3.0			2,712				324				0.01	%			11.96				3.00	%			3.64	%			114				236				1.2	%			0.9	%			(1	)			(1	)
IO 30yr 4.0			75,253				14,021				0.27	%			18.63				4.00	%			4.60	%			119				232				6.0	%			8.0	%			(306	)			194
IO 30yr 4.5			3,281				608				0.01	%			18.52				4.50	%			4.99	%			169				178				7.6	%			5.4	%			(6	)			2
IO 30yr 5.0			1,764				378				0.01	%			21.40				5.00	%			5.37	%			169				179				1.6	%			12.5	%			(7	)			4
IO Total			90,746				16,088				0.31	%			17.73				4.01	%			4.60	%			124				216				6.3	%			8.0	%			(316	)			195
IIO 30yr 4.0			24,525				269				0.01	%			1.10				0.00	%			4.40	%			82				266				5.7	%			4.7	%			90				(73	)
Total Structured RMBS			115,271				16,357				0.32	%			14.19				3.15	%			4.55	%			115				227				6.2	%			7.3	%			(226	)			122
Total Mortgage Assets		$	5,400,981			$	5,136,819				100.00	%							4.84	%			5.65	%			25				330				7.1	%			7.8	%		$	93,088			$	(103,248	)

 

					Hedge		Modeled Interest
		Notional			Period		Rate Sensitivity (1)
Hedge		Balance			End		(-50 BPS)				(+50 BPS)
3-Month SOFR Futures(2)		$	(113,625	)	Dec-26		$	(1,261	)		$	1,261
5-Year Treasury Future(3)			(421,500	)	Sep-24			(8,718	)			8,523
Swaps			(3,386,800	)	Jul-30			(91,762	)			88,443
TBA			(400,000	)	Sep-24			(11,285	)			11,644
Swaptions			(9,400	)	Sep-24			(30	)			90
Hedge Total		$	(4,331,325	)			$	(113,056	)		$	109,961
Rate Shock Grand Total							$	(19,968	)		$	6,713

 

(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)	Amounts for SOFR futures contracts represents the average quarterly notional amount.
(3)	Five-year Treasury futures contracts were valued at prices of $107.89 at July 31, 2024. The market value of the short position was $454.8 million.

 

 

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RMBS Assets by Agency
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of July 31, 2024
Fannie Mae		$	3,482,907				67.8	%
Freddie Mac			1,653,912				32.2	%
Total Mortgage Assets		$	5,136,819				100.0	%

 

 

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
						Percentage
		Fair				of
Asset Category		Value				Portfolio
As of July 31, 2024
Non-Whole Pool Assets		$	134,637				2.6	%
Whole Pool Assets			5,002,182				97.4	%
Total Mortgage Assets		$	5,136,819				100.0	%

 

 

Borrowings By Counterparty
($ in thousands)
										Weighted				Weighted
						% of				Average				Average
		Total				Total				Repo				Maturity			Longest
As of July 31, 2024		Borrowings				Debt				Rate				in Days			Maturity
ABN AMRO Bank N.V.		$	378,676				7.7	%			5.44	%			28		10/15/2024
Merrill Lynch, Pierce, Fenner & Smith			373,612				7.6	%			5.48	%			17		8/27/2024
ASL Capital Markets Inc.			345,633				7.0	%			5.44	%			66		11/15/2024
DV Securities, LLC Repo			274,576				5.6	%			5.46	%			43		9/27/2024
Mitsubishi UFJ Securities (USA), Inc			263,791				5.4	%			5.48	%			22		8/29/2024
J.P. Morgan Securities LLC			249,090				5.1	%			5.48	%			8		8/26/2024
Banco Santander SA			245,402				5.0	%			5.48	%			17		8/19/2024
Citigroup Global Markets Inc			244,095				5.0	%			5.47	%			23		8/26/2024
Wells Fargo Bank, N.A.			242,624				4.9	%			5.46	%			12		8/12/2024
Cantor Fitzgerald & Co			239,691				4.9	%			5.46	%			13		8/13/2024
Marex Capital Markets Inc.			220,831				4.5	%			5.45	%			19		8/19/2024
Goldman, Sachs & Co			208,296				4.2	%			5.49	%			15		8/15/2024
Bank of Montreal			206,519				4.2	%			5.47	%			13		8/13/2024
ING Financial Markets LLC			197,103				4.0	%			5.47	%			6		8/19/2024
Daiwa Securities America Inc.			195,131				4.0	%			5.47	%			22		8/23/2024
Clear Street LLC			190,851				3.9	%			5.46	%			24		9/20/2024
Mirae Asset Securities (USA) Inc.			189,185				3.9	%			5.47	%			48		9/18/2024
StoneX Financial Inc.			157,395				3.2	%			5.48	%			50		9/19/2024
South Street Securities, LLC			150,210				3.1	%			5.46	%			34		9/24/2024
The Bank of Nova Scotia			150,196				3.1	%			5.47	%			15		8/15/2024
RBC Capital Markets, LLC			141,432				2.9	%			5.49	%			13		8/13/2024
Lucid Prime Fund, LLC			23,658				0.5	%			5.50	%			15		8/15/2024
Lucid Cash Fund USG LLC			17,078				0.3	%			5.50	%			15		8/15/2024
Total Borrowings		$	4,905,075				100.0	%			5.47	%			25		11/15/2024

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: [phone]

 

 

Document And Entity Information	Aug. 14, 2024
Document Information [Line Items]
Entity, Registrant Name	Orchid Island Capital, Inc.
Document, Type	8-K
Document, Period End Date	Aug. 14, 2024
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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