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): July 10, 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 (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 2.02. Results of Operations and Financial Condition.

On July 10, 2024, Orchid Island Capital, Inc. (the “Company”) announced its estimated book value of $8.58 per share as of June 30, 2024, certain details of its RMBS portfolio as of June 30, 2024, and estimated GAAP net loss per share of $0.09 for the quarter ended June 30, 2024. These figures and the estimated book value per share and estimated GAAP net loss per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm.

Item 8.01. Other Events.

On July 10, 2024, the Company announced that the Board of Directors of the Company declared a dividend for the month of July 2024 of $0.12 per share of the Company’s common stock, to be paid on August 29, 2024 to holders of record on July 31, 2024, with an ex-dividend date of July 31, 2024. In addition, the Company announced certain details of its RMBS portfolio as of June 30, 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 July 10, 2024
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: July 10, 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

ESTIMATED SECOND QUARTER 2024 RESULTS

JULY 2024 MONTHLY DIVIDEND AND

JUNE 30, 2024 RMBS PORTFOLIO CHARACTERISTICS

●

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

	●	Estimated Book Value Per Share as of June 30, 2024 of $8.58
	●	Estimated GAAP net loss of $0.09 per share for the quarter ended June 30, 2024, including an estimated $0.1 million of net realized and unrealized gains on RMBS and derivative instruments
	●	Estimated (2.0)% total return on equity for the quarter ended June 30, 2024
	●	Estimated book value, net loss and total return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm
	●	RMBS Portfolio Characteristics as of June 30, 2024

●

Next Dividend Announcement Expected August 14, 2024

Vero Beach, Fla., July 10, 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 July 2024. The dividend of $0.12 per share will be paid August 29, 2024 to holders of record of the Company’s common stock on July 31, 2024, with an ex-dividend date of July 31, 2024. The Company plans on announcing its next common stock dividend on August 14, 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 July 10, 2024, the Company had 66,849,374 shares of common stock outstanding. As of June 30, 2024, the Company had 64,824,374 shares of common stock outstanding. As of March 31, 2024, the Company had 52,826,169 shares of common stock outstanding.

Estimated June 30, 2024 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2024 was $8.58. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At June 30, 2024, the Company's preliminary estimated total stockholders' equity was approximately $555.9 million with 64,824,374 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.09 for the quarter ended June 30, 2024, which includes an estimated $0.1 million of net realized and unrealized gains on RMBS and derivative instruments. These amounts compare to total dividends declared during the quarter of $0.36 per share. Net income (loss) per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Total Return on Equity

The Company’s estimated total return on equity for the quarter ended June 30, 2024 was (2.0)%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $(0.18) per share, comprised of dividends per share of $0.36 and a decrease in book value per share of $0.54 from March 31, 2024.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 2024 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company's financial statements and associated footnotes as of and for the quarter ended June 30, 2024, are subject to review by the Company's independent registered public accounting firm:

●

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.

RMBS Valuation Characteristics
($ in thousands)
																							Realized
																				Realized			Apr-24 -
																				Jun-24			Jun-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 July)			in July)			(-50 BPS)			(+50 BPS)
Fixed Rate RMBS
30yr 3.0	$	1,344,063	$	1,163,056		25.70	%		86.53		3.00	%		3.46	%		39		315		5.4	%		5.5	%	$	36,664		$	(37,298	)
30yr 3.5		185,861		167,726		3.71	%		90.24		3.50	%		4.04	%		52		296		9.8	%		8.6	%		4,725			(4,792	)
30yr 4.0		545,532		502,031		11.09	%		92.03		4.00	%		4.78	%		29		327		4.8	%		4.3	%		12,984			(13,772	)
30yr 4.5		322,297		305,678		6.75	%		94.84		4.50	%		5.45	%		24		333		15.3	%		13.0	%		6,432			(6,940	)
30yr 5.0		533,332		517,506		11.43	%		97.03		5.00	%		5.93	%		22		334		15.8	%		9.5	%		10,381			(11,385	)
30yr 5.5		263,728		262,431		5.80	%		99.51		5.50	%		6.43	%		15		342		2.9	%		6.7	%		4,731			(5,306	)
30yr 6.0		617,207		622,737		13.76	%		100.90		6.00	%		6.98	%		11		344		6.9	%		11.5	%		8,768			(10,054	)
30yr 6.5		620,611		635,540		14.04	%		102.41		6.50	%		7.42	%		8		350		9.4	%		7.2	%		6,818			(8,068	)
30yr 7.0		320,972		332,378		7.34	%		103.55		7.00	%		7.95	%		8		347		12.4	%		12.4	%		2,780			(3,359	)
30yr Total		4,753,603		4,509,083		99.63	%		94.86		4.72	%		5.49	%		24		331		8.4	%		7.6	%		94,283			(100,974	)
Total Pass Through RMBS		4,753,603		4,509,083		99.63	%		94.86		4.72	%		5.49	%		24		331		8.4	%		7.6	%		94,283			(100,974	)
Structured RMBS
IO 20yr 4.0		7,890		763		0.02	%		9.67		4.00	%		4.57	%		150		84		11.0	%		10.4	%		4			(3	)
IO 30yr 3.0		2,722		373		0.01	%		13.70		3.00	%		3.64	%		113		237		0.7	%		6.9	%		1			(1	)
IO 30yr 4.0		76,265		14,285		0.32	%		18.73		4.00	%		4.60	%		118		233		9.3	%		7.9	%		(193	)		173
IO 30yr 4.5		3,302		642		0.01	%		19.45		4.50	%		4.99	%		168		178		3.2	%		5.0	%		(2	)		1
IO 30yr 5.0		1,827		384		0.01	%		21.04		5.00	%		5.36	%		168		180		31.3	%		12.3	%		(3	)		2
IO Total		92,006		16,447		0.36	%		17.88		4.01	%		4.60	%		123		217		9.4	%		8.1	%		(193	)		172
IIO 30yr 4.0		25,049		224		0.00	%		0.90		0.00	%		4.40	%		81		267		7.8	%		3.3	%		79			(62	)
Total Structured RMBS		117,055		16,671		0.37	%		14.24		3.15	%		4.55	%		114		228		9.0	%		7.1	%		(114	)		110

Total Mortgage Assets	$	4,870,658	$	4,525,754		100.00	%				4.68	%		5.47	%		26		329		8.4	%		7.6	%	$	94,169		$	(100,864	)

	Average			Hedge	Modeled Interest
	Notional			Period	Rate Sensitivity (1)
Hedge	Balance			End	(-50 BPS)			(+50 BPS)
3-Month SOFR Futures	$	(100,000	)	Mar-26	$	(750	)	$	750
5-Year Treasury Future⁽²⁾		(421,500	)	Sep-24		(8,616	)		8,353
Swaps		(3,136,800	)	Jul-30		(80,573	)		77,666
TBA		(400,000	)	Jul-24		(11,206	)		11,479
Swaptions		(9,400	)	Sep-24		(83	)		53
Hedge Total	$	(4,067,700	)		$	(101,228	)	$	98,301
Rate Shock Grand Total					$	(7,059	)	$	(2,563	)

(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 $106.58 at June 30, 2024. The market value of the short position was $449.2 million.

RMBS Assets by Agency
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of June 30, 2024
Fannie Mae	$	2,906,690		64.2	%
Freddie Mac		1,619,064		35.8	%
Total Mortgage Assets	$	4,525,754		100.0	%

Investment Company Act of 1940 Whole Pool Test
($ in thousands)
			Percentage
	Fair		of
Asset Category	Value		Portfolio
As of June 30, 2024
Non-Whole Pool Assets	$	133,303		2.9	%
Whole Pool Assets		4,392,451		97.1	%
Total Mortgage Assets	$	4,525,754		100.0	%

Borrowings By Counterparty
($ in thousands)
						Weighted			Weighted
			% of			Average			Average
	Total		Total			Repo			Maturity		Longest
As of June 30, 2024	Borrowings		Debt			Rate			in Days		Maturity
ABN AMRO Bank N.V.	$	292,120		6.7	%		5.45	%		40	8/29/2024
DV Securities, LLC Repo		276,688		6.4	%		5.45	%		28	9/27/2024
Mitsubishi UFJ Securities (USA), Inc		264,103		6.1	%		5.47	%		33	8/29/2024
J.P. Morgan Securities LLC		248,837		5.7	%		5.46	%		8	7/24/2024
Wells Fargo Bank, N.A.		245,795		5.7	%		5.46	%		14	7/15/2024
Banco Santander SA		244,119		5.6	%		5.47	%		36	8/19/2024
Citigroup Global Markets Inc		243,766		5.6	%		5.45	%		22	7/24/2024
Cantor Fitzgerald & Co		240,022		5.5	%		5.45	%		15	7/15/2024
RBC Capital Markets, LLC		230,733		5.3	%		5.47	%		15	7/15/2024
Marex Capital Markets Inc.		220,831		5.1	%		5.45	%		50	8/19/2024
ASL Capital Markets Inc.		213,654		4.9	%		5.44	%		17	7/29/2024
Goldman, Sachs & Co		207,923		4.8	%		5.46	%		15	7/15/2024
Bank of Montreal		206,039		4.7	%		5.47	%		15	7/15/2024
Clear Street LLC		190,252		4.4	%		5.46	%		40	9/20/2024
Mirae Asset Securities (USA) Inc.		189,247		4.4	%		5.47	%		64	9/18/2024
Merrill Lynch, Pierce, Fenner & Smith		187,004		4.3	%		5.48	%		15	7/29/2024
Daiwa Securities America Inc.		169,261		3.9	%		5.47	%		54	8/23/2024
StoneX Financial Inc.		159,516		3.7	%		5.46	%		16	7/16/2024
South Street Securities, LLC		150,210		3.5	%		5.46	%		65	9/24/2024
ING Financial Markets LLC		124,998		2.9	%		5.47	%		32	8/1/2024
Lucid Prime Fund, LLC		23,454		0.5	%		5.46	%		18	7/18/2024
Lucid Cash Fund USG LLC		17,132		0.4	%		5.47	%		18	7/18/2024
Total Borrowings	$	4,345,704		100.0	%		5.46	%		29	9/27/2024

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400

Document And Entity Information	Jul. 10, 2024
Document Information [Line Items]
Entity, Registrant Name	Orchid Island Capital, Inc.
Document, Type	8-K
Document, Period End Date	Jul. 10, 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