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 15, 2019

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 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 15, 2019, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors declared a dividend for the month of May 2019 of $0.08 per share to be paid on June 28, 2019 to holders of record on May 31, 2019, with an ex-dividend date of May 30, 2019. In addition, the Company announced certain details of its MBS portfolio as of April 30, 2019 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. These forward looking statements are based upon the Company’s present expectations, but the Company cannot assure you 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 Form 10-K for the year ended December 31, 2018.  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
 




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 15, 2019
        ORCHID ISLAND CAPITAL, INC.
 
 
 
 
 
 
 
 
By:
/s/ Robert E. Cauley
 
 
 
Robert E. Cauley
 
 
 
Chairman and Chief Executive Officer
 


EXHIBIT 99.1

ORCHID ISLAND CAPITAL ANNOUNCES
MAY 2019 MONTHLY DIVIDEND AND
APRIL 30, 2019 RMBS PORTFOLIO CHARACTERISTICS

·
May 2019 Monthly Dividend of $0.08 Per Share
·
RMBS Portfolio Characteristics as of April 30, 2019
·
Next Dividend Announcement Expected June 11, 2019

Vero Beach, Fla., May 15, 2019 - Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of May 2019. The dividend of $0.08 per share will be paid June 28, 2019, to holders of record on May 31, 2019, with an ex-dividend date of May 30, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on June 11, 2019.

The Company intends to make regular monthly cash distributions to its stockholders. 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 15, 2019, the Company had 53,392,967 shares outstanding. At March 31, 2019, the Company had 49,937,700 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of April 30, 2019 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 in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

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 and anticipated borrowings. 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 Form 10-K for the year ended December 31, 2018.


RMBS Valuation Characteristics
                                 
($ in thousands)
                                 
                       
Realized
Realized
       
                       
Apr 2019
Feb - Apr
 
Modeled
 
Modeled
               
Net
   
Weighted
CPR
2019 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
                                 
Post Reset ARM
$
1,136
$
1,202
0.04%
$
105.81
4.78%
5.22%
 176
 185
0.00%
40.67%
$
7
$
(7)
Fixed Rate CMO
 
681,367
 
706,390
20.81%
 
103.67
4.26%
4.61%
 14
 343
15.35%
11.55%
 
56
 
(3,508)
15yr 4.0
 
474,789
 
495,341
14.59%
 
104.33
4.00%
4.54%
 11
 166
9.57%
8.60%
 
8,558
 
(9,097)
15yr Total
 
474,789
 
495,341
14.59%
 
104.33
4.00%
4.54%
 11
 166
9.57%
8.60%
 
8,558
 
(9,097)
20yr 4.0
 
87,786
 
91,837
2.70%
 
104.61
4.00%
4.48%
 21
 215
10.37%
9.53%
 
1,962
 
(2,049)
20yr Total
 
87,786
 
91,837
2.70%
 
104.61
4.00%
4.48%
 21
 215
10.37%
9.53%
 
1,962
 
(2,049)
30yr 3.0
 
224,240
 
219,286
6.46%
 
97.79
3.00%
4.34%
 1
 359
3.23%
-
 
4,839
 
(6,924)
30yr 3.5
 
54,896
 
55,507
1.63%
 
101.11
3.50%
4.22%
 13
 344
6.13%
-
 
1,044
 
(1,414)
30yr 4.0
 
749,380
 
778,905
22.94%
 
103.94
4.00%
4.67%
 12
 347
7.68%
8.20%
 
12,821
 
(18,291)
30yr 4.5
 
468,037
 
490,963
14.46%
 
104.90
4.50%
5.11%
 8
 352
12.65%
12.48%
 
4,205
 
(6,591)
30yr 5.0
 
385,844
 
418,287
12.32%
 
108.41
5.00%
5.59%
 10
 348
9.70%
14.12%
 
6,017
 
(7,482)
30yr Total
 
1,882,397
 
1,962,948
57.82%
 
104.28
4.20%
4.91%
 9
 350
8.72%
11.21%
 
28,926
 
(40,702)
Total Pass Through RMBS
 
3,127,475
 
3,257,718
95.95%
 
104.16
4.18%
4.78%
 11
 316
10.44%
10.66%
 
39,509
 
(55,363)
Structured RMBS
                                 
Interest-Only Securities
 
788,857
 
113,137
3.33%
 
14.34
3.76%
4.34%
 62
 253
11.22%
9.67%
 
(17,821)
 
14,663
Inverse Interest-Only Securities
 
215,119
 
24,236
0.71%
 
11.27
2.64%
4.86%
 58
 293
9.69%
9.02%
 
1,853
 
(2,699)
Total Structured RMBS
 
1,003,976
 
137,373
4.05%
 
13.68
3.52%
4.45%
 61
 262
10.89%
9.53%
 
(15,968)
 
11,964
Total Mortgage Assets
$
4,131,451
$
3,395,091
100.00%
   
4.02%
4.70%
 23
 303
10.56%
10.30%
$
23,541
$
(43,399)
                                   
                             
Interest
 
Interest
   
Average
 
Hedge
                   
Rate
 
Rate
   
Notional
 
Period
                   
Sensitivity
 
Sensitivity
Hedge
 
Balance
 
End
                   
(-50 BPS) (2)
 
(+50 BPS) (2)
Eurodollar Futures
$
(457,143)
 
Dec-2020
                 
$
(4,000)
$
4,000
Swaps
 
(1,760,000)
 
Sep-2020
                   
(22,359)
 
22,359
5-Year Treasury Future
 
(165,000)
 
Jun-2019 (3)
                   
(4,095)
 
4,534
TBA
 
(250,000)
 
May-2019
                   
(4,349)
 
6,289
Swaptions
 
(100,000)
 
Jun-2026
                   
(87)
 
1,304
Hedge Total
$
(2,732,143)
                     
$
(34,890)
$
38,486
Rate Shock Grand Total
                         
$
(11,349)
$
(4,913)

(1)
Amounts in the tables above include assets with a fair value of approximately $202.2 million purchased in April 2019, which settle in May 2019, and exclude assets with a fair value of approximately $248.2 million sold in April 2019, which settle in May 2019 .
(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 $115.64 at April 30, 2019.  The notional contract value of the short position was $190.8 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 April 30, 2019
           
As of April 30, 2019
           
Fannie Mae
 
$
1,967,242
     
57.9
%
Non-Whole Pool Assets
 
$
1,243,228
     
36.6
%
Freddie Mac
   
1,424,448
     
42.0
%
Whole Pool Assets
   
2,151,863
     
63.4
%
Ginnie Mae
   
3,401
     
0.1
%
Total Mortgage Assets
 
$
3,395,091
     
100.0
%
Total Mortgage Assets
 
$
3,395,091
     
100.0
%
                 

(1)
Amounts in the tables above include assets with a fair value of approximately $202.2 million purchased in April 2019, which settle in May 2019 and exclude assets with a fair value of approximately $248.2   million sold in April 2019, which settle in May 2019 .

Borrowings By Counterparty
               
($ in thousands)
               
           
Weighted
Weighted
 
       
% of
 
Average
Average
 
   
Total
 
Total
 
Repo
Maturity
Longest
As of April 30, 2019
 
Borrowings (1)
 
Debt
 
Rate
in Days
Maturity
RBC Capital Markets, LLC
$
469,669
 
14.5%
 
2.69%
36
7/15/2019
Mirae Asset Securities (USA) Inc.
 
369,666
 
11.4%
 
2.65%
106
10/9/2019
Wells Fargo Bank, N.A.
 
368,141
 
11.3%
 
2.67%
21
6/10/2019
J.P. Morgan Securities LLC
 
252,512
 
7.8%
 
2.70%
15
5/15/2019
ING Financial Markets LLC
 
225,957
 
6.9%
 
2.65%
61
7/24/2019
Cantor Fitzgerald & Co
 
204,110
 
6.3%
 
2.68%
17
6/5/2019
Mitsubishi UFJ Securities (USA), Inc
 
198,607
 
6.1%
 
2.66%
41
7/22/2019
South Street Securities, LLC
 
196,440
 
6.0%
 
2.63%
226
4/9/2020
ABN AMRO Bank N.V.
 
153,738
 
4.7%
 
2.62%
6
5/6/2019
ASL Capital Markets Inc.
 
136,771
 
4.2%
 
2.65%
64
10/7/2019
Citigroup Global Markets Inc
 
130,772
 
4.0%
 
2.70%
28
7/16/2019
ICBC Financial Services LLC
 
112,926
 
3.5%
 
2.64%
24
6/11/2019
ED&F Man Capital Markets Inc
 
97,735
 
3.0%
 
2.63%
116
10/7/2019
FHLB-Cincinnati
 
81,499
 
2.5%
 
2.88%
1
5/1/2019
Natixis, New York Branch
 
54,845
 
1.7%
 
2.76%
15
5/15/2019
Lucid Cash Fund USG LLC
 
48,678
 
1.5%
 
2.65%
16
5/16/2019
Bank of Montreal
 
42,816
 
1.3%
 
2.70%
42
6/14/2019
Guggenheim Securities, LLC
 
33,015
 
1.0%
 
2.62%
28
5/28/2019
Merrill Lynch, Pierce, Fenner & Smith
 
32,413
 
1.0%
 
2.81%
21
5/30/2019
J.V.B. Financial Group, LLC
 
24,447
 
0.8%
 
2.64%
44
7/3/2019
Lucid Prime Fund, LLC
 
17,802
 
0.5%
 
2.72%
16
5/16/2019
Total Borrowings
$
3,252,559
 
100.0%
 
2.67%
53
4/9/2020

(1)
In April 2019, the Company purchased assets with a fair value of approximately $202.2 million , which settle in May 2019 that are expected to be funded by repurchase agreements.  The anticipated borrowings are not included in the table above. In addition, the Company sold assets with a fair value of approximately $248.2 million, which settle in May 2019 that collateralize approximately $241.2 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