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, 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 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 August 14, 2019, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company declared a dividend for the month of August 2019 of $0.08 per share to be paid on September 30, 2019 to holders of record on August 30, 2019, with an ex-dividend date of August 29, 2019. In addition, the Company announced certain details of its RMBS portfolio as of July 31, 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 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 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: August 14, 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
AUGUST 2019 MONTHLY DIVIDEND AND
JULY 31, 2019 RMBS PORTFOLIO CHARACTERISTICS

·
August 2019 Monthly Dividend of $0.08 Per Share
·
Completed Public Offering of 7,000,000 Shares of Common Stock at a Price to the Public of $6.55 Per Share
·
RMBS Portfolio Characteristics as of July 31, 2019
·
Next Dividend Announcement Expected September 13, 2019

Vero Beach, Fla., August 14, 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 August 2019. The dividend of $0.08 per share will be paid September 30, 2019, to holders of record on August 30, 2019, with an ex-dividend date of August 29, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on September 13, 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 August 14, 2019, the Company had 63,054,298 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding. On August 2, 2019, the Company completed the public sale of 7,000,000 shares of its common stock at a price to the public of $6.55 per share.  The net proceeds received by the Company were approximately $44.3 million after deduction of underwriting discounts and commissions and other estimated offering expenses payable by the Company.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 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 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 issued by Fannie Mae, Freddie Mac or Ginnie Mae and CMOS, and (ii) structured Agency RMBS. Orchid 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 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
             
                                                   
Jul 2019
   
May - Jul
   
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 Aug)
   
in Aug)
   
(-50 BPS) (2)
   
(+50 BPS) (2)
 
Pass Through RMBS
                                                                       
Post Reset ARM
 
$
1,123
   
$
1,189
     
0.03
%
 
$
105.86
     
4.78
%
   
5.21
%
   
179
     
182
     
-
     
-
   
$
10
   
$
(9
)
Fixed Rate CMO
   
631,689
     
653,420
     
18.47
%
   
103.44
     
4.25
%
   
4.60
%
   
18
     
339
     
23.52
%
   
19.08
%
   
(747
)
   
(631
)
15yr 4.0
   
387,628
     
412,161
     
11.65
%
   
106.33
     
4.00
%
   
4.53
%
   
14
     
162
     
12.50
%
   
10.57
%
   
6,215
     
(6,742
)
15yr Total
   
387,628
     
412,161
     
11.65
%
   
106.33
     
4.00
%
   
4.53
%
   
14
     
162
     
12.50
%
   
10.57
%
   
6,215
     
(6,742
)
20yr 4.0
   
84,934
     
91,025
     
2.57
%
   
107.17
     
4.00
%
   
4.48
%
   
24
     
212
     
5.60
%
   
7.47
%
   
1,721
     
(1,870
)
20yr Total
   
84,934
     
91,025
     
2.57
%
   
107.17
     
4.00
%
   
4.48
%
   
24
     
212
     
5.60
%
   
7.47
%
   
1,721
     
(1,870
)
30yr 3.0
   
84,271
     
85,751
     
2.42
%
   
101.76
     
3.00
%
   
3.92
%
   
2
     
359
     
n/a
     
n/a
     
1,650
     
(2,272
)
30yr 3.5
   
338,957
     
351,046
     
9.92
%
   
103.57
     
3.50
%
   
4.33
%
   
5
     
354
     
4.12
%
   
9.81
%
   
4,366
     
(6,841
)
30yr 4.0
   
803,747
     
849,857
     
24.03
%
   
105.74
     
4.00
%
   
4.64
%
   
15
     
343
     
6.60
%
   
7.07
%
   
7,601
     
(12,570
)
30yr 4.5
   
132,864
     
141,790
     
4.01
%
   
106.72
     
4.50
%
   
5.07
%
   
16
     
342
     
15.31
%
   
12.68
%
   
1,198
     
(1,653
)
30yr 5.0
   
759,253
     
831,493
     
23.51
%
   
109.51
     
5.00
%
   
5.52
%
   
14
     
344
     
17.95
%
   
14.39
%
   
6,338
     
(8,515
)
30yr Total
   
2,119,092
     
2,259,937
     
63.89
%
   
106.65
     
4.27
%
   
4.90
%
   
13
     
345
     
11.15
%
   
10.93
%
   
21,153
     
(31,851
)
Total Pass Through RMBS
   
3,224,466
     
3,417,732
     
96.62
%
   
105.99
     
4.23
%
   
4.79
%
   
14
     
319
     
13.71
%
   
12.63
%
   
28,352
     
(41,103
)
Structured RMBS
                                                                                               
Interest-Only Securities
   
756,926
     
94,213
     
2.66
%
   
12.45
     
3.76
%
   
4.35
%
   
66
     
251
     
18.07
%
   
16.16
%
   
(16,606
)
   
18,675
 
Inverse Interest-Only Securities
   
206,189
     
25,375
     
0.72
%
   
12.31
     
2.80
%
   
4.86
%
   
60
     
290
     
19.68
%
   
14.41
%
   
1,007
     
(1,764
)
Total Structured RMBS
   
963,115
     
119,588
     
3.38
%
   
12.42
     
3.56
%
   
4.46
%
   
64
     
259
     
18.42
%
   
15.79
%
   
(15,599
)
   
16,911
 
Total Mortgage Assets
 
$
4,187,581
   
$
3,537,320
     
100.00
%
           
4.07
%
   
4.71
%
   
26
     
305
     
14.83
%
   
13.45
%
 
$
12,753
   
$
(24,192
)
                                                                                                 
                                                                                   
Interest
   
Interest
 
   
Average
   
Hedge
                                                                   
Rate
   
Rate
 
   
Notional
   
Period
                                                                   
Sensitivity
   
Sensitivity
 
Hedge
 
Balance
   
End
                                                                   
(-50 BPS) (2)
   
(+50 BPS) (2)
 
Eurodollar Futures
 
$
(500,000
)
 
Apr-2020
                                                                   
$
(3,750
)
 
$
3,750
 
Swaps
   
(2,120,000
)
 
May-2022
                                                                     
(32,158
)
   
32,158
 
5-Year Treasury Future
   
(165,000
)
 
Sep-2019 (3)
                                                                     
(7,404
)
   
1,572
 
TBA Long
   
160,000
   
Oct-2019
                                                                     
2,128
     
(3,210
)
TBA Short
   
(125,000
)
 
Aug-2019
                                                                     
(1,153
)
   
1,757
 
Swaptions
   
(250,000
)
 
Sep-2024
                                                                     
(87
)
   
693
 
Hedge Total
 
$
(3,000,000
)
                                                                         
$
(42,424
)
 
$
36,720
 
Rate Shock Grand Total
                                                                                 
$
(29,671
)
 
$
12,528
 

(1)
Amounts in the tables above include assets with a fair value of approximately $161.2 million purchased in July 2019, which settle in August 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 $117.55 at July 31, 2019.  The notional contract value of the short position was $194.0 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 July 31, 2019
           
As of July 31, 2019
           
Fannie Mae
 
$
2,330,047
     
65.9
%
Non-Whole Pool Assets
 
$
948,736
     
26.8
%
Freddie Mac
   
1,204,702
     
34.0
%
Whole Pool Assets
   
2,588,584
     
73.2
%
Ginnie Mae
   
2,571
     
0.1
%
Total Mortgage Assets
 
$
3,537,320
     
100.0
%
Total Mortgage Assets
 
$
3,537,320
     
100.0
%
                 

(1)
Amounts in the tables above include assets with a fair value of approximately $161.2 million purchased in July 2019, which settle in August 2019.



Borrowings By Counterparty
               
($ in thousands)
               
           
Weighted
Weighted
 
       
% of
 
Average
Average
 
   
Total
 
Total
 
Repo
Maturity
Longest
As of July 31, 2019
 
Borrowings
 
Debt
 
Rate
in Days
Maturity
RBC Capital Markets, LLC
$
423,950
 
13.4%
 
2.55%
21
9/12/2019
Wells Fargo Bank, N.A.
 
359,459
 
11.3%
 
2.54%
21
9/20/2019
Mirae Asset Securities (USA) Inc.
 
301,766
 
9.5%
 
2.63%
65
12/9/2019
J.P. Morgan Securities LLC
 
248,221
 
7.8%
 
2.61%
101
11/12/2019
ABN AMRO Bank N.V.
 
215,550
 
6.8%
 
2.63%
8
8/13/2019
Mitsubishi UFJ Securities (USA), Inc
 
205,272
 
6.4%
 
2.53%
81
11/12/2019
Citigroup Global Markets Inc
 
184,131
 
5.8%
 
2.65%
23
9/20/2019
ASL Capital Markets Inc.
 
177,332
 
5.6%
 
2.61%
30
10/7/2019
South Street Securities, LLC
 
176,119
 
5.5%
 
2.61%
187
4/9/2020
Cantor Fitzgerald & Co
 
165,541
 
5.2%
 
2.62%
13
8/19/2019
ING Financial Markets LLC
 
164,747
 
5.2%
 
2.52%
20
8/30/2019
ICBC Financial Services LLC
 
105,636
 
3.3%
 
2.62%
12
8/12/2019
Guggenheim Securities, LLC
 
94,331
 
3.0%
 
2.61%
31
9/30/2019
FHLB-Cincinnati
 
81,100
 
2.5%
 
2.64%
1
8/1/2019
ED&F Man Capital Markets Inc
 
60,384
 
1.9%
 
2.62%
55
10/7/2019
Daiwa Securities America Inc.
 
49,594
 
1.6%
 
2.60%
12
8/12/2019
Lucid Cash Fund USG LLC
 
49,212
 
1.5%
 
2.58%
15
8/15/2019
Bank of Montreal
 
42,702
 
1.3%
 
2.64%
15
8/28/2019
Merrill Lynch, Pierce, Fenner & Smith
 
29,152
 
0.9%
 
2.73%
8
8/12/2019
J.V.B. Financial Group, LLC
 
24,556
 
0.8%
 
2.58%
9
8/15/2019
Lucid Prime Fund, LLC
 
14,922
 
0.5%
 
2.62%
15
8/15/2019
Natixis, New York Branch
 
4,732
 
0.1%
 
2.55%
15
8/15/2019
Mizuho Securities USA, Inc
 
4,698
 
0.1%
 
2.86%
15
8/15/2019
Total Borrowings
$
3,183,107
 
100.0%
 
2.59%
43
4/9/2020

(1)
In July 2019, the Company purchased assets with a fair value of approximately $161.2 million , which settle in August 2019 that are expected to be funded by repurchase agreements.  The anticipated borrowings are 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