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 13, 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 September 13, 2019, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company declared a dividend for the month of September 2019 of $0.08 per share to be paid on October 31, 2019 to holders of record on September 30, 2019, with an ex-dividend date of September 27, 2019. In addition, the Company announced certain details of its RMBS portfolio as of August 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: September 13, 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
SEPTEMBER 2019 MONTHLY DIVIDEND AND
AUGUST 31, 2019 RMBS PORTFOLIO CHARACTERISTICS


·
September 2019 Monthly Dividend of $0.08 Per Share
·
RMBS Portfolio Characteristics as of August 31, 2019
·
Next Dividend Announcement Expected October 17, 2019

Vero Beach, Fla., September 13, 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 September 2019. The dividend of $0.08 per share will be paid October 31, 2019, to holders of record on September 30, 2019, with an ex-dividend date of September 27, 2019.  The Company plans on announcing its next dividend after the Board’s meeting on October 17, 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 September 13, 2019, the Company had 63,054,298 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 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. 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
             
                                                   
Aug 2019
   
Jun - Aug
   
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
   
Portfolio
   
Price
   
Coupon
   
GWAC
   
Age
   
(Months)
   
in Sep)
   
in Sep)
   
(-50 BPS)(1)
   
(+50 BPS)(1)
 
Pass Through RMBS
                                                                       
Post Reset ARM
 
$
1,119
   
$
1,184
     
0.03
%
 
$
105.76
     
4.76
%
   
4.97
%
   
180
     
181
     
0.01
%
   
0.01
%
 
$
7
   
$
(6
)
Fixed Rate CMO
   
608,013
     
629,853
     
16.17
%
   
103.59
     
4.25
%
   
4.60
%
   
20
     
338
     
23.22
%
   
21.21
%
   
(96
)
   
179
 
15yr 4.0
   
381,605
     
409,595
     
10.52
%
   
107.33
     
4.00
%
   
4.53
%
   
15
     
161
     
11.56
%
   
11.62
%
   
6,075
     
(6,517
)
15yr Total
   
381,605
     
409,595
     
10.52
%
   
107.33
     
4.00
%
   
4.53
%
   
15
     
161
     
11.56
%
   
11.62
%
   
6,075
     
(6,517
)
20yr 4.0
   
84,263
     
91,102
     
2.34
%
   
108.12
     
4.00
%
   
4.48
%
   
25
     
211
     
13.21
%
   
8.27
%
   
1,697
     
(1,810
)
20yr Total
   
84,263
     
91,102
     
2.34
%
   
108.12
     
4.00
%
   
4.48
%
   
25
     
211
     
13.21
%
   
8.27
%
   
1,697
     
(1,810
)
30yr 3.0
   
161,897
     
166,862
     
4.28
%
   
103.07
     
3.00
%
   
3.95
%
   
2
     
358
     
1.47
%
   
0.00
%
   
2,661
     
(3,598
)
30yr 3.5
   
337,248
     
351,676
     
9.03
%
   
104.28
     
3.50
%
   
4.33
%
   
6
     
353
     
4.74
%
   
8.66
%
   
3,834
     
(5,453
)
30yr 4.0
   
798,303
     
848,422
     
21.78
%
   
106.28
     
4.00
%
   
4.64
%
   
16
     
342
     
9.77
%
   
7.71
%
   
9,159
     
(12,014
)
30yr 4.5
   
430,281
     
466,308
     
11.97
%
   
108.37
     
4.50
%
   
5.05
%
   
8
     
352
     
9.88
%
   
12.79
%
   
4,207
     
(5,577
)
30yr 5.0
   
745,897
     
821,034
     
21.08
%
   
110.07
     
5.00
%
   
5.52
%
   
15
     
343
     
15.57
%
   
15.35
%
   
7,265
     
(8,927
)
30yr Total
   
2,473,626
     
2,654,302
     
68.15
%
   
107.30
     
4.25
%
   
4.89
%
   
12
     
346
     
10.31
%
   
11.36
%
   
27,126
     
(35,569
)
Total Pass Through RMBS
   
3,548,626
     
3,786,036
     
97.21
%
   
106.69
     
4.22
%
   
4.79
%
   
14
     
322
     
12.72
%
   
13.39
%
   
34,809
     
(43,723
)
Structured RMBS
                                                                                               
Interest-Only Securities
   
738,214
     
83,310
     
2.14
%
   
11.29
     
3.76
%
   
4.35
%
   
68
     
249
     
20.60
%
   
17.69
%
   
(10,973
)
   
13,989
 
Inverse Interest-Only Securities
   
201,540
     
25,396
     
0.65
%
   
12.60
     
2.93
%
   
4.86
%
   
62
     
288
     
15.17
%
   
15.77
%
   
889
     
(1,537
)
Total Structured RMBS
   
939,754
     
108,706
     
2.79
%
   
11.57
     
3.58
%
   
4.46
%
   
66
     
258
     
19.43
%
   
17.27
%
   
(10,084
)
   
12,452
 
Total Mortgage Assets
 
$
4,488,380
   
$
3,894,742
     
100.00
%
           
4.09
%
   
4.72
%
   
25
     
308
     
14.13
%
   
14.35
%
 
$
24,725
   
$
(31,271
)
                                                                                                 
                                                                                   
Interest
   
Interest
 
   
Average
   
Hedge
                                                                   
Rate
   
Rate
 
   
Notional
   
Period
                                                                   
Sensitivity
   
Sensitivity
 
Hedge
 
Balance
   
End
                                                                   
(-50 BPS)(1)
   
(+50 BPS)(1)
 
Eurodollar Futures
 
$
(500,000
)
 
Dec-2020
                                                                   
$
(3,750
)
 
$
3,750
 
Fed Funds Futures
   
(400,000
)
 
Mar-2020
                                                                     
(1,167
)
   
1,167
 
Swaps
   
(2,120,000
)
 
May-2022
                                                                     
(29,944
)
   
29,944
 
5-Year Treasury Future
   
(140,000
)
 
Dec-2019(2)
                                                                     
(3,762
)
   
4,198
 
TBA Long
   
150,000
   
Oct-2019
                                                                     
3,136
     
(3,858
)
Hedge Total
 
$
(3,010,000
)
                                                                         
$
(35,487
)
 
$
35,201
 
Rate Shock Grand Total
                                                                                 
$
(10,762
)
 
$
3,930
 
(1)
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.
(2)
Five year treasury futures contracts were valued at prices of $119.98 at August 31, 2019.  The notional contract value of the short position was $168.0 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
   
Portfolio
 
Asset Category
 
Value
   
Portfolio
 
As of August 31, 2019
           
As of August 31, 2019
           
Fannie Mae
 
$
2,794,775
     
71.8
%
Non-Whole Pool Assets
 
$
914,342
     
23.5
%
Freddie Mac
   
1,097,593
     
28.1
%
Whole Pool Assets
   
2,980,400
     
76.5
%
Ginnie Mae
   
2,374
     
0.1
%
Total Mortgage Assets
 
$
3,894,742
     
100.0
%
Total Mortgage Assets
 
$
3,894,742
     
100.0
%
                 



Borrowings By Counterparty
               
($ in thousands)
               
           
Weighted
Weighted
 
       
% of
 
Average
Average
 
   
Total
 
Total
 
Repo
Maturity
Longest
As of August 31, 2019
 
Borrowings
 
Debt
 
Rate
in Days
Maturity
RBC Capital Markets, LLC
$
457,818
 
12.4%
 
2.40%
14
9/30/2019
Mirae Asset Securities (USA) Inc.
 
410,498
 
11.2%
 
2.46%
73
2/13/2020
Wells Fargo Bank, N.A.
 
357,433
 
9.7%
 
2.38%
12
9/20/2019
Citigroup Global Markets Inc
 
309,087
 
8.4%
 
2.38%
17
9/30/2019
J.P. Morgan Securities LLC
 
248,173
 
6.8%
 
2.61%
71
11/12/2019
Cantor Fitzgerald & Co
 
213,443
 
5.8%
 
2.33%
19
10/11/2019
ABN AMRO Bank N.V.
 
211,857
 
5.8%
 
2.38%
31
10/7/2019
Mitsubishi UFJ Securities (USA), Inc
 
205,272
 
5.6%
 
2.53%
50
11/12/2019
ED&F Man Capital Markets Inc
 
205,197
 
5.6%
 
2.28%
95
2/10/2020
ASL Capital Markets Inc.
 
176,712
 
4.8%
 
2.44%
22
10/7/2019
South Street Securities, LLC
 
175,626
 
4.8%
 
2.61%
156
4/9/2020
ING Financial Markets LLC
 
163,165
 
4.4%
 
2.35%
20
9/30/2019
ICBC Financial Services LLC
 
104,515
 
2.8%
 
2.37%
12
9/12/2019
Guggenheim Securities, LLC
 
93,247
 
2.5%
 
2.46%
20
9/30/2019
FHLB-Cincinnati
 
80,375
 
2.2%
 
2.25%
3
9/3/2019
Nomura Securities International, Inc.
 
49,860
 
1.4%
 
2.38%
12
9/12/2019
Daiwa Securities America Inc.
 
48,872
 
1.3%
 
2.37%
12
9/12/2019
Lucid Cash Fund USG LLC
 
47,447
 
1.3%
 
2.41%
12
9/12/2019
Bank of Montreal
 
40,874
 
1.1%
 
2.42%
14
9/27/2019
J.V.B. Financial Group, LLC
 
29,461
 
0.8%
 
2.38%
11
9/17/2019
Merrill Lynch, Pierce, Fenner & Smith
 
28,620
 
0.8%
 
2.53%
9
9/12/2019
Lucid Prime Fund, LLC
 
13,975
 
0.4%
 
2.45%
12
9/12/2019
Mizuho Securities USA, Inc
 
3,500
 
0.1%
 
2.75%
16
9/16/2019
Total Borrowings
$
3,675,027
 
100.0%
 
2.42%
39
4/9/2020


Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400