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):  October 17, 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 2.02.  RESULTS OF OPERATIONS AND FINANCIAL CONDITION.

On October 17, 2019, Orchid Island Capital, Inc. (the “Company”) announced its preliminary book value of $6.22 per share as of  September 30, 2019, certain details of its RMBS portfolio as of September 30, 2019, and preliminary net loss of $0.14 per share and preliminary realized and unrealized losses of $0.32 per share for the quarter ended September 30, 2019. These figures and the estimated net book value per share are preliminary, subject to change, and subject to review by the Company's independent registered public accounting firm. 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.

ITEM 8.01.  OTHER EVENTS.

On October 17, 2019, the Company announced that the Board of Directors of the Company declared a dividend for the month of October 2019 of $0.08 per share to be paid on November 29, 2019 to holders of record on October 31, 2019, with an ex-dividend date of October 30, 2019. In addition, the Company announced certain details of its RMBS portfolio as of September 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, 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 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: October 17, 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
OCTOBER 2019 MONTHLY DIVIDEND AND
SEPTEMBER 30, 2019 RMBS PORTFOLIO CHARACTERISTICS

·
October 2019 Monthly Dividend of $0.08 Per Share
·
Estimated Book Value Per Share as of September 30, 2019 of $6.22
·
Estimated GAAP net loss of $0.14 per share for the quarter ended September 30, 2019, including an estimated $0.32 per share of net realized and unrealized losses on RMBS and derivative instruments

·
Estimated (2.6)% total return on equity for the quarter
·
Estimated 1.5% total return for the nine months ended September 30, 2019, or 1.9% annualized
·
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 September 30, 2019
·
Next Dividend Announcement Expected November 13, 2019

Vero Beach, Fla., October 17, 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 October 2019. The dividend of $0.08 per share will be paid November 29, 2019 to holders of record on October 31, 2019, with an ex-dividend date of October 30, 2019. The Company plans on announcing its next dividend after the Board’s meeting on November 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 October 17, 2019, the Company had 63,058,449 shares outstanding. At June 30, 2019, the Company had 54,282,997 shares outstanding.

Estimated September 30, 2019 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2019 was $6.22.  The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2019, the Company's preliminary estimated total stockholders' equity was approximately $392.0 million with 63,058,449 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 Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated net loss per share of $0.14, which includes $0.32 per share of net realized  and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2019.  These amounts compare to total dividends declared during the quarter of $0.24 per share.  Net income 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 September 30, 2019 was (2.6)%. 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 $(0.17) per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $0.41 from June 30, 2019.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2019 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 September 30, 2019, 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 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. 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
             
                                                   
Sep 2019
   
Jul - Sep
   
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 Oct)
   
in Oct)
   
(-50 BPS)(1)
   
(+50 BPS)(1)
 
Pass Through RMBS
                                                                       
Post Reset ARM
 
$
1,115
   
$
1,183
     
0.03
%
 
$
106.11
     
4.52
%
   
4.91
%
   
181
     
180
     
-
     
-
   
$
6
   
$
(6
)
Fixed Rate CMO
   
584,756
     
604,861
     
15.83
%
   
103.44
     
4.25
%
   
4.59
%
   
21
     
336
     
32.28
%
   
26.33
%
   
4
     
(483
)
15yr 4.0
   
375,996
     
403,040
     
10.55
%
   
107.19
     
4.00
%
   
4.53
%
   
16
     
160
     
12.06
%
   
12.19
%
   
6,103
     
(6,563
)
15yr Total
   
375,996
     
403,040
     
10.55
%
   
107.19
     
4.00
%
   
4.53
%
   
16
     
160
     
12.06
%
   
12.19
%
   
6,103
     
(6,563
)
20yr 4.0
   
83,006
     
89,633
     
2.35
%
   
107.98
     
4.00
%
   
4.48
%
   
26
     
210
     
13.17
%
   
10.73
%
   
1,706
     
(1,819
)
20yr Total
   
83,006
     
89,633
     
2.35
%
   
107.98
     
4.00
%
   
4.48
%
   
26
     
210
     
13.17
%
   
10.73
%
   
1,706
     
(1,819
)
30yr 3.0
   
161,459
     
164,977
     
4.32
%
   
102.18
     
3.00
%
   
3.95
%
   
3
     
356
     
3.93
%
   
-
     
2,733
     
(3,755
)
30yr 3.5
   
335,389
     
348,499
     
9.12
%
   
103.91
     
3.50
%
   
4.33
%
   
7
     
352
     
6.80
%
   
5.22
%
   
3,763
     
(5,649
)
30yr 4.0
   
786,933
     
834,505
     
21.84
%
   
106.05
     
4.00
%
   
4.64
%
   
17
     
341
     
18.55
%
   
11.79
%
   
9,113
     
(12,655
)
30yr 4.5
   
425,777
     
461,255
     
12.07
%
   
108.33
     
4.50
%
   
5.05
%
   
9
     
350
     
11.10
%
   
20.31
%
   
3,862
     
(5,580
)
30yr 5.0
   
734,375
     
808,738
     
21.17
%
   
110.13
     
5.00
%
   
5.52
%
   
16
     
342
     
16.08
%
   
16.65
%
   
7,023
     
(9,300
)
30yr Total
   
2,443,933
     
2,617,974
     
68.52
%
   
107.12
     
4.25
%
   
4.89
%
   
13
     
345
     
13.93
%
   
13.08
%
   
26,494
     
(36,939
)
Total Pass Through RMBS
   
3,488,806
     
3,716,691
     
97.27
%
   
106.53
     
4.22
%
   
4.79
%
   
15
     
320
     
16.78
%
   
15.51
%
   
34,313
     
(45,810
)
Structured RMBS
                                                                                               
Interest-Only Securities
   
718,260
     
79,034
     
2.07
%
   
11.00
     
3.76
%
   
4.35
%
   
69
     
248
     
21.38
%
   
20.24
%
   
(9,325
)
   
10,681
 
Inverse Interest-Only Securities
   
197,834
     
25,193
     
0.66
%
   
12.73
     
3.08
%
   
4.86
%
   
63
     
288
     
13.14
%
   
16.10
%
   
1,103
     
(1,813
)
Total Structured RMBS
   
916,094
     
104,227
     
2.73
%
   
11.38
     
3.61
%
   
4.46
%
   
67
     
257
     
19.60
%
   
19.35
%
   
(8,222
)
   
8,868
 
Total Mortgage Assets
 
$
4,404,900
   
$
3,820,918
     
100.00
%
           
4.09
%
   
4.72
%
   
26
     
307
     
17.37
%
   
16.42
%
 
$
26,091
   
$
(36,942
)
                                                                                                 

                             
Interest
 
Interest
   
Average
 
Hedge
                   
Rate
 
Rate
   
Notional
 
Period
                   
Sensitivity
 
Sensitivity
Hedge
 
Balance
 
End
                   
(-50 BPS)(1)
 
(+50 BPS)(1)
Eurodollar Futures
$
(500,000)
 
Jun-2020
                 
$
(3,125)
$
3,125
Fed Funds Futures
 
(400,000)
 
Dec-2019
                   
(1,167)
 
1,167
Swaps
 
(2,120,000)
 
May-2022
                   
(29,579)
 
29,579
5-Year Treasury Future
 
(140,000)
 
Dec-2019(2)
                   
(4,438)
 
3,488
Hedge Total
$
(3,160,000)
                     
$
(38,309)
$
37,359
Rate Shock Grand Total
                         
$
(12,218)
$
417

(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 $119.1 at September 30, 2019.  The notional contract value of the short position was $166.7 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 September 30, 2019
           
As of September 30, 2019
           
Fannie Mae
 
$
2,755,540
     
72.1
%
Non-Whole Pool Assets
 
$
882,455
     
23.1
%
Freddie Mac
   
1,062,096
     
27.8
%
Whole Pool Assets
   
2,938,463
     
76.9
%
Ginnie Mae
   
2,482
     
0.1
%
Total Mortgage Assets
 
$
3,820,918
     
100.0
%
Total Mortgage Assets
 
$
3,820,918
     
100.0
%
                 


Borrowings By Counterparty
               
($ in thousands)
               
           
Weighted
Weighted
 
       
% of
 
Average
Average
 
   
Total
 
Total
 
Repo
Maturity
Longest
As of September 30, 2019
 
Borrowings
 
Debt
 
Rate
in Days
Maturity
J.P. Morgan Securities LLC
$
446,537
 
11.71%
 
2.41%
56
12/12/2019
RBC Capital Markets, LLC
 
423,714
 
11.11%
 
2.37%
34
12/12/2019
Mirae Asset Securities (USA) Inc.
 
410,078
 
10.75%
 
2.45%
45
2/13/2020
Wells Fargo Bank, N.A.
 
351,571
 
9.22%
 
2.31%
12
10/21/2019
Citigroup Global Markets Inc
 
234,844
 
6.16%
 
2.29%
18
12/16/2019
Mitsubishi UFJ Securities (USA), Inc
 
227,408
 
5.96%
 
2.46%
38
12/16/2019
ASL Capital Markets Inc.
 
222,485
 
5.82%
 
2.37%
17
10/31/2019
Cantor Fitzgerald & Co
 
211,276
 
5.54%
 
2.20%
36
11/18/2019
ABN AMRO Bank N.V.
 
211,218
 
5.54%
 
2.35%
9
10/15/2019
ED&F Man Capital Markets Inc
 
205,197
 
5.38%
 
2.28%
65
2/10/2020
South Street Securities, LLC
 
175,095
 
4.59%
 
2.51%
135
4/9/2020
ING Financial Markets LLC
 
162,442
 
4.26%
 
2.28%
20
10/30/2019
ICBC Financial Services LLC
 
103,548
 
2.72%
 
2.32%
15
10/15/2019
Guggenheim Securities, LLC
 
91,614
 
2.40%
 
2.30%
21
10/30/2019
FHLB-Cincinnati
 
79,850
 
2.09%
 
2.55%
1
10/1/2019
Nomura Securities International, Inc.
 
49,381
 
1.29%
 
2.28%
15
10/15/2019
Daiwa Securities America Inc.
 
48,255
 
1.27%
 
2.28%
11
10/11/2019
Lucid Cash Fund USG LLC
 
46,947
 
1.23%
 
2.31%
17
10/17/2019
Bank of Montreal
 
40,897
 
1.07%
 
2.33%
17
10/28/2019
J.V.B. Financial Group, LLC
 
28,515
 
0.75%
 
2.24%
39
12/17/2019
Merrill Lynch, Pierce, Fenner & Smith
 
26,126
 
0.69%
 
2.40%
8
10/11/2019
Lucid Prime Fund, LLC
 
13,421
 
0.35%
 
2.35%
17
10/17/2019
Mizuho Securities USA, Inc
 
3,558
 
0.09%
 
2.58%
15
10/15/2019
Total Borrowings
$
3,813,977
 
100.0%
 
2.36%
36
4/9/2020


Contact:

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