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Form 8-K Orchid Island Capital, For: Aug 11

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August 11, 2015 5:23 PM EDT

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 11, 2015

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))


 
 
 


 
ITEM 8.01.  OTHER EVENTS.

On August 11, 2015, Orchid Island Capital, Inc. (the “Company”) announced that on August 11, 2015 the Board of Directors of the Company declared a dividend for the month of August 2015 of $0.14 per share to be paid on August 31, 2015 to holders of record on August 26, 2015 with an ex-dividend date of August 24, 2015. In addition, the Company announced certain details of its MBS portfolio as of July 31, 2015 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, 2014.  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 August 11, 2015



 
 
 


 

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 11, 2015
        ORCHID ISLAND CAPITAL, INC.
  
     
     
 
By:
/s/ Robert E. Cauley
  
   
Robert E. Cauley
  
   
Chairman and Chief Executive Officer
  




 
 
 


 
INDEX TO EXHIBITS

Exhibit No.
  
Description
99.1
  
Press Release dated August 11, 2015

EXHIBIT 99.1
 
ORCHID ISLAND CAPITAL ANNOUNCES
AUGUST 2015 MONTHLY DIVIDEND AND
JULY 31, 2015 RMBS PORTFOLIO CHARACTERISTICS

·  
August 2015 Monthly Dividend of $0.14 Per Share
·  
RMBS Portfolio Characteristics as of July 31, 2015
·  
Repurchased 291,116 shares through stock repurchase program

Vero Beach, Fla., August 11, 2015 - Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of August 2015. The dividend of $0.14 per share will be paid August 31, 2015, to holders of record on August 26, 2015, with an ex-dividend date of August 24, 2015.

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 certain percentages 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 11, 2015, the Company had 22,671,377 shares outstanding, including 198,600 shares repurchased pursuant to the Company’s stock repurchase program through that date that have not yet settled. At June 30, 2015, the Company had 22,959,817 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 2015 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. 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, 2014.
 
 
 
 
 
 
 
RMBS Valuation Characteristics
                                    
($ in thousands)
                                    
                     
Percentage
    
Weighted
    
Realized
  
   
Current
    
Fair
    
Current
    
of
    
Average
    
Jul 2015 CPR
  
Asset Category
  
Face
    
Value(1)(2)
    
Price
    
Portfolio
    
Coupon
    
(Reported in Aug)
  
As of July 31, 2015
                                    
Adjustable Rate RMBS
   $ 3,215     $ 3,445       107.15       0.18 %     3.65 %     43.72 %
10-1 Hybrid Rate RMBS
     55,081       56,370       102.34       3.02 %     2.56 %     16.25 %
Hybrid Adjustable Rate RMBS
     55,081       56,370       102.34       3.02 %     2.56 %     16.25 %
15 Year Fixed Rate RMBS
     211,963       221,941       104.71       11.88 %     3.14 %     7.48 %
20 Year Fixed Rate RMBS
     228,152       245,728       107.70       13.16 %     4.00 %     3.64 %
30 Year Fixed Rate RMBS
     1,137,720       1,228,069       107.94       65.76 %     4.17 %     7.77 %
Total Fixed Rate RMBS
     1,577,835       1,695,738       107.47       90.80 %     4.01 %     7.10 %
Total Pass-through RMBS
     1,636,131       1,755,553       107.30       94.00 %     3.96 %     7.53 %
Interest-Only Securities
     563,085       70,247       12.48       3.76 %     3.62 %     17.06 %
Inverse Interest-Only Securities
     200,720       41,818       20.83       2.24 %     6.19 %     18.10 %
Structured RMBS
     763,805       112,065       14.67       6.00 %     4.58 %     17.33 %
Total Mortgage Assets
   $ 2,399,936     $ 1,867,618               100.00 %     4.00 %     10.88 %

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)(2)
    
Portfolio
  
Asset Category
  
Value(1)(2)
    
Portfolio
  
As of July 31, 2015
            
As of July 31, 2015
            
Fannie Mae
   $ 1,463,963       78.4 %
Whole Pool Assets
   $ 1,571,896       84.2 %
Freddie Mac
     384,676       20.6 %
Non Whole Pool Assets
     295,722       15.8 %
Ginnie Mae
     18,979       1.0 %
Total Mortgage Assets
   $ 1,867,618       100.0 %
Total Mortgage Assets
   $ 1,867,618       100.0 %                  

(1)  
Amounts in the tables above include assets with a fair value of approximately $194.3 million purchased in July 2015 which settle in August 2015, and excludes assets with a fair value of $179.3 million sold in July 2015 which settle in August 2015.
(2)  
The tables above include to-be-announced securities sold with a fair value of approximately $20.6 million entered into prior to month-end which settle in August 2015.

 
 
 


 
Repurchase Agreement Exposure By Counterparty
                    
($ in thousands)
                    
               
Weighted
    
         
% of
    
Average
    
   
Total
    
Total
    
Maturity
  
Longest
As of July 31, 2015
  
Borrowings(1)
    
Debt
    
in Days
  
Maturity
J.P. Morgan Securities LLC
   $ 156,332       9.1 %     11  
8/31/2015
ICBC Financial Services LLC
     148,325       8.6 %     13  
8/21/2015
Citigroup Global Markets Inc
     146,476       8.5 %     16  
9/18/2015
Cantor Fitzgerald & Co
     144,574       8.4 %     14  
8/17/2015
ED&F Man Capital Markets Inc
     139,184       8.1 %     21  
10/6/2015
Mizuho Securities USA, Inc
     116,538       6.8 %     15  
9/2/2015
Mitsubishi UFJ Securities (USA), Inc
     113,119       6.6 %     18  
8/31/2015
KGS-Alpha Capital Markets, L.P
     103,826       6.0 %     19  
9/1/2015
RBC Capital Markets, LLC
     102,724       6.0 %     18  
9/22/2015
Nomura Securities International, Inc.
     98,366       5.7 %     20  
8/31/2015
South Street Securities, LLC
     90,471       5.3 %     13  
8/20/2015
Daiwa Securities America Inc.
     82,918       4.8 %     11  
9/9/2015
Wells Fargo Bank, N.A.
     65,587       3.8 %     14  
8/14/2015
Goldman, Sachs & Co
     55,918       3.2 %     48  
9/17/2015
Morgan Stanley & Co
     53,593       3.1 %     6  
8/6/2015
CRT Capital Group, LLC
     46,221       2.7 %     19  
8/28/2015
Guggenheim Securities, LLC
     27,660       1.6 %     29  
9/2/2015
Merrill Lynch, Pierce, Fenner & Smith Inc
     14,371       0.8 %     13  
8/13/2015
Barclays Capital Inc
     10,089       0.6 %     14  
8/14/2015
Suntrust Robinson Humphrey, Inc
     4,463       0.3 %     28  
8/28/2015
Total Borrowings
   $ 1,720,755       100.0 %     17  
10/6/2015

(1)  
In July 2015, the Company purchased assets with a fair value of approximately $194.3 million which settle in August 2015 that are expected to be funded by repurchase agreements.  These anticipated borrowings are not included in the table above.


 
 
 


 
RMBS Risk Measures
                                    
($ in thousands)
                                    
Mortgage Assets
                                    
         
Weighted
                          
         
Average
    
Weighted
    
Weighted
    
Modeled
    
Modeled
  
         
Months
    
Average
    
Average
    
Interest
    
Interest
  
         
To Next
    
Lifetime
    
Periodic
    
Rate
    
Rate
  
   
Fair
    
Coupon Reset
    
Cap
    
Cap Per Year
    
Sensitivity
    
Sensitivity
  
Asset Category
  
Value
    
(if applicable)
    
(if applicable)
    
(if applicable)
    
(-50 BPS)(1)
    
(+50 BPS)(1)
  
As of July 31, 2015
                                    
Adjustable Rate RMBS
   $ 3,445       1       10.07 %     2.00 %   $ 24     $ (26 )
Hybrid Adjustable Rate RMBS
     56,370       90       7.56 %     2.00 %     940       (1,130 )
Total Fixed Rate RMBS
     1,695,738       n/a       n/a       n/a       30,955       (40,198 )
Total Pass-through RMBS
     1,755,553       n/a       n/a       n/a       31,919       (41,354 )
Interest-Only Securities
     70,247       n/a       n/a       n/a       (12,026 )     10,270  
Inverse Interest-Only Securities
     41,818       1       6.38 %     n/a       (110 )     (1,168 )
Structured RMBS
     112,065       n/a       n/a       n/a       (12,136 )     9,102  
Total Mortgage Assets
   $ 1,867,618       n/a       n/a       n/a     $ 19,783     $ (32,252 )
                                                 
Funding Hedges
                                                
                                   
Modeled
    
Modeled
  
                                   
Interest
    
Interest
  
                   
Average
    
Hedge
    
Rate
    
Rate
  
                   
Notional
    
Period
    
Sensitivity
    
Sensitivity
  
                   
Balance(2)
    
End Date
    
(-50 BPS)(1)
    
(+50 BPS)(1)
  
Eurodollar Futures Contracts - Short Positions
     $ 900,000    
Mar-2019
     $ (14,983 )   $ 16,875  
Treasury Futures Contracts - Short Positions
       240,000    
Sep-2015
       (8,495 )     10,921  
Payer Swaption
                     100,000    
Sep-2025
       (4 )     50  
Grand Total
                                   $ (3,699 )   $ (4,406 )

(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)  
Treasury Futures Contracts were valued at 127.4375 at July 31, 2015.  The nominal value of the short position was $305.9 million.

Contact:

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

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