orc8k20140710.htm



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):  July 10, 2014

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 2.02.  RESULTS OF OPERATIONS AND FINANCIAL CONDITION.

On July 10, 2014, Orchid Island Capital, Inc. (the “Company”) announced its preliminary book value of $13.05 per share as of June 30, 2014 and certain details of its MBS portfolio as of June 30, 2014. These figures and the estimated 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 July 10, 2014, Orchid Island Capital, Inc. (the “Company”) announced that on July 10, 2014 the Board of Directors of the Company declared a dividend for the month of July 2014 of $0.18 per share to be paid on July 31, 2014 to holders of record on July 28, 2014 with an ex-dividend date of July 24, 2014.  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, 2013.  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
     
99.1
Press Release dated July 10, 2014



 
 

 


 

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: July 10, 2014
        ORCHID ISLAND CAPITAL, INC.
 
     
     
 
By:
/s/ Robert E. Cauley   
   
Robert E. Cauley
 
   
Chairman and Chief Executive Officer
 
orc8k20140710x991.htm
EXHIBIT 99.1

 
ORCHID ISLAND CAPITAL ANNOUNCES
JULY 2014 MONTHLY DIVIDEND AND
JUNE 30, 2014 RMBS PORTFOLIO CHARACTERISTICS

·  
July 2014 Monthly Dividend of $0.18 Per Share
·  
Estimated Book Value Per Share at June 30, 2014 of $13.05
·  
RMBS Portfolio Characteristics as of June 30, 2014

Vero Beach, Fla., July 10, 2014 - Orchid Island Capital, Inc. (the “Company”) (NYSE MKT:ORC) announced that today the Board of Directors declared a monthly cash dividend for the month of July 2014. The dividend of $0.18 per share will be paid July 31, 2014, to holders of record on July 28, 2014, with an ex-dividend date of July 24, 2014.

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.

Estimated June 30, 2014 Book Value Per Share

The Company’s estimated book value per share as of June 30, 2014 was $13.05.  The Company computes book value per share by dividing total stockholders' equity by the total number of shares outstanding of the Company's Common Stock. At June 30, 2014, the Company's preliminary estimated total stockholders' equity was approximately $125.7 million with 9,632,108 Common shares 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.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of June 30, 2014 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s unaudited financial statements and associated footnotes as of and for the three month period ended June 30, 2014, are subject to  review by the Company’s independent registered public accounting firm.
 
 
·  
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. intends to elect to be taxed as a real estate investment trust 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 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, 2013.

 
RMBS Valuation Characteristics
                                   
($ in thousands)
                                   
                     
Percentage
   
Weighted
   
Realized
 
   
Current
   
Fair
   
Current
   
of
   
Average
   
Jun 2014 CPR
 
Asset Category
 
Face
   
Value
   
Price
   
Portfolio
   
Coupon
   
(Reported in Jul)
 
As of June 30, 2014
                                   
Adjustable Rate RMBS
  $ 4,286     $ 4,650       108.51       0.53 %     4.11 %     0.18 %
10-1 Hybrid Rate RMBS
    74,473       75,061       100.79       8.57 %     2.55 %     12.61 %
Hybrid Adjustable Rate RMBS
    74,473       75,061       100.79       8.57 %     2.55 %     12.61 %
15 Year Fixed Rate RMBS
    83,012       87,688       105.63       10.01 %     3.40 %     3.25 %
20 Year Fixed Rate RMBS
    123,605       131,984       106.78       15.07 %     3.93 %     3.91 %
30 Year Fixed Rate RMBS
    482,603       527,538       109.31       60.22 %     4.54 %     5.57 %
Total Fixed Rate RMBS
    689,220       747,210       108.41       85.30 %     4.30 %     4.81 %
Total Pass-through RMBS
    767,979       826,921       107.68       94.40 %     4.14 %     5.74 %
Interest-Only Securities
    281,193       38,743       13.78       4.42 %     4.40 %     19.25 %
Inverse Interest-Only Securities
    72,162       10,340       14.33       1.18 %     6.04 %     13.43 %
Structured RMBS
    353,355       49,083       13.89       5.60 %     4.74 %     17.98 %
Total Mortgage Assets
  $ 1,121,334     $ 876,004               100.00 %     4.17 %     10.08 %

 
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 June 30, 2014
           
As of June 30, 2014
           
Fannie Mae
  $ 547,123       62.5 %
Whole Pool Assets
  $ 740,212       84.5 %
Freddie Mac
    318,454       36.3 %
Non Whole Pool Assets
    135,792       15.5 %
Ginnie Mae
    10,427       1.2 %
Total Mortgage Assets
  $ 876,004       100.0 %
Total Mortgage Assets
  $ 876,004       100.0 %                  
 
 
 
 

 
 
Repurchase Agreement Exposure By Counterparty
                   
($ in thousands)
                   
               
Weighted
   
         
% of
   
Average
   
   
Total
   
Total
   
Maturity
 
Longest
As of June 30, 2014
 
Borrowings
   
Debt
   
in Days
 
Maturity
Citigroup Global Markets Inc
  $ 156,153       19.8 %     19  
9/3/2014
Cantor Fitzgerald & Co
    79,295       10.1 %     27  
8/22/2014
KGS-Alpha Capital Markets, L.P
    76,241       9.7 %     36  
10/3/2014
Morgan Stanley & Co
    66,373       8.5 %     50  
8/19/2014
CRT Capital Group, LLC
    64,760       8.3 %     55  
8/29/2014
Mitsubishi UFJ Securities (USA), Inc
    58,960       7.5 %     7  
7/25/2014
Goldman, Sachs & Co
    56,637       7.2 %     25  
7/28/2014
ED&F Man Capital Markets Inc
    53,094       6.8 %     21  
8/1/2014
J.P. Morgan Securities LLC
    48,343       6.2 %     10  
7/11/2014
Mizuho Securities USA, Inc
    45,138       5.8 %     13  
7/23/2014
South Street Securities, LLC
    40,042       5.1 %     16  
7/28/2014
Suntrust Robinson Humphrey, Inc
    24,826       3.2 %     3  
7/3/2014
Other
    13,839       1.8 %     74  
9/12/2014
Total Borrowings
  $ 783,701       100.0 %     26  
10/3/2014

 
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 June 30, 2014
                                   
Adjustable Rate RMBS
  $ 4,650       1       10.16 %     2.00 %   $ 7     $ (13 )
Hybrid Adjustable Rate RMBS
    75,061       104       7.55 %     2.00 %     1,768       (2,134 )
Total Fixed Rate RMBS
    747,210       n/a       n/a       n/a       13,795       (19,349 )
Total Pass-through RMBS
    826,921       n/a       n/a       n/a       15,570       (21,496 )
Interest-Only Securities
    38,743       n/a       n/a       n/a       (7,049 )     6,872  
Inverse Interest-Only Securities
    10,340       0       6.19 %     n/a       (647 )     136  
Structured RMBS
    49,083       n/a       n/a       n/a       (7,696 )     7,008  
Total Mortgage Assets
  $ 876,004       n/a       n/a       n/a     $ 7,874     $ (14,488 )
Funding Hedges
                                               
                                   
Modeled
   
Modeled
 
                                   
Interest
   
Interest
 
                   
Average
   
Hedge
   
Rate
   
Rate
 
                   
Notional
   
Period
   
Sensitivity
   
Sensitivity
 
                   
Balance
   
End Date
   
(-50 BPS)(1)
   
(+50 BPS)(1)
 
Eurodollar Futures Contracts - Short Positions
    $ 500,000    
Dec-2018
    $ (8,950 )   $ 10,295  
Payer Swaption
                    100,000    
Jun-2020
      (680 )     1,295  
Grand Total
                                  $ (1,756 )   $ (2,898 )

 
(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 OAS. These results are for illustrative purposes only and actual results may differ materially.

Contact:

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