orc8k20140812.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):  August 12, 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 8.01.  OTHER EVENTS.

On August 12, 2014, Orchid Island Capital, Inc. (the “Company”) announced that on August 12, 2014 the Board of Directors of the Company declared a dividend for the month of August 2014 of $0.18 per share to be paid on August 29, 2014 to holders of record on August 26, 2014 with an ex-dividend date of August 22, 2014.  In addition, the Company announced certain details of its MBS portfolio as of July 31, 2014 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, 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

Exhibit No.
 
Description
99.1
 
Press Release dated August 12, 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: August 12, 2014
        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 12, 2014
orc8k20140812x991.htm

EXHIBIT 99.1
 
 
ORCHID ISLAND CAPITAL ANNOUNCES
AUGUST 2014 MONTHLY DIVIDEND AND
JULY 31, 2014 RMBS PORTFOLIO CHARACTERISTICS

·  
August 2014 Monthly Dividend of $0.18 Per Share
·  
RMBS Portfolio Characteristics as of July 31, 2014

Vero Beach, Fla., August 12, 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 August 2014. The dividend of $0.18 per share will be paid August 29, 2014, to holders of record on August 26, 2014, with an ex-dividend date of August 22, 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.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 2014 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. 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
   
Jul 2014 CPR
 
Asset Category
 
Face
   
Value
   
Price
   
Portfolio
   
Coupon
   
(Reported in Aug)
 
As of July 31, 2014
                                   
Adjustable Rate RMBS
  $ 4,273     $ 4,642       108.62       0.51 %     4.10 %     51.56 %
10-1 Hybrid Rate RMBS
    73,204       73,604       100.55       8.01 %     2.55 %     16.28 %
Hybrid Adjustable Rate RMBS
    73,204       73,604       100.55       8.01 %     2.55 %     16.28 %
15 Year Fixed Rate RMBS
    82,411       86,636       105.13       9.43 %     3.40 %     4.25 %
20 Year Fixed Rate RMBS
    122,865       130,211       105.98       14.17 %     3.93 %     5.42 %
30 Year Fixed Rate RMBS
    519,642       565,575       108.84       61.55 %     4.56 %     4.42 %
Total Fixed Rate RMBS
    724,918       782,422       107.93       85.15 %     4.33 %     4.59 %
Total Pass-through RMBS
    802,395       860,668       107.26       93.67 %     4.18 %     6.03 %
Interest-Only Securities
    342,291       48,004       14.02       5.22 %     4.12 %     18.79 %
Inverse Interest-Only Securities
    70,567       10,145       14.38       1.11 %     6.04 %     16.13 %
Structured RMBS
    412,858       58,149       14.08       6.33 %     4.46 %     18.25 %
Total Mortgage Assets
  $ 1,215,253     $ 918,817               100.00 %     4.19 %     9.93 %

 
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 July 31, 2014
           
As of July 31, 2014
           
Fannie Mae
  $ 593,657       64.6 %
Whole Pool Assets
  $ 775,267       84.4 %
Freddie Mac
    314,922       34.3 %
Non Whole Pool Assets
    143,550       15.6 %
Ginnie Mae
    10,238       1.1 %
Total Mortgage Assets
  $ 918,817       100.0 %
Total Mortgage Assets
  $ 918,817       100.0 %                  

 
Repurchase Agreement Exposure By Counterparty
                   
($ in thousands)
                   
               
Weighted
   
         
% of
   
Average
   
   
Total
   
Total
   
Maturity
 
Longest
As of July 31, 2014
 
Borrowings
   
Debt
   
in Days
 
Maturity
Citigroup Global Markets Inc
  $ 155,708       19.3 %     17  
9/3/2014
Cantor Fitzgerald & Co
    79,120       9.8 %     36  
9/12/2014
KGS-Alpha Capital Markets, L.P
    76,265       9.5 %     25  
10/3/2014
CRT Capital Group, LLC
    72,006       9.0 %     25  
8/29/2014
Morgan Stanley & Co
    66,526       8.3 %     19  
8/19/2014
Mitsubishi UFJ Securities (USA), Inc
    59,137       7.4 %     6  
8/25/2014
Goldman, Sachs & Co
    55,894       6.9 %     25  
8/28/2014
ED&F Man Capital Markets Inc
    52,691       6.5 %     49  
10/16/2014
J.P. Morgan Securities LLC
    49,795       6.2 %     69  
10/8/2014
Mizuho Securities USA, Inc
    43,678       5.4 %     14  
8/22/2014
South Street Securities, LLC
    39,049       4.9 %     17  
8/28/2014
Suntrust Robinson Humphrey, Inc
    24,748       3.1 %     1  
8/1/2014
Guggenheim Securities, LLC
    16,058       2.0 %     85  
10/24/2014
Other
    13,839       1.7 %     43  
9/12/2014
Total Borrowings
  $ 804,514       100.0 %     27  
10/24/2014

 
 
 
 

 
 
 
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 July 31, 2014
                                   
Adjustable Rate RMBS
  $ 4,642       1       10.16 %     2.00 %   $ 12     $ (21 )
Hybrid Adjustable Rate RMBS
    73,604       103       7.55 %     2.00 %     1,781       (2,078 )
Total Fixed Rate RMBS
    782,422       n/a       n/a       n/a       15,201       (20,471 )
Total Pass-through RMBS
    860,668       n/a       n/a       n/a       16,994       (22,570 )
Interest-Only Securities
    48,004       n/a       n/a       n/a       (7,174 )     6,395  
Inverse Interest-Only Securities
    10,145       1       6.19 %     n/a       (588 )     30  
Structured RMBS
    58,149       n/a       n/a       n/a       (7,762 )     6,425  
Total Mortgage Assets
  $ 918,817       n/a       n/a       n/a     $ 9,232     $ (16,145 )
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
    $ (9,291 )   $ 10,479  
Payer Swaption
                    175,000    
Jul-2025
      (1,756 )     3,224  
Grand Total
                                  $ (1,815 )   $ (2,442 )

 
(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