orc8k20151008.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):  October 8, 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 2.02. RESULTS OF OPERATIONS AND FINANCIAL CONDITION.

On October 8, 2015, Orchid Island Capital, Inc. (the “Company”) announced its preliminary book value of $11.69 per share as of September 30, 2015 and certain details of its MBS portfolio as of September 30, 2015. 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 October 8, 2015, Orchid Island Capital, Inc. (the “Company”) announced the Board of Directors of the Company declared a dividend for the month of October 2015 of $0.14 per share to be paid on October 30, 2015 to holders of record on October 26, 2015 with an ex-dividend date of October 22, 2015.  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 October 8, 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: October 8, 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 October 8, 2015

orc8k20151008x991.htm
EXHIBIT 99.1


 
ORCHID ISLAND CAPITAL ANNOUNCES
OCTOBER 2015 MONTHLY DIVIDEND AND
SEPTEMBER 30, 2015 RMBS PORTFOLIO CHARACTERISTICS

·  
October 2015 Monthly Dividend of $0.14 Per Share
·  
Estimated Book Value Per Share at September 30, 2015 of $11.69
·  
Estimated -2.2% total return on equity for the quarter, or -8.7% annualized
·  
RMBS Portfolio Characteristics as of September 30, 2015
·  
1,197,543 cumulative shares repurchased through stock repurchase program

Vero Beach, Fla., October 8, 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 October 2015. The dividend of $0.14 per share will be paid October 30, 2015, to holders of record on October 26, 2015, with an ex-dividend date of October 22, 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 October 8, 2015, the Company had 21,768,190 shares outstanding. At June 30, 2015, the Company had 22,959,817 shares outstanding.

Estimated September 30, 2015 Book Value Per Share

The Company’s estimated book value per share as of September 30, 2015 was $11.69.  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 September 30, 2015, the Company's preliminary estimated total stockholders’ equity was approximately $255.9 million with 21,892,773 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.

Estimated Return on Equity

The Company’s estimated total return on equity for the quarter ended September 30, 2015 was -2.2%, or -8.7% on an annualized basis. 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 -$0.27 per share, comprised of dividends per share of $0.42 and a decrease in book value per share of $0.69 from June 30, 2015.


 
 

 


 
RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2015 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 and nine months ended September 30, 2015, 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. 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 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
   
Sep 2015 CPR
 
Asset Category
 
Face
   
Value(1)
   
Price
   
Portfolio
   
Coupon
   
(Reported in Oct)
 
As of September 30, 2015
                                   
Adjustable Rate RMBS
  $ 2,886     $ 3,090       107.06       0.15 %     3.58 %     22.88 %
10-1 Hybrid Rate RMBS
    53,266       54,655       102.61       2.58 %     2.56 %     8.41 %
Hybrid Adjustable Rate RMBS
    53,266       54,655       102.61       2.58 %     2.56 %     8.41 %
15 Year Fixed Rate RMBS
    102,057       107,781       105.61       5.09 %     3.28 %     5.01 %
20 Year Fixed Rate RMBS
    325,774       351,365       107.86       16.59 %     4.00 %     3.59 %
30 Year Fixed Rate RMBS
    1,379,029       1,496,518       108.52       70.67 %     4.26 %     5.23 %
Total Fixed Rate RMBS
    1,806,860       1,955,664       108.24       92.35 %     4.16 %     4.99 %
Total Pass-through RMBS
    1,863,012       2,013,409       108.07       95.08 %     4.11 %     5.12 %
Interest-Only Securities
    536,981       64,351       11.98       3.04 %     3.59 %     13.97 %
Inverse Interest-Only Securities
    191,331       39,849       20.83       1.88 %     6.18 %     17.15 %
Structured RMBS
    728,312       104,200       14.31       4.92 %     4.58 %     14.80 %
Total Mortgage Assets
  $ 2,591,324     $ 2,117,609               100.00 %     4.14 %     7.94 %


 
 

 


 
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)
   
Portfolio
 
Asset Category
 
Value(1)
   
Portfolio
 
As of September 30, 2015
           
As of September 30, 2015
           
Fannie Mae
  $ 1,762,847       83.2 %
Whole Pool Assets
  $ 1,738,549       82.1 %
Freddie Mac
    337,687       16.0 %
Non Whole Pool Assets
    379,060       17.9 %
Ginnie Mae
    17,075       0.8 %
Total Mortgage Assets
  $ 2,117,609       100.0 %
Total Mortgage Assets
  $ 2,117,609       100.0 %                  
 
(1)  
Amounts in the tables above include assets with a fair value of approximately $92.3 million purchased in September 2015 which settle in October 2015, and excludes assets with a fair value of $87.4 million sold in September 2015 which settle in October 2015.
 
 
Repurchase Agreement Exposure By Counterparty
                   
($ in thousands)
                   
               
Weighted
   
         
% of
   
Average
   
   
Total
   
Total
   
Maturity
 
Longest
As of September 30, 2015
 
Borrowings(1)
   
Debt
   
in Days
 
Maturity
ED&F Man Capital Markets Inc
  $ 177,634       9.1 %     16  
10/26/2015
Goldman, Sachs & Co
    159,105       8.2 %     56  
11/25/2015
Cantor Fitzgerald & Co
    142,652       7.3 %     14  
10/19/2015
Mizuho Securities USA, Inc
    129,512       6.7 %     12  
10/22/2015
ICBC Financial Services LLC
    127,359       6.6 %     14  
10/19/2015
Merrill Lynch, Pierce, Fenner & Smith Inc
    119,416       6.1 %     14  
10/14/2015
Wells Fargo Bank, N.A.
    115,924       6.0 %     12  
10/14/2015
Citigroup Global Markets Inc
    114,217       5.9 %     15  
10/26/2015
Mitsubishi UFJ Securities (USA), Inc
    113,807       5.9 %     18  
10/30/2015
J.P. Morgan Securities LLC
    111,503       5.7 %     12  
10/28/2015
KGS-Alpha Capital Markets, L.P
    102,291       5.3 %     11  
10/19/2015
RBC Capital Markets, LLC
    100,712       5.2 %     18  
10/22/2015
Nomura Securities International, Inc.
    97,948       5.0 %     20  
10/30/2015
South Street Securities, LLC
    94,434       4.9 %     14  
10/21/2015
Daiwa Securities America Inc.
    81,433       4.2 %     10  
10/14/2015
Morgan Stanley & Co
    52,972       2.7 %     11  
10/14/2015
CRT Capital Group, LLC
    45,512       2.3 %     20  
10/26/2015
Guggenheim Securities, LLC
    42,374       2.2 %     38  
11/30/2015
Barclays Capital Inc
    10,125       0.5 %     14  
10/14/2015
Suntrust Robinson Humphrey, Inc
    4,369       0.2 %     23  
10/23/2015
Total Borrowings
  $ 1,943,299       100.0 %     18  
11/30/2015

(1)  
In September 2015, the Company purchased assets with a fair value of approximately $92.3 million which settle in October 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 September 30, 2015
                                   
Adjustable Rate RMBS
  $ 3,090       6       10.03 %     2.00 %   $ 19     $ (20 )
Hybrid Adjustable Rate RMBS
    54,655       88       7.55 %     2.00 %     855       (1,057 )
Total Fixed Rate RMBS
    1,955,664       n/a       n/a       n/a       29,802       (41,335 )
Total Pass-through RMBS
    2,013,409       n/a       n/a       n/a       30,676       (42,412 )
Interest-Only Securities
    64,351       n/a       n/a       n/a       (11,995 )     10,406  
Inverse Interest-Only Securities
    39,849       1       6.38 %     n/a       (271 )     (953 )
Structured RMBS
    104,200       n/a       n/a       n/a       (12,266 )     9,453  
Total Mortgage Assets
  $ 2,117,609       n/a       n/a       n/a     $ 18,410     $ (32,959 )
                                                 
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
    $ 873,333    
Mar-2019
    $ (13,770 )   $ 16,375  
Treasury Futures Contracts - Short Positions
      185,000    
Dec-2025
      (7,549 )     7,430  
Grand Total
                                  $ (2,909 )   $ (9,154 )

 
(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 128.73 at September 30, 2015.  The nominal value of the short position was $238.2 million.


Contact:

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