Maryland
|
001-35236
|
27-3269228
|
(State or Other Jurisdiction of Incorporation)
|
(Commission File Number)
|
(IRS Employer Identification No.)
|
|
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))
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Nominee for Director
|
For
|
Witthheld
|
Broker Non-Votes
|
|||||||||
Robert E. Cauley
|
5,888,796
|
272,966
|
10,742,375
|
|||||||||
G. Hunter Haas, IV
|
5,548,122
|
613,640
|
10,742,375
|
|||||||||
W Coleman Bitting
|
5,838,923
|
322,839
|
10,742,375
|
|||||||||
John B. Van Heuvelen
|
5,824,477
|
337,285
|
10,742,375
|
|||||||||
Frank P. Filipps
|
5,822,301
|
339,461
|
10,742,375
|
|||||||||
Ava L. Parker
|
5,851,484
|
310,278
|
10,742,375
|
For
|
Against
|
Abstain
|
Broker Non-Votes
|
|||||||||||
16,290,486
|
287,032
|
326,619
|
*
|
* | No broker non-votes arose in connection with Proposal 2 due to the fact that the matter was considered "routine" under New York Stock Exchange rules. |
Exhibit No.
|
Description
|
|
99.1
|
Press Release dated June 9, 2016
|
Date: June 9, 2016
|
ORCHID ISLAND CAPITAL, INC.
|
||
|
|
||
|
|
||
|
By:
|
/s/ Robert E. Cauley
|
|
|
|
Robert E. Cauley
|
|
|
|
Chairman and Chief Executive Officer
|
Exhibit No.
|
Description
|
|
99.1
|
Press Release dated June 9, 2016
|
|
June 2016 Monthly Dividend of $0.14 Per Share
|
|
RMBS Portfolio Characteristics as of May 31, 2016
|
|
RMBS Valuation Characteristics
|
|
RMBS Assets by Agency
|
|
Investment Company Act of 1940 (Whole Pool) Test Results
|
|
Repurchase Agreement Exposure by Counterparty
|
|
RMBS Risk Measures
|
RMBS Valuation Characteristics
|
||||||||||||||||||||||||
($ in thousands)
|
||||||||||||||||||||||||
Percentage
|
Weighted
|
Realized
|
||||||||||||||||||||||
Current
|
Fair
|
Current
|
of
|
Average
|
May 2016 CPR
|
|||||||||||||||||||
Asset Category
|
Face
|
Value
|
Price
|
Portfolio
|
Coupon
|
(Reported in Jun)
|
||||||||||||||||||
As of May 31, 2016
|
||||||||||||||||||||||||
Adjustable Rate RMBS
|
$
|
1,982
|
$
|
2,085
|
105.19
|
0.10
|
%
|
3.08
|
%
|
0.67
|
%
|
|||||||||||||
10-1 Hybrid Rate RMBS
|
49,457
|
51,156
|
103.43
|
2.48
|
%
|
2.55
|
%
|
14.02
|
%
|
|||||||||||||||
Hybrid Adjustable Rate RMBS
|
49,457
|
51,156
|
103.43
|
2.48
|
%
|
2.55
|
%
|
14.02
|
%
|
|||||||||||||||
15 Year Fixed Rate RMBS
|
93,859
|
99,368
|
105.87
|
4.81
|
%
|
3.28
|
%
|
6.88
|
%
|
|||||||||||||||
20 Year Fixed Rate RMBS
|
424,698
|
460,120
|
108.34
|
22.27
|
%
|
4.00
|
%
|
7.94
|
%
|
|||||||||||||||
30 Year Fixed Rate RMBS
|
1,239,577
|
1,361,208
|
109.81
|
65.88
|
%
|
4.35
|
%
|
7.00
|
%
|
|||||||||||||||
Total Fixed Rate RMBS
|
1,758,134
|
1,920,696
|
109.25
|
92.96
|
%
|
4.21
|
%
|
7.22
|
%
|
|||||||||||||||
Total Pass-through RMBS
|
1,809,573
|
1,973,937
|
109.08
|
95.54
|
%
|
4.17
|
%
|
7.40
|
%
|
|||||||||||||||
Interest-Only Securities
|
535,212
|
54,998
|
10.28
|
2.66
|
%
|
3.59
|
%
|
17.23
|
%
|
|||||||||||||||
Inverse Interest-Only Securities
|
197,442
|
37,175
|
18.83
|
1.80
|
%
|
5.91
|
%
|
17.80
|
%
|
|||||||||||||||
Structured RMBS
|
732,654
|
92,173
|
12.58
|
4.46
|
%
|
4.53
|
%
|
17.38
|
%
|
|||||||||||||||
Total Mortgage Assets
|
$
|
2,542,227
|
$
|
2,066,110
|
100.00
|
%
|
4.18
|
%
|
10.27
|
%
|
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 May 31, 2016
|
As of May 31, 2016
|
||||||||||||||||
Fannie Mae
|
$
|
1,680,896
|
81.4
|
%
|
Whole Pool Assets
|
$
|
1,479,484
|
71.6
|
%
|
||||||||
Freddie Mac
|
374,530
|
18.1
|
%
|
Non Whole Pool Assets
|
586,626
|
28.4
|
%
|
||||||||||
Ginnie Mae
|
10,684
|
0.5
|
%
|
Total Mortgage Assets
|
$
|
2,066,110
|
100.0
|
%
|
|||||||||
Total Mortgage Assets
|
$
|
2,066,110
|
100.0
|
%
|
Borrowings By Counterparty
|
|||||||||||||
($ in thousands)
|
|||||||||||||
Weighted
|
|||||||||||||
% of
|
Average
|
||||||||||||
Total
|
Total
|
Maturity
|
Longest
|
||||||||||
As of May 31, 2016
|
Borrowings
|
Debt
|
in Days
|
Maturity
|
|||||||||
Citigroup Global Markets Inc
|
$
|
269,966
|
14.1
|
%
|
43
|
7/26/2016
|
|||||||
South Street Securities, LLC
|
189,211
|
9.8
|
%
|
2
|
6/16/2016
|
||||||||
FHLB-Cincinnati
|
141,835
|
7.4
|
%
|
33
|
7/25/2016
|
||||||||
Goldman, Sachs & Co
|
129,295
|
6.7
|
%
|
16
|
7/20/2016
|
||||||||
J.P. Morgan Securities LLC
|
126,898
|
6.6
|
%
|
52
|
8/12/2016
|
||||||||
Cantor Fitzgerald & Co
|
122,588
|
6.4
|
%
|
51
|
7/26/2016
|
||||||||
Guggenheim Securities, LLC
|
119,451
|
6.2
|
%
|
15
|
6/27/2016
|
||||||||
Wells Fargo Bank, N.A.
|
103,326
|
5.4
|
%
|
12
|
6/17/2016
|
||||||||
Natixis, New York Branch
|
102,244
|
5.3
|
%
|
10
|
6/20/2016
|
||||||||
Daiwa Securities America Inc.
|
99,762
|
5.2
|
%
|
6
|
6/10/2016
|
||||||||
Mitsubishi UFJ Securities (USA), Inc
|
97,088
|
5.0
|
%
|
31
|
7/18/2016
|
||||||||
ICBC Financial Services LLC
|
94,777
|
4.9
|
%
|
43
|
7/18/2016
|
||||||||
KGS-Alpha Capital Markets, L.P
|
87,506
|
4.5
|
%
|
50
|
7/25/2016
|
||||||||
Nomura Securities International, Inc.
|
71,397
|
3.7
|
%
|
17
|
7/26/2016
|
||||||||
Mizuho Securities USA, Inc
|
64,937
|
3.4
|
%
|
61
|
8/18/2016
|
||||||||
ED&F Man Capital Markets Inc
|
57,265
|
3.0
|
%
|
1
|
6/1/2016
|
||||||||
RBC Capital Markets, LLC
|
41,701
|
2.2
|
%
|
41
|
7/11/2016
|
||||||||
Suntrust Robinson Humphrey, Inc
|
4,231
|
0.2
|
%
|
8
|
6/8/2016
|
||||||||
Total Borrowings
|
$
|
1,923,478
|
100.0
|
%
|
28
|
8/18/2016
|
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 May 31, 2016
|
||||||||||||||||||||||||
Adjustable Rate RMBS
|
$
|
2,085
|
2
|
10.05
|
%
|
2.00
|
%
|
$
|
7
|
$
|
(8
|
)
|
||||||||||||
Hybrid Adjustable Rate RMBS
|
51,156
|
80
|
7.55
|
%
|
2.00
|
%
|
645
|
(833
|
)
|
|||||||||||||||
Total Fixed Rate RMBS
|
1,920,696
|
n/
|
a
|
n/
|
a
|
n/
|
a
|
30,519
|
(41,161
|
)
|
||||||||||||||
Total Pass-through RMBS
|
1,973,937
|
n/
|
a
|
n/
|
a
|
n/
|
a
|
31,171
|
(42,002
|
)
|
||||||||||||||
Interest-Only Securities
|
54,998
|
n/
|
a
|
n/
|
a
|
n/
|
a
|
(8,354
|
)
|
6,835
|
||||||||||||||
Inverse Interest-Only Securities
|
37,175
|
1
|
6.35
|
%
|
n/
|
a
|
502
|
(1,351
|
)
|
|||||||||||||||
Structured RMBS
|
92,173
|
n/
|
a
|
n/
|
a
|
n/
|
a
|
(7,852
|
)
|
5,484
|
||||||||||||||
Total Mortgage Assets
|
$
|
2,066,110
|
n/
|
a
|
n/
|
a
|
n/
|
a
|
$
|
23,319
|
$
|
(36,518
|
)
|
|||||||||||
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
|
$
|
160,000
|
Mar-2019
|
$
|
(2,319
|
)
|
$
|
3,000
|
||||||||||||||||
Treasury Futures Contracts - Short Positions
|
185,000
|
Sep-2026
|
(7,714
|
)
|
7,440
|
|||||||||||||||||||
Payer Swaps
|
600,000
|
Feb-2020
|
(10,322
|
)
|
10,322
|
|||||||||||||||||||
TBA Short Positions
|
80,000
|
Jun-2016
|
(852
|
)
|
1,259
|
|||||||||||||||||||
Grand Total
|
$
|
2,112
|
$
|
(14,497
|
)
|
(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 a price of $129.69 at May 31, 2016. The nominal value of the short position was $239.9 million.
|