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): September 13, 2016 (September 12, 2016)

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 September 12, 2016, Orchid Island Capital, Inc. (the "Company") announced that the Board of Directors of the Company declared a dividend for the month of September 2016 of $0.14 per share to be paid on September 30, 2016 to holders of record on September 28, 2016, with an ex-dividend date of September 26, 2016. In addition, the Company announced certain details of its MBS portfolio as of August 31, 2016 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, 2015. 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 September 12, 2016





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: September 13, 2016
        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 September 12, 2016

 
EXHIBIT 99.1
 
ORCHID ISLAND CAPITAL ANNOUNCES
SEPTEMBER 2016 MONTHLY DIVIDEND AND
AUGUST 31, 2016 RMBS PORTFOLIO CHARACTERISTICS

September 2016 Monthly Dividend of $0.14 Per Share
RMBS Portfolio Characteristics as of August 31, 2016

Vero Beach, Fla., September 12, 2016 - Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of September 2016. The dividend of $0.14 per share will be paid September 30, 2016, to holders of record on September 28, 2016, with an ex-dividend date of September 26, 2016.

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 a certain percentage 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 September 12, 2016, the Company had 25,653,234 shares outstanding, including shares sold through the Company's at the market program through that date that have not yet settled. At June 30, 2016, the Company had 22,430,858 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 2016 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, 2015.


 
RMBS Valuation Characteristics
                                   
($ in thousands)
                                   
                     
Percentage
   
Weighted
   
Realized
 
   
Current
   
Fair
   
Current
   
of
   
Average
   
Aug 2016 CPR
 
Asset Category
 
Face
   
Value
   
Price
   
Portfolio
   
Coupon
   
(Reported in Sep)
 
As of August 31, 2016
                                   
Adjustable Rate RMBS
 
$
1,960
   
$
2,070
     
105.63
     
0.08
%
   
3.12
%
   
0.66
%
10-1 Hybrid Rate RMBS
   
47,901
     
49,915
     
104.20
     
2.04
%
   
2.55
%
   
15.50
%
Hybrid Adjustable Rate RMBS
   
47,901
     
49,915
     
104.20
     
2.04
%
   
2.55
%
   
15.50
%
15 Year Fixed Rate RMBS
   
90,097
     
95,864
     
106.40
     
3.90
%
   
3.28
%
   
7.23
%
20 Year Fixed Rate RMBS
   
406,761
     
444,620
     
109.31
     
18.10
%
   
4.00
%
   
10.11
%
30 Year Fixed Rate RMBS
   
1,600,758
     
1,772,162
     
110.71
     
72.17
%
   
4.35
%
   
9.17
%
Total Fixed Rate RMBS
   
2,097,616
     
2,312,646
     
110.25
     
94.17
%
   
4.24
%
   
9.27
%
Total Pass-through RMBS
   
2,147,477
     
2,364,631
     
110.11
     
96.29
%
   
4.20
%
   
9.40
%
Interest-Only Securities
   
566,729
     
50,196
     
8.86
     
2.04
%
   
3.56
%
   
19.52
%
Inverse Interest-Only Securities
   
215,712
     
41,012
     
19.01
     
1.67
%
   
5.76
%
   
17.71
%
Structured RMBS
   
782,441
     
91,208
     
11.66
     
3.71
%
   
4.55
%
   
19.02
%
Total Mortgage Assets
 
$
2,929,918
   
$
2,455,839
             
100.00
%
   
4.22
%
   
11.97
%

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 August 31, 2016
           
As of August 31, 2016
           
Fannie Mae
 
$
1,914,816
     
78.0
%
Whole Pool Assets
 
$
1,975,955
     
80.5
%
Freddie Mac
   
532,923
     
21.7
%
Non Whole Pool Assets
   
479,884
     
19.5
%
Ginnie Mae
   
8,100
     
0.3
%
Total Mortgage Assets
 
$
2,455,839
     
100.0
%
Total Mortgage Assets
 
$
2,455,839
     
100.0
%
                 



Borrowings By Counterparty
                       
($ in thousands)
                       
               
Weighted
   
         
% of
   
Average
   
   
Total
   
Total
   
Maturity
 
Longest
As of August 31, 2016
 
Borrowings(1)
   
Debt
   
in Days
 
Maturity
Citigroup Global Markets Inc
 
$
269,245
     
11.4
%
   
38
 
10/12/2016
Mitsubishi UFJ Securities (USA), Inc
   
207,533
     
9.0
%
   
41
 
10/17/2016
J.P. Morgan Securities LLC
   
205,895
     
8.9
%
   
16
 
10/11/2016
South Street Securities, LLC
   
185,873
     
8.0
%
   
5
 
10/19/2016
RBC Capital Markets, LLC
   
182,192
     
7.9
%
   
42
 
10/14/2016
Goldman, Sachs & Co
   
162,228
     
7.0
%
   
43
 
10/14/2016
ICBC Financial Services LLC
   
144,037
     
6.2
%
   
33
 
10/11/2016
ED&F Man Capital Markets Inc
   
138,101
     
6.0
%
   
37
 
11/3/2016
Wells Fargo Bank, N.A.
   
117,098
     
5.1
%
   
10
 
9/12/2016
Daiwa Securities America Inc.
   
114,719
     
5.0
%
   
9
 
9/12/2016
Cantor Fitzgerald & Co
   
114,312
     
4.9
%
   
49
 
10/24/2016
Natixis, New York Branch
   
98,782
     
4.3
%
   
11
 
9/21/2016
KGS-Alpha Capital Markets, L.P
   
89,657
     
3.9
%
   
19
 
9/26/2016
Nomura Securities International, Inc.
   
69,613
     
3.0
%
   
13
 
9/26/2016
Guggenheim Securities, LLC
   
66,010
     
2.9
%
   
53
 
10/28/2016
Mizuho Securities USA, Inc
   
61,671
     
2.7
%
   
16
 
9/19/2016
FHLB-Cincinnati
   
55,369
     
2.4
%
   
1
 
9/1/2016
Morgan Stanley & Co. LLC
   
26,655
     
1.2
%
   
9
 
9/9/2016
Suntrust Robinson Humphrey, Inc
   
4,218
     
0.2
%
   
2
 
9/2/2016
Total Borrowings
 
$
2,313,208
     
100.0
%
   
28
 
11/3/2016

(1)
In August 2016, the Company sold assets with a fair value of approximately $28.0 million which settle in September 2016. The table above includes repurchase agreement borrowings of approximately $26.5 million which are collateralized by these sold securities.



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 August 31, 2016
                                   
Adjustable Rate RMBS
 
$
2,070
     
8
     
10.05
%
   
2.00
%
 
$
12
   
$
(12
)
Hybrid Adjustable Rate RMBS
   
49,915
     
77
     
7.55
%
   
2.00
%
   
462
     
(707
)
Total Fixed Rate RMBS
   
2,312,646
     
n/
a
   
n/
a
   
n/
a
   
29,064
     
(42,412
)
Total Pass-through RMBS
   
2,364,631
     
n/
a
   
n/
a
   
n/
a
   
29,538
     
(43,131
)
Interest-Only Securities
   
50,196
     
n/
a
   
n/
a
   
n/
a
   
(7,827
)
   
6,452
 
Inverse Interest-Only Securities
   
41,012
     
1
     
6.28
%
   
n/
a
   
395
     
(1,402
)
Structured RMBS
   
91,208
     
n/
a
   
n/
a
   
n/
a
   
(7,432
)
   
5,050
 
Total Mortgage Assets
 
$
2,455,839
     
n/
a
   
n/
a
   
n/
a
 
$
22,106
   
$
(38,081
)
                                                 
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
   
$
200,000
   
Mar-2019
   
$
(1,431
)
 
$
2,750
 
Treasury Futures Contracts - Short Positions
     
185,000
   
Sep-2026
     
(8,108
)
   
7,303
 
Payer Swaps
                   
600,000
   
Feb-2020
     
(9,678
)
   
9,678
 
TBA Short Positions
                   
100,000
   
Sep-2016
     
(675
)
   
1,428
 
Grand Total
                                 
$
2,214
   
$
(16,922
)

(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 $131.88 at August 31, 2016. The nominal value of the short position was $244.0 million.


Contact:

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