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 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 2.02. RESULTS OF OPERATIONS AND FINANCIAL CONDITION.

On October 12, 2016, Orchid Island Capital, Inc. (the "Company") announced its preliminary book value of $11.21 per share as of September 30, 2016 and certain details of its RMBS portfolio as of September 30, 2016. These figures and the estimated book value per share are preliminary, subject to change, and subject to audit 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 12, 2016, the Company announced that the Board of Directors of the Company declared a dividend for the month of October 2016 of $0.14 per share to be paid on October 31, 2016 to holders of record on October 27, 2016 with an ex-dividend date of October 25, 2016. 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 investors 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 October 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: October 12, 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 October 12, 2016

 
 
EXHIBIT 99.1
ORCHID ISLAND CAPITAL ANNOUNCES
OCTOBER 2016 MONTHLY DIVIDEND AND
SEPTEMBER 30, 2016 RMBS PORTFOLIO CHARACTERISTICS

October 2016 Monthly Dividend of $0.14 Per Share
Estimated Book Value Per Share at September 30, 2016 of $11.21
Estimated 7.1% total return on equity for the quarter, or 28.4% annualized
RMBS Portfolio Characteristics as of September 30, 2016

Vero Beach, Fla., October 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 October 2016. The dividend of $0.14 per share will be paid October 31, 2016, to holders of record on October 27, 2016, with an ex-dividend date of October 25, 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 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 12, 2016, the Company had 26,252,193 shares outstanding. At June 30, 2016, the Company had 22,430,858 shares outstanding.

Estimated September 30, 2016 Book Value Per Share

The Company's estimated book value per share as of September 30, 2016 was $11.21.  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, 2016, the Company's preliminary estimated total stockholders' equity was approximately $294.4 million with 26,252,193 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, 2016 was 7.1%, or 28.4% 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 $0.77 per share, comprised of dividends per share of $0.42 and an increase in book value per share of $0.35 from June 30, 2016.



RMBS Portfolio Characteristics

Details of the RMBS portfolio as of September 30, 2016 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 ended September 30, 2016, are subject to review by the Company's independent registered public accounting firm.

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, the expected funding of purchased assets and anticipated borrowings. 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
   
Sep 2016 CPR
 
Asset Category
 
Face
   
Value(1)
   
Price
   
Portfolio
   
Coupon
   
(Reported in Oct)
 
As of September 30, 2016
                                   
Adjustable Rate RMBS
 
$
1,953
   
$
2,076
     
106.30
     
0.08
%
   
3.46
%
   
0.66
%
10-1 Hybrid Rate RMBS
   
46,752
     
48,764
     
104.30
     
1.95
%
   
2.55
%
   
18.09
%
Hybrid Adjustable Rate RMBS
   
46,752
     
48,764
     
104.30
     
1.95
%
   
2.55
%
   
18.09
%
15 Year Fixed Rate RMBS
   
89,028
     
94,775
     
106.46
     
3.79
%
   
3.28
%
   
10.54
%
20 Year Fixed Rate RMBS
   
423,917
     
465,671
     
109.85
     
18.62
%
   
4.00
%
   
7.56
%
30 Year Fixed Rate RMBS
   
1,598,383
     
1,772,433
     
110.89
     
70.85
%
   
4.34
%
   
8.14
%
Total Fixed Rate RMBS
   
2,111,328
     
2,332,879
     
110.49
     
93.26
%
   
4.23
%
   
8.12
%
Total Pass-through RMBS
   
2,160,033
     
2,383,719
     
110.36
     
95.29
%
   
4.19
%
   
8.34
%
Interest-Only Securities
   
549,780
     
51,174
     
9.31
     
2.05
%
   
3.53
%
   
19.30
%
Inverse Interest-Only Securities
   
316,114
     
66,604
     
21.07
     
2.66
%
   
5.65
%
   
15.72
%
Structured RMBS
   
865,894
     
117,778
     
13.60
     
4.71
%
   
4.73
%
   
18.22
%
Total Mortgage Assets
 
$
3,025,927
   
$
2,501,497
             
100.00
%
   
4.22
%
   
11.02
%




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, 2016
           
As of September 30, 2016
           
Fannie Mae
 
$
1,967,077
     
78.6
%
Whole Pool Assets
 
$
2,088,608
     
83.5
%
Freddie Mac
   
526,476
     
21.1
%
Non Whole Pool Assets
   
412,889
     
16.5
%
Ginnie Mae
   
7,944
     
0.3
%
Total Mortgage Assets
 
$
2,501,497
     
100.0
%
Total Mortgage Assets
 
$
2,501,497
     
100.0
%
                 

(1)
Amounts in the tables above include assets with a fair value of approximately $72.5 million purchased in September 2016 which settle in October 2016, and exclude assets with a fair value of $28.3 million sold in September 2016 which settle in October 2016.

Borrowings By Counterparty
                       
($ in thousands)
                       
               
Weighted
   
         
% of
   
Average
   
   
Total
   
Total
   
Maturity
 
Longest
As of September 30, 2016
 
Borrowings(1)
   
Debt
   
in Days
 
Maturity
Citigroup Global Markets Inc
 
$
270,285
     
11.8
%
   
13
 
10/26/2016
Mitsubishi UFJ Securities (USA), Inc
   
207,159
     
9.0
%
   
15
 
10/31/2016
ED&F Man Capital Markets Inc
   
197,813
     
8.6
%
   
19
 
11/3/2016
South Street Securities, LLC
   
185,800
     
8.1
%
   
4
 
10/19/2016
J.P. Morgan Securities LLC
   
185,041
     
8.1
%
   
16
 
10/28/2016
RBC Capital Markets, LLC
   
182,192
     
7.9
%
   
12
 
10/14/2016
Goldman, Sachs & Co
   
161,739
     
7.0
%
   
14
 
10/20/2016
ICBC Financial Services LLC
   
143,778
     
6.3
%
   
10
 
10/17/2016
Cantor Fitzgerald & Co
   
114,312
     
5.0
%
   
19
 
10/24/2016
Daiwa Securities America Inc.
   
113,005
     
4.9
%
   
9
 
10/12/2016
Wells Fargo Bank, N.A.
   
101,563
     
4.4
%
   
13
 
10/14/2016
Natixis, New York Branch
   
97,578
     
4.2
%
   
11
 
10/21/2016
KGS-Alpha Capital Markets, L.P
   
88,964
     
3.9
%
   
19
 
10/24/2016
Nomura Securities International, Inc.
   
68,508
     
3.0
%
   
14
 
11/25/2016
Mizuho Securities USA, Inc
   
55,920
     
2.4
%
   
7
 
10/7/2016
FHLB-Cincinnati
   
55,397
     
2.4
%
   
3
 
10/3/2016
Guggenheim Securities, LLC
   
50,985
     
2.2
%
   
28
 
10/28/2016
Morgan Stanley & Co. LLC
   
14,027
     
0.6
%
   
7
 
10/7/2016
Suntrust Robinson Humphrey, Inc
   
4,031
     
0.2
%
   
14
 
10/14/2016
Total Borrowings
 
$
2,298,097
     
100.0
%
   
13
 
11/25/2016

(1)
In September 2016, the Company purchased assets with a fair value of approximately $72.5 million which settle in October 2016 that are expected to be funded by repurchase agreements.  These anticipated borrowings are not included in the table above. In September 2016, the Company also sold assets with a fair value of approximately $28.3 million which settle in October 2016. The table above includes repurchase agreement borrowings of approximately $27.0 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 September 30, 2016
                                   
Adjustable Rate RMBS
 
$
2,076
     
8
     
10.05
%
   
2.00
%
 
$
12
   
$
(12
)
Hybrid Adjustable Rate RMBS
   
48,764
     
76
     
7.55
%
   
2.00
%
   
445
     
(678
)
Total Fixed Rate RMBS
   
2,332,879
     
n/
a
   
n/
a
   
n/
a
   
29,393
     
(42,626
)
Total Pass-through RMBS
   
2,383,719
     
n/
a
   
n/
a
   
n/
a
   
29,850
     
(43,316
)
Interest-Only Securities
   
51,174
     
n/
a
   
n/
a
   
n/
a
   
(8,622
)
   
7,193
 
Inverse Interest-Only Securities
   
66,604
     
1
     
6.17
%
   
n/
a
   
1,496
     
(3,117
)
Structured RMBS
   
117,778
     
n/
a
   
n/
a
   
n/
a
   
(7,126
)
   
4,076
 
Total Mortgage Assets
 
$
2,501,497
     
n/
a
   
n/
a
   
n/
a
 
$
22,724
   
$
(39,240
)
                                                 
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
   
$
(1,032
)
 
$
2,500
 
Treasury Futures Contracts - Short Positions
     
185,000
   
Dec-2026
     
(8,427
)
   
6,597
 
Payer Swaps
                   
600,000
   
Feb-2020
     
(9,743
)
   
9,743
 
TBA Short Positions
                   
146,800
   
Oct-2016
     
(1,197
)
   
2,119
 
Grand Total
                                 
$
2,325
   
$
(18,281
)

(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 $131.13 at September 30, 2016. The nominal value of the short position was $242.6 million.


Contact:

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