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): February 8, 2017

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 February 8, 2017, Orchid Island Capital, Inc. (the "Company") announced that the Board of Directors of the Company declared a dividend for the month of February 2017 of $0.14 per share to be paid on March 10, 2017 to holders of record on February 28, 2017, with an ex-dividend date of February 24, 2017. In addition, the Company announced certain details of its MBS portfolio as of January 31, 2017 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 February 8, 2017





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: February 8, 2017
        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 February 8, 2017

 
EXHIBIT 99.1
 
ORCHID ISLAND CAPITAL ANNOUNCES
FEBRUARY 2017 MONTHLY DIVIDEND AND
JANUARY 31, 2017 RMBS PORTFOLIO CHARACTERISTICS

February 2017 Monthly Dividend of $0.14 Per Share
RMBS Portfolio Characteristics as of January 31, 2017

Vero Beach, Fla., February 8, 2017 - Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of February 2017. The dividend of $0.14 per share will be paid March 10, 2017, to holders of record on February 28, 2017, with an ex-dividend date of February 24, 2017.

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 February 8, 2017, the Company had 32,964,547 shares outstanding. At December 31, 2016, the Company had 32,962,919 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of January 31, 2017 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 and 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
Jan 2017 CPR
Asset Category
 
Face
 
Value(1)
Price
Portfolio
Coupon
(Reported in Feb)
As of January 31, 2017
               
Adjustable Rate RMBS
$
1,925
$
2,045
106.22
0.07%
3.50%
0.06%
10-1 Hybrid Rate RMBS
 
43,477
 
44,465
102.27
1.50%
2.55%
12.10%
Hybrid Adjustable Rate RMBS
 
43,477
 
44,465
102.27
1.50%
2.55%
12.10%
15 Year Fixed Rate RMBS
 
83,158
 
86,447
103.95
2.92%
3.28%
6.68%
20 Year Fixed Rate RMBS
 
401,806
 
429,447
106.88
14.49%
4.00%
7.85%
30 Year Fixed Rate RMBS
 
2,092,121
 
2,238,796
107.01
75.52%
4.27%
5.78%
Total Fixed Rate RMBS
 
2,577,085
 
2,754,690
106.89
92.92%
4.19%
6.13%
Total Pass-through RMBS
 
2,622,487
 
2,801,200
106.81
94.49%
4.17%
6.23%
Interest-Only Securities
 
620,111
 
75,304
12.14
2.54%
3.61%
12.49%
Inverse Interest-Only Securities
 
424,938
 
88,023
20.71
2.97%
5.36%
12.72%
Structured RMBS
 
1,045,049
 
163,327
15.63
5.51%
4.55%
12.58%
Total Mortgage Assets
$
3,667,536
$
2,964,527
 
100.00%
4.19%
8.04%


RMBS Assets by Agency
 
     
Investment Company Act of 1940 (Whole Pool) Test
(in thousands of $s)
 
 
 
(in thousands of $s)
 
 
As of January 31, 2017
Fair
Value
Percentage of Portfolio
 
As of January 31, 2017
Fair
Value
Percentage of Portfolio
Fannie Mae
$ 2,186,862
73.8%
 
 
 
 
Freddie Mac
768,099
25.9%
 
Whole Pool Assets
$ 2,391,684
80.7%
Ginnie Mae
9,566
0.3%
 
Non Whole Pool Assets
     572,843
19.3%
Total Portfolio
$ 2,964,527
100%
 
Total Portfolio
$ 2,964,527
100%

(1)
Amounts in the tables above include assets with a fair value of approximately $5.7 million purchased in January 2017 which settle in February 2017, and excludes assets with a fair value of approximately $120.1 million sold in January 2017 which settle in February 2017.




Repurchase Agreement Exposure By Counterparty
       
(in thousands of $s)
 
 
 
 
As of January 31, 2017
Total Borrowings
% Of Total Debt
Weighted Average Maturity in Days
Longest Maturity
J.P. Morgan Securities LLC
$289,030
10.12%
13
2/17/2017
Citigroup Global Markets Inc
288,358
10.10%
9
2/27/2017
Wells Fargo Bank, N.A.
247,221
8.66%
8
2/10/2017
Cantor Fitzgerald & Co
233,275
8.17%
42
4/21/2017
RBC Capital Markets, LLC
233,252
8.17%
41
3/13/2017
Mitsubishi UFJ Securities (USA), Inc
213,058
7.46%
13
2/14/2017
South Street Securities, LLC
173,306
6.07%
7
2/21/2017
KGS-Alpha Capital Markets, L.P
165,906
5.81%
22
3/16/2017
ICBC Financial Services LLC
162,036
5.68%
16
3/2/2017
ED&F Man Capital Markets Inc
156,532
5.48%
16
2/23/2017
Guggenheim Securities, LLC
144,207
5.05%
38
3/14/2017
Daiwa Securities America Inc.
125,282
4.39%
11
2/17/2017
Goldman, Sachs & Co
119,125
4.17%
13
2/23/2017
Natixis, New York Branch
89,250
3.13%
8
2/17/2017
Nomura Securities International, Inc.
69,746
2.44%
50
3/29/2017
Mizuho Securities USA, Inc
55,501
1.94%
16
3/2/2017
FHLB-Cincinnati
54,058
1.89%
1
2/1/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated
35,503
1.24%
90
5/1/2017
Total Borrowings
$2,854,646
100%
20
5/1/2017

In January 2017, the Company purchased assets with a fair value of approximately $5.7 million which settle in February 2017 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 January 31, 2017
                   
Adjustable Rate RMBS
$
2,045
4
 
10.05%
2.00%
$
10
$
(10)
Hybrid Adjustable Rate RMBS
 
44,465
71
 
7.55%
2.00%
 
718
 
(800)
Total Fixed Rate RMBS
 
2,754,690
n/a
 
n/a
n/a
 
61,553
 
(73,095)
Total Pass-through RMBS
 
2,801,200
n/a
 
n/a
n/a
 
62,281
 
(73,905)
Interest-Only Securities
 
75,304
n/a
 
n/a
n/a
 
(7,358)
 
5,577
Inverse Interest-Only Securities
 
88,023
0
 
6.13%
n/a
 
5,423
 
(7,239)
Structured RMBS
 
163,327
n/a
 
n/a
n/a
 
(1,935)
 
(1,662)
Total Mortgage Assets
$
2,964,527
n/a
 
n/a
n/a
$
60,346
$
(75,567)
                     
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
$
643,750
Dec-2020
$
(11,408)
$
12,875
Treasury Futures Contracts - Short Positions
 
465,000
Mar-2027
 
(17,006)
 
18,376
Payer Swaps
       
700,000
Dec-2021
 
(10,677)
 
10,677
TBA Short Positions
       
200,000
Feb-2017
 
(3,940)
 
5,287
Total Hedges
             
(43,031)
 
47,215
                     
Grand Total
           
$
17,315
$
(28,352)

(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 $124.47 at January 31, 2017.  The nominal value of the short position was $578.8 million.


Contact:

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