8-K - ORC - Equibles

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):

November 9, 2022

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))

Securities registered pursuant to Section 12(b) of the Act:

Title of each class:

Trading symbol:

Name of each exchange

on which registered:

Common Stock, par value $0.01 per share

ORC

NYSE

Indicate by check mark whether the registrant is an emerging growth

company as defined in Rule 405 of the Securities Act of

1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange

Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company

☐

If an emerging growth company,

indicate by check mark if the registrant has elected not to use the extended transition

period

for complying with any new or revised financial accounting standards provided

pursuant to Section 13(a) of the Exchange

Act.

☐

Item 8.01.

Other Events.

On November 9, 2022, Orchid Island Capital, Inc. (the “Company”) announced

that the Board of Directors of the Company

declared a dividend for the month of November 2022 of $0.16 per

share of the Company’s common stock, to be

paid on

December 28, 2022 to holders of record on November 30, 2022,

with an ex-dividend date of November 29, 2022. In addition,

the Company announced certain details of its RMBS portfolio as of October 31, 2022

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, including, but not limited

to, statements about the Company’s

distributions.

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 Annual Report on Form 10-K for the fiscal year

ended December 31, 2021. 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 November 9, 2022

104

Cover Page Interactive Data File (embedded within the Inline XBRL

document)

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: November 10, 2022

ORCHID ISLAND CAPITAL,

INC.

By:

/s/ Robert E. Cauley

Robert E. Cauley

Chairman and Chief Executive Officer

orc8k20221109x991

ORCHID ISLAND CAPITAL ANNOUNCES

NOVEMBER 2022 MONTHLY DIVIDEND AND OCTOBER 31, 2022 RMBS

PORTFOLIO CHARACTERISTICS

●

November 2022 Monthly Dividend of $0.16 Per Share of Common

Stock

●

RMBS Portfolio Characteristics as of October 31, 2022

●

Next Dividend Announcement Expected December 13, 2022

Vero

Beach, Fla., November 9, 2022 - Orchid Island Capital, Inc. (the “Company”)

(NYSE: ORC) announced today

that the Board of Directors of the Company declared a monthly cash dividend

for the month of November 2022. The dividend

of $0.16

per share

will be

paid December

28, 2022

to holders

of record

of the

Company’s

common stock

on November

30,

2022, with an ex-dividend date of November 29, 2022. The Company plans on announcing its next common stock

dividend on

December 13, 2022.

The Company intends to make

regular monthly cash distributions

to its holders of common stock.

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 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

November

9, 2022

and October

31, 2022,

the

Company had

33,422,207

shares of

common

stock outstanding.

As of

September 30, 2022, the Company had 35,066,251 shares of common stock outstanding

RMBS Portfolio Characteristics

Details of the RMBS

portfolio as of October

31, 2022 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 on a leveraged

basis in Agency RMBS. Our investment

strategy focuses on, and

our portfolio consists of,

two categories of Agency

RMBS: (i) traditional pass-through

Agency RMBS,

such

mortgage

pass-through

certificates

and

collateralized

mortgage

obligations

issued

Fannie

Mae,

Freddie

Mac

Ginnie Mae, and (ii)

structured Agency RMBS. The

Company is managed by

Bimini Advisors, LLC, a

registered investment

adviser with the Securities and Exchange Commission.

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

Annual Report on Form 10-K for the fiscal year ended December 31,

2021.

RMBS Valuation Characteristics

($ in thousands)

Realized

Oct 2022

Aug - Oct

Modeled

Net

Weighted

CPR

2022 CPR

Interest

Weighted

Average

(1-Month)

(3-Month)

Rate

Current

Fair

Current

Average

Maturity

(Reported

Sensitivity

Type

Face

Value

Portfolio

Price

Coupon

GWAC

Age

(Months)

in Nov)

(-50 BPS)

(1)

(+50 BPS)

(1)

Pass Through RMBS

15yr 4.0

405

390

0.01%

96.25

4.00%

4.54%

125

0.8%

0.7%

(7)

15yr Total

405

390

0.01%

96.25

4.00%

4.54%

125

0.8%

0.7%

(7)

30yr 3.0

2,584,539

2,213,102

71.79%

85.63

3.00%

3.44%

338

4.9%

5.4%

70,275

(72,234)

30yr 3.5

217,939

194,697

6.32%

89.34

3.50%

4.03%

319

5.4%

7.4%

5,347

(5,469)

30yr 4.0

275,109

251,726

8.17%

91.50

4.00%

4.72%

342

7.1%

7.4%

6,265

(6,710)

30yr 4.5

370,457

348,462

11.30%

94.06

4.50%

5.45%

356

1.2%

n/a

7,203

(7,963)

30yr 5.0

54,638

52,785

1.71%

96.61

5.00%

5.92%

356

0.1%

4.9%

934

(1,065)

30yr Total

3,502,682

3,060,772

99.29%

87.38

3.30%

3.83%

340

4.7%

5.7%

90,024

(93,441)

Total Pass Through

RMBS

3,503,087

3,061,162

99.30%

87.38

3.30%

3.83%

340

4.7%

5.7%

90,031

(93,448)

Structured RMBS

IO 20yr 4.0

11,124

1,293

0.04%

11.62

4.00%

4.57%

130

103

7.9%

10.9%

(7)

IO 30yr 3.0

3,242

403

0.01%

12.42

3.00%

3.64%

257

0.8%

17.3%

(1)

IO 30yr 4.0

93,045

18,112

0.59%

19.47

4.00%

4.60%

253

5.8%

8.7%

(422)

307

IO 30yr 4.5

4,004

767

0.02%

19.15

4.50%

4.99%

148

199

6.6%

9.7%

(8)

IO 30yr 5.0

2,232

461

0.01%

20.64

5.00%

5.36%

148

200

4.8%

2.9%

(8)

IO Total

113,647

21,036

0.68%

18.51

4.01%

4.60%

104

235

5.9%

9.1%

(433)

310

IIO 30yr 4.0

32,399

454

0.01%

1.40

1.01%

4.40%

288

1.9%

9.2%

118

(99)

Total Structured

RMBS

146,046

21,490

0.70%

14.71

3.34%

4.55%

247

5.0%

9.1%

(315)

211

Total Mortgage Assets

3,649,133

3,082,652

100.00%

3.30%

3.86%

336

4.7%

5.8%

89,716

(93,237)

Interest

Average

Hedge

Rate

Notional

Period

Sensitivity

Hedge

Balance

End

(-50 BPS)

(1)

(+50 BPS)

(1)

5-Year Treasury

Future

(2)

(750,500)

Dec-2022

(17,228)

16,777

10-Year Treasury

Ultra

(3)

(174,500)

Dec-2022

(10,037)

8,880

Swaps

(1,400,000)

Jul-2028

(32,381)

31,321

TBA

(675,000)

Nov-2022

(18,570)

19,335

Swaptions

(613,000)

Jan-2024

(10,424)

10,520

Hedge Total

(3,613,000)

(88,640)

86,833

Rate Shock Grand Total

1,076

(6,404)

(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)

Five-year Treasury futures contracts were valued

at prices of $106.59 at October 31, 2022.

The market value of the short position was $800.0 million.

(3)

Ten-year Treasury

Ultra futures contracts were valued at prices of $115.98

at October 31, 2022.

The market value of the short position was $202.4 million.

RMBS Assets by Agency

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

Percentage

Fair

Asset Category

Value

Portfolio

Asset Category

Value

Portfolio

As of October 31, 2022

Fannie Mae

2,168,149

70.3%

Non-Whole Pool Assets

108,419

3.5%

Freddie Mac

914,502

29.7%

Whole Pool Assets

2,974,232

96.5%

Total Mortgage Assets

3,082,651

100.0%

Total Mortgage Assets

3,082,651

100.0%

Borrowings By Counterparty

($ in thousands)

Weighted

% of

Average

Total

Repo

Maturity

Longest

As of October 31, 2022

Borrowings

Debt

Rate

in Days

Maturity

Daiwa Capital Markets America Inc.

299,275

10.1%

3.28%

11/14/2022

Mirae Asset Securities (USA) Inc.

282,056

9.5%

3.26%

1/30/2023

Merrill Lynch, Pierce, Fenner & Smith

276,667

9.3%

3.33%

11/28/2022

Cantor Fitzgerald & Co

234,245

7.9%

3.04%

11/16/2022

J.P.

Morgan Securities LLC

211,828

7.1%

3.45%

11/23/2022

ABN AMRO Bank N.V.

194,818

6.5%

2.89%

11/15/2022

ED&F Man Capital Markets Inc

190,418

6.4%

3.33%

12/19/2022

Mitsubishi UFJ Securities (USA), Inc

179,723

6.0%

3.39%

11/30/2022

RBC Capital Markets, LLC

163,728

5.5%

3.27%

11/14/2022

ING Financial Markets LLC

149,958

5.0%

3.14%

11/3/2022

Goldman, Sachs & Co.

126,280

4.2%

3.33%

11/23/2022

Santander Bank, N.A.

113,142

3.8%

3.69%

11/28/2022

Citigroup Global Markets Inc

102,839

3.4%

3.43%

11/23/2022

Wells Fargo Bank, N.A.

100,591

3.4%

2.96%

11/14/2022

Nomura Securities International, Inc.

90,100

3.0%

3.14%

11/14/2022

BMO Capital Markets Corp.

74,900

2.5%

3.71%

11/23/2022

StoneX Financial Inc.

72,310

2.4%

3.14%

11/4/2022

ASL Capital Markets Inc.

62,041

2.1%

3.55%

11/21/2022

South Street Securities, LLC

35,829

1.2%

3.56%

11/18/2022

Lucid Cash Fund USG, LLC

21,069

0.7%

3.34%

11/10/2022

Total Borrowings

2,981,817

100.0%

3.28%

1/30/2023

Contact:

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero

Beach, Florida 32963

Telephone: (772)

231-1400