# EDGAR Filing Document

**Accession Number:** 0001518621
**File Stem:** 0001437749-23-003542
**Filing Date:** 2023-2
**Character Count:** 17760
**Document Hash:** f3b7eff13dac40cdf8b5b16a180328d9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001437749-23-003542.hdr.sgml**: 20230215

**ACCESSION NUMBER**: 0001437749-23-003542

**CONFORMED SUBMISSION TYPE**: 8-K

**PUBLIC DOCUMENT COUNT**: 14

**CONFORMED PERIOD OF REPORT**: 20230215

**ITEM INFORMATION**: Other Events

**ITEM INFORMATION**: Financial Statements and Exhibits

**FILED AS OF DATE**: 20230215

**DATE AS OF CHANGE**: 20230215

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Orchid Island Capital, Inc.
- **CENTRAL INDEX KEY:** 0001518621
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]
- **IRS NUMBER:** 273269228
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 8-K
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-35236
- **FILM NUMBER:** 23636406

**BUSINESS ADDRESS:**
- **STREET 1:** 3305 FLAMINGO DRIVE
- **CITY:** VERO BEACH
- **STATE:** FL
- **ZIP:** 32963
- **BUSINESS PHONE:** 772-231-1400

**MAIL ADDRESS:**
- **STREET 1:** 3305 FLAMINGO DRIVE
- **CITY:** VERO BEACH
- **STATE:** FL
- **ZIP:** 32963

orc20230131_8k.htm

**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 15, 2023**

**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 February 15, 2023, Orchid Island Capital, Inc. (the "Company") announced that the Board of Directors of the Company declared a dividend for the month of February 2023 of $0.16 per share of the Company's common stock, to be paid on March 29, 2023 to holders of record on February 28, 2023, with an ex-dividend date of February 27, 2023. In addition, the Company announced certain details of its RMBS portfolio as of January 31, 2023 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 February 15, 2023](ex_470340.htm) |
| 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: February 15, 2023 |  | ORCHID ISLAND CAPITAL, INC. |
|  | By: | /s/ Robert E. Cauley |
|  |  | Robert E. Cauley |
|  |  | Chairman and Chief Executive Officer |

---

## Exhibit 99.1

**ORCHID ISLAND CAPITAL ANNOUNCES**

**FEBRUARY 2023 MONTHLY DIVIDEND AND** 

**JANUARY 31, 2023 RMBS PORTFOLIO CHARACTERISTICS**

● February 2023 Monthly Dividend of $0.16 Per Share of Common Stock

● RMBS Portfolio Characteristics as of January 31, 2023

● Next Dividend Announcement Expected March 9, 2023

Vero Beach, Fla., February 15, 2023 - 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 February 2023. The dividend of $0.16 per share will be paid March 29, 2023 to holders of record of the Company's common stock on February 28, 2023, with an ex-dividend date of February 27, 2023. The Company plans on announcing its next common stock dividend on March 9, 2023.

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 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 15, 2023 and January 31, 2023, the Company had 39,081,942 shares of common stock outstanding. As of December 31, 2022, the Company had 36,764,983 shares of common stock outstanding.

**RMBS Portfolio Characteristics**

● 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 as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or 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** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** | **RMBS Valuation Characteristics** |
| *($ in thousands)* |  |  |  | |  |  | |  | |  |  |  | |  | |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  | **Realized** |  | **Realized** |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  | **Jan-23** |  | **Nov 2022 - Jan** |  | **Modeled** | **Modeled** |
|  |  |  |  |  |  | **Net** |  |  |  |  | **Weighted** | **CPR** |  | **2023 CPR** |  | **Interest** | **Interest** |
|  |  |  |  | % |  | **Weighted** |  |  |  |  | **Average** | **(1-Month)** |  | **(3-Month)** |  | **Rate** | **Rate** |
|  | **Current** | **Fair** | **of** |  | **Current** | **Average** |  |  |  |  | **Maturity** | **(Reported** |  | **(Reported** |  | **Sensitivity** | **Sensitivity** |
| **Type** | **Face** | **Value** | **Portfolio** |  | **Price** | **Coupon** |  | **GWAC** |  | **Age** | **(Months)** | **in Feb)** |  | **in Feb)** |  | **(-50 BPS)<sup>(1)</sup>** | **(+50 BPS)<sup>(1)</sup>** |
| **<u>Pass Through RMBS</u>** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 15yr 4.0 | $397 | $397 | 0.01 | % | $100.08 | 4.00 | % | 4.54 | % | 57 | 122 | 0.8 | % | 0.8 | % | $7 | $(7) |
| 15yr Total | 397 | 397 | 0.01 | % | 100.08 | 4.00 | % | 4.54 | % | 57 | 122 | 0.8 | % | 0.8 | % | 7 | (7) |
| 30yr 3.0 | 2539134 | 2321005 | 58.64 | % | 91.41 | 3.00 | % | 3.44 | % | 21 | 335 | 3.4 | % | 4.3 | % | 72304 | (74304) |
| 30yr 3.5 | 212608 | 203395 | 5.14 | % | 95.67 | 3.50 | % | 4.03 | % | 35 | 316 | 5.5 | % | 7.3 | % | 5487 | (5605) |
| 30yr 4.0 | 473294 | 458223 | 11.58 | % | 96.82 | 4.00 | % | 4.76 | % | 13 | 345 | 1.3 | % | 5.2 | % | 10453 | (11575) |
| 30yr 4.5 | 366453 | 362741 | 9.16 | % | 98.99 | 4.50 | % | 5.45 | % | 7 | 353 | 2.7 | % | 3.4 | % | 5723 | (6938) |
| 30yr 5.0 | 588450 | 593111 | 14.98 | % | 100.79 | 5.00 | % | 5.93 | % | 5 | 355 | 4.7 | % | 5.3 | % | 8027 | (9944) |
| 30yr Total | 4179939 | 3938475 | 99.50 | % | 94.22 | 3.55 | % | 4.14 | % | 17 | 340 | 3.4 | % | 4.5 | % | 101995 | (108367) |
| **Total Pass Through RMBS** | 4180336 | 3938872 | 99.51 | % | 94.22 | 3.55 | % | 4.14 | % | 17 | 340 | 3.4 | % | 4.5 | % | 102001 | (108373) |
| **<u>Structured RMBS</u>** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| IO 20yr 4.0 | 10588 | 1195 | 0.03 | % | 11.29 | 4.00 | % | 4.57 | % | 133 | 100 | 10.6 | % | 10.3 | % | 2 | (3) |
| IO 30yr 3.0 | 3126 | 384 | 0.01 | % | 12.27 | 3.00 | % | 3.64 | % | 96 | 254 | 0.5 | % | 10.8 | % | (5) | 4 |
| IO 30yr 4.0 | 90480 | 16284 | 0.41 | % | 18.00 | 4.00 | % | 4.60 | % | 101 | 250 | 3.4 | % | 5.2 | % | (678) | 507 |
| IO 30yr 4.5 | 3894 | 725 | 0.02 | % | 18.61 | 4.50 | % | 4.99 | % | 151 | 195 | 6.3 | % | 6.1 | % | (16) | 11 |
| IO 30yr 5.0 | 2179 | 426 | 0.01 | % | 19.58 | 5.00 | % | 5.36 | % | 151 | 197 | 3.3 | % | 5.2 | % | (15) | 12 |
| IO Total | 110267 | 19014 | 0.48 | % | 17.24 | 4.01 | % | 4.60 | % | 107 | 233 | 4.1 | % | 5.9 | % | (713) | 530 |
| IIO 30yr 4.0 | 31289 | 430 | 0.01 | % | 1.37 | 0.00 | % | 4.40 | % | 64 | 285 | 8.7 | % | 6.2 | % | 103 | (92) |
| **Total Structured RMBS** | 141556 | 19444 | 0.49 | % | 13.74 | 3.12 | % | 4.55 | % | 98 | 244 | 5.1 | % | 6.0 | % | (610) | 438 |
| **Total Mortgage Assets** | $4321892 | $3958316 | 100.00 | % |  | 3.54 | % | 4.16 | % | 20 | 336 | 3.5 | % | 4.6 | % | $101391 | $(107935) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  |  | **Interest** | **Interest** |
|  | **Average** | **Hedge** | **Rate** | **Rate** |
|  | **Notional** | **Period** | **Sensitivity** | **Sensitivity** |
| **Hedge** | **Balance** | **End** | **(-50 BPS)<sup>(1)</sup>** | **(+50 BPS)<sup>(1)</sup>** |
| 5-Year Treasury Future<sup>(2)</sup> | $(865500) | Mar-23 | $(19132) | $17498 |
| 10-Year Treasury Ultra<sup>(3)</sup> | (244500) | Mar-23 | (11815) | 11700 |
| Swaps | (1400000) | Jul-28 | (32323) | 31294 |
| TBA | (875000) | Feb-23 | (23441) | 25039 |
| Swaptions | (753000) | Oct-24 | (6129) | 8744 |
| **Hedge Total** | $(4138000) |  | $(92840) | $94275 |
| **Rate Shock Grand Total** |  |  | $8551 | $(13660) |

---

&nbsp;&nbsp;&nbsp;&nbsp;(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.

&nbsp;&nbsp;&nbsp;&nbsp;(2) Five-year Treasury futures contracts were valued at prices of $109.24 at January 31, 2023 . The market value of the short position was $945.5 million.

&nbsp;&nbsp;&nbsp;&nbsp;(3) Ten-year Treasury Ultra futures contracts were valued at prices of $121.2 at January 31, 2023 . The market value of the short position was $296.3 million.

------

---

| | | | |
|:---|:---|:---|:---|
| **RMBS Assets by Agency** |  |  |  |
| *($ in thousands)* |  |  | |
|  |  | **Percentage** |  |
|  | **Fair** | **of** |  |
| **Asset Category** | **Value** | **Portfolio** |  |
| **As of January 31, 2023** |  |  |  |
| Fannie Mae | $2565504 | 64.8 | % |
| Freddie Mac | 1392812 | 35.2 | % |
| Total Mortgage Assets | $3958316 | 100.0 | % |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investment Company Act of 1940 Whole Pool Test** | **Investment Company Act of 1940 Whole Pool Test** | **Investment Company Act of 1940 Whole Pool Test** | **Investment Company Act of 1940 Whole Pool Test** |  |
| *($ in thousands)* |  | |  | |
|  |  |  | **Percentage** |  |
|  | **Fair** |  | **of** |  |
| **Asset Category** | **Value** |  | **Portfolio** |  |
| **As of January 31, 2023** |  |  |  |  |
| Non-Whole Pool Assets | $158182 |  | 4.0 | % |
| Whole Pool Assets | 3800134 |  | 96.0 | % |
| Total Mortgage Assets | $3958316 |  | 100.0 | % |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Borrowings By Counterparty** |  |  |  |  |  |  |
| *($ in thousands)* |  |  | |  |  |  |
|  |  |  |  | **Weighted** | **Weighted** |  |
|  |  | **% of** |  | **Average** | **Average** |  |
|  | **Total** | **Total** |  | **Repo** | **Maturity** | **Longest** |
| **As of January 31, 2023** | **Borrowings** | **Debt** |  | **Rate** | **in Days** | **Maturity** |
| Mirae Asset Securities (USA) Inc. | $319242 | 9.4 | % | 4.58% | 73 | 6/22/2023 |
| RBC Capital Markets, LLC | 274020 | 8.1 | % | 4.62% | 31 | 3/16/2023 |
| Daiwa Capital Markets America Inc. | 255732 | 7.5 | % | 4.76% | 76 | 4/17/2023 |
| Marex Capital Markets Inc. | 239483 | 7.0 | % | 4.70% | 55 | 4/28/2023 |
| ING Financial Markets LLC | 238212 | 7.0 | % | 4.47% | 2 | 2/2/2023 |
| ABN AMRO Bank N.V. | 229463 | 6.7 | % | 4.62% | 41 | 3/13/2023 |
| Cantor Fitzgerald & Co | 228427 | 6.7 | % | 4.48% | 4 | 2/13/2023 |
| J.P. Morgan Securities LLC | 218941 | 6.4 | % | 4.77% | 65 | 4/11/2023 |
| Merrill Lynch, Pierce, Fenner & Smith | 192705 | 5.7 | % | 4.68% | 38 | 4/28/2023 |
| Citigroup Global Markets Inc | 193510 | 5.7 | % | 4.54% | 8 | 2/22/2023 |
| StoneX Financial Inc. | 184165 | 5.4 | % | 4.49% | 7 | 2/10/2023 |
| Mitsubishi UFJ Securities (USA), Inc | 179834 | 5.3 | % | 4.68% | 51 | 5/1/2023 |
| ASL Capital Markets Inc. | 167186 | 4.9 | % | 4.58% | 26 | 3/20/2023 |
| Goldman, Sachs & Co. | 126954 | 3.7 | % | 4.57% | 16 | 2/23/2023 |
| Santander Bank, N.A. | 118940 | 3.5 | % | 4.69% | 43 | 4/27/2023 |
| Wells Fargo Bank, N.A. | 94878 | 2.8 | % | 4.54% | 13 | 2/13/2023 |
| BMO Capital Markets Corp. | 80056 | 2.4 | % | 4.68% | 49 | 3/21/2023 |
| South Street Securities, LLC | 37991 | 1.1 | % | 4.57% | 17 | 2/17/2023 |
| Lucid Cash Fund USG, LLC | 18782 | 0.6 | % | 4.55% | 9 | 2/9/2023 |
| Lucid Prime Fund, LLC | 2790 | 0.1 | % | 4.55% | 9 | 2/9/2023 |
| Total Borrowings | $3401311 | 100.0 | % | 4.61% | 37 | 6/22/2023 |

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**Contact:**

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400