Bimini Capital Management, Inc. (OTCBB:BMNM), a real estate
investment trust ("REIT"), today announced results of operations
for the three month period ended March 31, 2013. Discussions
related to the "Company," refer to the consolidated entity,
including Bimini Capital, our wholly-owned subsidiaries, and our
consolidated Variable Interest Entity ("VIE"). References to
"Bimini Capital," the "Parent," and the "registrant" refer to
Bimini Capital Management, Inc. as a separate entity.
First Quarter 2013 Highlights
- Net loss of $2.8 million attributed to Bimini Capital, or $0.26
per common share.
- Book value per share of $0.10
- MBS portfolio remains 100% invested in agency MBS
- Completed initial public offering of Orchid Island Capital,
Inc., raising $35.4 million
- Company to discuss results on Wednesday, May 15, 2013, at 10:00
AM ET
Orchid Island Capital
On February 20, 2013, Orchid Island Capital, Inc. ("Orchid")
completed an initial public offering ("IPO"), selling 2,360,000
shares of its common stock for proceeds of $35.4 million. The
Company acted as sponsor to Orchid by agreeing to fund all
underwriting, legal and other costs of the offering. Through March
31, 2013, the Company incurred costs of approximately $3.2 million
related to this offering. Upon closing of the offering, Bimini
owned approximately 29.38% of Orchid's outstanding common
stock.
At the closing of the offering, Orchid entered into a management
agreement with Bimini Advisors, LLC ("Bimini Advisors"), a
wholly-owned subsidiary of Bimini, which provides for an initial
term through February 20, 2016 with automatic one-year extension
options and is subject to certain termination rights. Under the
terms of the management agreement, Bimini Advisors will be
responsible for administering the business activities and
day-to-day operations of Orchid. Bimini Advisors will receive a
monthly management fee in the amount of:
- 1/12 of 1.5% of the first $250,000,000 of Orchid's equity, as
defined in the management agreement;
- 1/12 of 1.25% of Orchid's equity that is greater than
$250,000,000 and less than or equal to $500,000,000; and
- 1/12 of 1.00% of Orchid's equity that is greater than
$500,000,000.
Orchid is obligated to reimburse the Company for any direct
expenses incurred on its behalf. In addition, once Orchid's equity
equals $100,000,000, Bimini Capital will begin allocating to Orchid
its pro rata portion of certain overhead costs, as defined in the
management agreement, which will also be reimbursed to the
Company.
Subsequent to Orchid's IPO and as of March 31, 2013, management
has concluded Orchid is a VIE because Orchid's equity holders lack
the ability through voting rights to make decisions about the
activities that have a significant effect on the success of Orchid.
Management has also concluded that Bimini Capital is the primary
beneficiary of Orchid because, under the management agreement
between Bimini Advisors and Orchid, Bimini Capital has the power to
direct the activities of Orchid that most significantly impact its
economic performance. As a result, subsequent to Orchid's IPO and
through March 31, 2013, the Company has continued to consolidate
Orchid in its Consolidated Financial Statements even though, as of
March 31, 2013, Bimini owns 29.38% of the outstanding common shares
of Orchid.
The noncontrolling interests reported in the Company's
Consolidated Financial Statements represent the portion of equity
ownership in Orchid held by stockholders other than Bimini Capital.
Noncontrolling interests is presented in the equity section of the
balance sheet, separate from equity attributed to Bimini Capital.
Net income of Orchid is allocated between the noncontrolling
interests and to Bimini Capital in proportion to their relative
ownership interests in Orchid.
The consolidation of Orchid's assets and liabilities with those
of Bimini Capital and its wholly owned subsidiaries gives the
appearance of a much larger organization. However, the assets
recognized as a result of consolidating Orchid do not represent
additional assets that could be used to satisfy claims against
Bimini Capital's assets, nor do they represent amounts that are
available to be distributed to Bimini Capital's stockholders.
Conversely, liabilities recognized as a result of consolidating
Orchid do not represent additional claims on Bimini Capital's
assets; rather, they represent claims against the assets of Orchid.
In addition to the presentation of the Company's consolidated
portfolio activities in this section, we have also provided
additional discussion related to the portfolio activities of Bimini
Capital on its own. We believe that this "Parent-Only" information
along with the consolidated presentation provides useful
information to the reader about all of the activities attributable
to the shareholders of Bimini Capital.
Details of First Quarter 2013 Results of
Operations
Selected unaudited consolidated and Parent-Only results for the
three month period ended March 31, 2013 are presented in the table
below.
|
|
|
(in thousands) |
|
|
Consolidated |
Parent-Only |
Net loss |
$ (2,771) |
$ (2,771) |
Net portfolio interest income (loss) |
1,032 |
(180) |
Net loss on mortgage-backed securities |
(412) |
(483) |
Audit legal and other professional fees |
3,398 |
171 |
Compensation and related benefits |
431 |
399 |
Other operating, general and administrative
expenses |
471 |
288 |
Gains on retained interests in
securitizations |
1,985 |
-- |
|
|
|
Capital Allocation and Return on Invested
Capital
The Company allocates capital to two MBS sub-portfolios, the
pass-through MBS portfolio ("PT MBS"), and the structured MBS
portfolio, consisting of interest only ("IO") and inverse
interest-only ("IIO") securities. The PT MBS sub-portfolio is
encumbered under repurchase agreement funding, while the structured
MBS sub-portfolio is not. As a result of being encumbered, the PT
MBS sub-portfolio requires the Company to maintain cash balances to
meet price and/or prepayment related margin calls from lenders.
The tables below detail the changes to the respective
sub-portfolios during the quarter for both the Consolidated Company
and Parent-Only.
|
Portfolio
Activity for the Quarter (Consolidated) |
|
|
Structured
Security Portfolio |
|
|
Pass-Through |
Interest Only |
Inverse Interest |
|
Portfolio |
Securities |
Only Securities |
Sub-total |
Total |
Market Value - December 31,
2012 |
$ 158,396,450 |
$ 5,244,440 |
$ 4,514,117 |
$ 9,758,557 |
$ 168,155,007 |
Securities Purchased |
296,048,722 |
18,808,886 |
-- |
18,808,886 |
314,857,608 |
Securities Sold |
(68,209,737) |
-- |
-- |
-- |
(68,209,737) |
Gain on Sale |
59,953 |
-- |
-- |
-- |
59,953 |
Return on Investment |
n/a |
(1,396,552) |
(885,966) |
(2,282,518) |
(2,282,518) |
Pay-downs |
(7,810,834) |
n/a |
n/a |
n/a |
(7,810,834) |
Premium Lost Due to Pay-downs |
(495,473) |
n/a |
n/a |
n/a |
(495,473) |
Mark to Market Gains (Losses) |
(336,996) |
584,239 |
(223,848) |
360,391 |
23,395 |
Market Value - March 31,
2013 |
$ 377,652,085 |
$ 23,241,013 |
$ 3,404,303 |
$ 26,645,316 |
$ 404,297,401 |
|
|
|
|
|
|
|
Portfolio
Activity for the Quarter (Parent-Only) |
|
|
Structured
Security Portfolio |
|
|
Pass-Through |
Interest Only |
Inverse Interest |
|
|
Portfolio |
Securities |
Only Securities |
Sub-total |
Total |
Market Value - December 31,
2012 |
$ 48,791,891 |
$ 2,360,029 |
$ 1,623,513 |
$ 3,983,542 |
$ 52,775,433 |
Securities Purchased |
6,198,844 |
-- |
-- |
-- |
6,198,844 |
Securities Sold |
(10,453,854) |
-- |
-- |
-- |
(10,453,854) |
Loss on Sale |
(39,972) |
-- |
-- |
-- |
(39,972) |
Return on Investment |
n/a |
(407,609) |
(379,665) |
(787,274) |
(787,274) |
Pay-downs |
(3,213,130) |
n/a |
n/a |
n/a |
(3,213,130) |
Premium Lost Due to Pay-downs |
(235,724) |
n/a |
n/a |
n/a |
(235,724) |
Mark to Market Gains (Losses) |
(174,358) |
147,817 |
(180,653) |
(32,836) |
(207,194) |
Market Value - March 31,
2013 |
$ 40,873,697 |
$ 2,100,237 |
$ 1,063,195 |
$ 3,163,432 |
$ 44,037,129 |
|
|
|
|
|
|
The tables below present the allocation of capital between the
respective portfolios at March 31, 2013 and December 31, 2012, and
the return on invested capital for each sub-portfolio for the three
month period ended March 31, 2013. Capital Allocation is defined as
the sum of the market value of securities held, less associated
repurchase agreement borrowings, plus cash and cash equivalents and
restricted cash associated with repurchase agreements. Capital
allocated to non-portfolio assets is not included in the
calculation.
On a consolidated basis, the return on invested capital in the
PT MBS and structured MBS portfolios was approximately 1.4% and
1.8%, respectively, for the quarter. The combined portfolio
generated a return on invested capital of approximately 1.5%.
For Parent-Only, the return on invested capital in the PT MBS
and structured MBS portfolios was approximately (2.9)% and (5.5)%,
respectively, for the quarter. The combined portfolio
generated a return on invested capital of approximately (3.9)%.
|
Capital
Allocation (Consolidated) |
|
|
Structured
Security Portfolio |
|
|
Pass-Through |
Interest Only |
Inverse Interest |
|
|
Portfolio |
Securities |
Only Securities |
Sub-total |
Total |
March 31, 2013 |
|
|
|
|
|
Market Value |
$ 377,652,085 |
$ 23,241,013 |
$ 3,404,303 |
$ 26,645,316 |
$ 404,297,401 |
Cash equivalents and restricted cash* |
6,778,399 |
-- |
-- |
-- |
6,778,399 |
Repurchase Agreement Obligations |
(355,230,870) |
-- |
-- |
-- |
(355,230,870) |
Total |
29,199,614 |
$ 23,241,013 |
$ 3,404,303 |
$ 26,645,316 |
$ 55,844,930 |
% of Total |
52.3% |
41.6% |
6.1% |
47.7% |
100.0% |
December 31, 2012 |
|
|
|
|
|
Market Value |
$ 158,396,450 |
$ 5,244,440 |
$ 4,514,117 |
$ 9,758,557 |
$ 168,155,007 |
Cash equivalents and restricted cash* |
7,268,616 |
-- |
-- |
-- |
7,268,616 |
Repurchase Agreement Obligations |
(150,294,174) |
-- |
-- |
-- |
(150,294,174) |
Total |
15,370,892 |
$ 5,244,440 |
$ 4,514,117 |
$ 9,758,557 |
$ 25,129,449 |
% of Total |
61.2% |
20.9% |
18.0% |
38.8% |
100.0% |
*Amount excludes restricted cash of $105,331
and $164,445 at March 31, 2013 and December 31, 2012 related to
trust preferred debt funding hedges. |
|
Capital
Allocation (Parent-Only) |
|
|
Structured
Security Portfolio |
|
|
Pass-Through |
Interest Only |
Inverse Interest |
|
|
Portfolio |
Securities |
Only Securities |
Sub-total |
Total |
March 31, 2013 |
|
|
|
|
|
Market Value |
$ 40,873,697 |
$ 2,100,237 |
$ 1,063,195 |
$ 3,163,432 |
$ 44,037,129 |
Cash equivalents and restricted cash* |
1,857,348 |
-- |
-- |
-- |
1,857,348 |
Repurchase Agreement Obligations |
(38,785,000) |
-- |
-- |
-- |
(38,785,000) |
Total |
3,946,045 |
$ 2,100,237 |
$ 1,063,195 |
$ 3,163,432 |
$ 7,109,477 |
% of Total |
55.5% |
29.5% |
15.0% |
44.5% |
100.0% |
December 31, 2012 |
|
|
|
|
|
Market Value |
$ 48,791,891 |
$ 2,360,029 |
$ 1,623,513 |
$ 3,983,542 |
$ 52,775,433 |
Cash equivalents and restricted cash* |
4,235,054 |
-- |
-- |
-- |
4,235,054 |
Repurchase Agreement Obligations |
(46,353,000) |
-- |
-- |
-- |
(46,353,000) |
Total |
6,673,945 |
$ 2,360,029 |
$ 1,623,513 |
$ 3,983,542 |
$ 10,657,487 |
% of Total |
62.6% |
22.1% |
15.2% |
37.4% |
100.0% |
*Amount excludes restricted cash of $105,331
and $164,445 at March 31, 2013 and December 31, 2012 related to
trust preferred debt funding hedges. |
|
|
|
|
|
|
|
Returns for the
Quarter (Consolidated) |
Income / (loss) (net of repo cost) |
$ 1,466,123 |
$ (26,024) |
$ (161,895) |
$ (187,919) |
$ 1,278,204 |
Realized and unrealized gains / (losses) |
(772,517) |
584,239 |
(223,847) |
360,392 |
(412,125) |
Hedge losses** |
(481,300) |
n/a |
n/a |
n/a |
(481,300) |
|
$ 212,306 |
$ 558,215 |
$ (385,742) |
$ 172,473 |
$ 384,779 |
Return on Invested Capital for the
Quarter |
1.4% |
10.6% |
(8.5)% |
1.8% |
1.5% |
|
|
|
|
|
|
|
Returns for the
Quarter (Parent-Only) |
Income / (loss) (net of repo cost) |
$ 252,804 |
$ (91,183) |
$ (94,493) |
$ (185,676) |
$ 67,128 |
Realized and unrealized gains / (losses) |
(450,054) |
147,817 |
(180,653) |
(32,836) |
(482,890) |
Hedge gains** |
2,625 |
n/a |
n/a |
n/a |
2,625 |
|
$ (194,625) |
$ 56,634 |
$ (275,146) |
$ (218,512) |
$ (413,137) |
Return on Invested Capital for the
Quarter |
(2.9)% |
2.4% |
(16.9)% |
(5.5)% |
(3.9)% |
** Excludes gains of $5,738 associated with
trust preferred funding hedges. |
Prepayments
For the quarter, the Company received $10.1 million in scheduled
and unscheduled principal repayments and prepayments, which equated
to a constant prepayment rate ("CPR") of approximately 23.9% for
the first quarter of 2013. The Parent received $4.0 million in
scheduled and unscheduled principal repayments and prepayments,
which equated to a CPR of approximately 28.80% for the first
quarter of 2013. Prepayment rates on the two MBS
sub-portfolios were as follows: (in CPR)
|
|
Consolidated |
Parent-Only |
|
PT |
Structured |
|
PT |
Structured |
|
|
MBS Sub- |
MBS Sub- |
Total |
MBS Sub- |
MBS Sub- |
Total |
Three Months
Ended, |
Portfolio |
Portfolio |
Portfolio |
Portfolio |
Portfolio |
Portfolio |
March 31, 2013 |
12.7 |
32.6 |
23.9 |
20.6 |
32.3 |
28.8 |
December 31, 2012 |
5.0 |
36.8 |
28.0 |
7.7 |
34.3 |
28.0 |
September 30, 2012 |
8.8 |
34.9 |
26.7 |
15.0 |
32.3 |
28.1 |
June 30, 2012 |
1.1 |
36.4 |
34.7 |
2.0 |
33.7 |
32.4 |
March 31, 2012 |
6.5 |
28.9 |
23.0 |
5.0 |
27.6 |
25.4 |
|
|
|
|
|
|
|
|
Portfolio
(Consolidated) |
|
The following tables summarize
the consolidated MBS portfolio as of March 31, 2013 and December
31, 2012: |
(in thousands) |
|
|
|
|
Weighted |
|
Weighted |
|
|
|
|
Percentage |
|
Average |
|
Average |
Weighted |
Weighted |
|
|
of |
Weighted |
Maturity |
|
Coupon |
Average |
Average |
|
Fair |
Entire |
Average |
in |
Longest |
Reset in |
Lifetime |
Periodic |
Asset Category |
Value |
Portfolio |
Coupon |
Months |
Maturity |
Months |
Cap |
Cap |
March 31, 2013 |
|
|
|
|
|
|
|
|
Adjustable Rate MBS |
$ 18,225 |
4.5% |
3.33% |
263 |
1-Sep-35 |
3.37 |
9.76% |
2.00% |
Fixed Rate MBS |
230,039 |
56.9% |
3.26% |
276 |
1-Mar-43 |
NA |
NA |
NA |
Hybrid Adjustable Rate MBS |
129,388 |
32.0% |
2.66% |
355 |
1-Feb-43 |
106.92 |
7.66% |
1.99% |
Total Mortgage-backed Pass-through |
377,652 |
93.4% |
3.06% |
303 |
1-Mar-43 |
94.13 |
7.92% |
1.99% |
Interest-Only Securities |
23,241 |
5.8% |
3.95% |
249 |
25-Dec-42 |
NA |
NA |
NA |
Inverse Interest-Only Securities |
3,404 |
0.8% |
6.12% |
301 |
25-Nov-40 |
NA |
6.32% |
NA |
Total Structured MBS |
26,645 |
6.6% |
4.23% |
256 |
25-Dec-42 |
NA |
NA |
NA |
Total Mortgage Assets |
$ 404,297 |
100.0% |
3.13% |
300 |
1-Mar-43 |
NA |
NA |
1.99% |
December 31, 2012 |
|
|
|
|
|
|
|
|
Adjustable Rate MBS |
$ 20,857 |
12.4% |
3.27% |
267 |
1-Sep-35 |
5.91 |
9.73% |
2.00% |
Fixed Rate MBS |
49,846 |
29.6% |
3.21% |
180 |
1-Dec-40 |
NA |
NA |
NA |
Hybrid Adjustable Rate MBS |
87,693 |
52.2% |
2.75% |
356 |
1-Nov-42 |
99.58 |
7.75% |
1.98% |
Total Mortgage-backed Pass-through |
158,396 |
94.2% |
2.96% |
289 |
1-Nov-42 |
81.58 |
8.13% |
1.98% |
Interest-Only Securities |
5,244 |
3.1% |
3.79% |
213 |
25-Dec-39 |
NA |
NA |
NA |
Inverse Interest-Only Securities |
4,515 |
2.7% |
6.10% |
301 |
25-Nov-40 |
NA |
6.31% |
NA |
Total Structured MBS |
9,759 |
5.8% |
4.86% |
254 |
25-Nov-40 |
NA |
NA |
NA |
Total Mortgage Assets |
$ 168,155 |
100.0% |
3.07% |
287 |
1-Nov-42 |
NA |
NA |
NA |
|
|
|
|
|
|
|
|
|
(in thousands) |
|
March 31,
2013 |
December 31,
2012 |
|
|
Percentage of |
|
Percentage of |
Agency |
Fair Value |
Entire
Portfolio |
Fair Value |
Entire
Portfolio |
Fannie Mae |
$ 270,803 |
66.98% |
$ 163,116 |
97.00% |
Freddie Mac |
107,758 |
26.65% |
3,396 |
2.02% |
Ginnie Mae |
25,736 |
6.37% |
1,643 |
0.98% |
Total Portfolio |
$ 404,297 |
100.00% |
$ 168,155 |
100.0% |
|
|
|
|
|
|
Entire Portfolio |
March 31, 2013 |
December 31,
2012 |
Weighted Average Pass Through Purchase
Price |
$ 105.33 |
$ 105.74 |
Weighted Average Structured Purchase
Price |
$ 7.59 |
$ 6.00 |
Weighted Average Pass Through Current
Price |
$ 105.29 |
$ 105.89 |
Weighted Average Structured Current
Price |
$ 9.86 |
$ 5.84 |
Effective Duration (1) |
2.532 |
0.703 |
(1) Effective duration of 2.532
indicates that an interest rate increase of 1.0% would be expected
to cause a 2.532% decrease in the value of the MBS in the Company's
investment portfolio at March 31, 2013. An effective duration of
0.703 indicates that an interest rate increase of 1.0% would be
expected to cause a 0.703% decrease in the value of the MBS in the
Company's investment portfolio at December 31, 2012. These figures
include the structured securities in the portfolio but not the
effect of the Company's funding cost hedges. |
|
|
|
|
|
Portfolio
(Parent-Only) |
|
|
|
The following tables summarize
the Parent-Only MBS portfolio as of March 31, 2013 and December 31,
2012: |
(in thousands) |
|
|
|
|
Weighted |
|
Weighted |
|
|
|
|
Percentage |
|
Average |
|
Average |
Weighted |
Weighted |
|
|
of |
Weighted |
Maturity |
|
Coupon |
Average |
Average |
|
Fair |
Entire |
Average |
in |
Longest |
Reset in |
Lifetime |
Periodic |
Asset Category |
Value |
Portfolio |
Coupon |
Months |
Maturity |
Months |
Cap |
Cap |
March 31, 2013 |
|
|
|
|
|
|
|
|
Adjustable Rate MBS |
$ 11,740 |
26.7% |
2.86% |
268 |
1-Aug-35 |
4.1 |
9.61% |
2.00% |
Fixed Rate MBS |
12,231 |
27.8% |
3.05% |
173 |
1-Feb-28 |
NA |
NA |
NA |
Hybrid Adjustable Rate MBS |
16,903 |
38.4% |
2.96% |
353 |
1-Sep-42 |
109.4 |
7.96% |
1.94% |
Total Mortgage-backed Pass-through |
40,874 |
92.8% |
2.96% |
275 |
1-Sep-42 |
66.24 |
8.63% |
1.97% |
Interest-Only Securities |
2,100 |
4.8% |
4.03% |
287 |
25-Dec-39 |
NA |
NA |
NA |
Inverse Interest-Only Securities |
1,063 |
2.4% |
6.06% |
289 |
25-Nov-40 |
NA |
6.27% |
NA |
Total Structured MBS |
3,163 |
7.2% |
4.71% |
288 |
25-Nov-40 |
NA |
NA |
NA |
Total Mortgage Assets |
$ 44,037 |
100.0% |
3.08% |
276 |
1-Sep-42 |
NA |
NA |
1.97% |
December 31, 2012 |
|
|
|
|
|
|
|
|
Adjustable Rate MBS |
$ 14,326 |
27.1% |
2.86% |
271 |
1-Aug-35 |
7.03 |
9.59% |
2.00% |
Fixed Rate MBS |
6,258 |
11.9% |
3.00% |
171 |
1-Apr-27 |
NA |
NA |
NA |
Hybrid Adjustable Rate MBS |
28,208 |
53.4% |
2.86% |
354 |
1-Sep-42 |
97.62 |
7.86% |
1.94% |
Total Mortgage-backed Pass-through |
48,792 |
92.5% |
2.88% |
306 |
1-Sep-42 |
67.11 |
8.44% |
1.96% |
Interest-Only Securities |
2,360 |
4.5% |
4.11% |
290 |
25-Dec-39 |
NA |
NA |
NA |
Inverse Interest-Only Securities |
1,623 |
3.1% |
6.06% |
287 |
25-Nov-40 |
NA |
6.27% |
NA |
Total Structured MBS |
3,984 |
7.5% |
4.91% |
288 |
25-Nov-40 |
NA |
NA |
NA |
Total Mortgage Assets |
$ 52,775 |
100.0% |
3.03% |
305 |
1-Sep-42 |
NA |
NA |
NA |
|
|
|
|
|
|
|
|
|
(in thousands) |
|
March 31,
2013 |
December 31,
2012 |
|
|
Percentage of |
|
Percentage of |
Agency |
Fair Value |
Entire
Portfolio |
Fair Value |
Entire
Portfolio |
Fannie Mae |
$ 42,135 |
95.68% |
$ 49,882 |
94.52% |
Freddie Mac |
941 |
2.14% |
1,251 |
2.37% |
Ginnie Mae |
961 |
2.18% |
1,642 |
3.11% |
Total Portfolio |
$ 44,037 |
100.00% |
$ 52,775 |
100.0% |
|
|
|
|
|
|
|
|
Entire Portfolio |
March 31, 2013 |
December 31,
2012 |
Weighted Average Pass Through Purchase
Price |
$ 106.19 |
$ 105.91 |
Weighted Average Structured Purchase
Price |
$ 4.37 |
$ 4.59 |
Weighted Average Pass Through Current
Price |
$ 105.64 |
$ 106.07 |
Weighted Average Structured Current
Price |
$ 4.08 |
$ 4.26 |
Effective Duration (1) |
(0.573) |
(0.404) |
(1) Effective duration of -0.573 indicates
that an interest rate increase of 1.0% would be expected to cause a
0.573% increase in the value of the MBS in the Parent's investment
portfolio at March 31, 2013. An effective duration of -0.404
indicates that an interest rate increase of 1.0% would be expected
to cause a 0.404% increase in the value of the MBS in the Parent's
investment portfolio at December 31, 2012. These figures include
the structured securities in the portfolio but not the effect of
the Parent's funding cost hedges. |
Financing, Leverage and Liquidity
As of March 31, 2013, the Company had outstanding repurchase
obligations of approximately $355.2 million with a net weighted
average borrowing rate of 0.42%. These agreements were
collateralized by MBS with a fair value, including accrued
interest, of approximately $375.2 million. The Company's
leverage ratio at March 31, 2013 was 10.7 to 1. At March 31, 2013,
the Company's liquidity was approximately $34.8 million, consisting
of unpledged MBS and cash and cash equivalents.
As of March 31, 2013, the Parent had outstanding repurchase
obligations of approximately $38.8 million with a net weighted
average borrowing rate of 0.42%. These agreements were
collateralized by MBS with a fair value, including accrued
interest, of approximately $41.0 million. At March 31, 2013,
the Parent's liquidity was approximately $5.0 million, consisting
of unpledged MBS and cash and cash equivalents.
Below is a listing of outstanding borrowings under repurchase
obligations at March 31, 2013.
(in thousands) |
Repurchase
Agreement Obligations (Consolidated) |
|
|
|
|
Weighted |
|
Total |
|
|
Average |
|
Outstanding |
% of |
Amount |
Maturity |
Counterparty |
Balances |
Total |
at Risk(1) |
(in Days) |
Citigroup Global Markets, Inc. |
$ 107,287 |
30.2% |
$ 6,075 |
18 |
Suntrust Robinson Humphrey, Inc. |
56,359 |
15.9% |
3,347 |
15 |
The PrinceRidge Group, LLC |
51,927 |
14.6% |
3,035 |
21 |
CRT Capital Group, LLC |
45,277 |
12.7% |
2,513 |
2 |
Cantor Fitzgerald & Co. |
30,048 |
8.5% |
1,640 |
5 |
Pierpont Securities, LLC |
22,224 |
6.3% |
961 |
67 |
South Street Securities, LLC |
21,587 |
6.1% |
1,161 |
6 |
Mizuho Securities USA, Inc. |
15,464 |
4.4% |
785 |
4 |
KGS - Alpha Capital Markets, L.P. |
5,058 |
1.3% |
425 |
1 |
|
$ 355,231 |
100.0% |
$ 19,942 |
16 |
|
|
|
|
|
(in thousands) |
Repurchase
Agreement Obligations (Parent-Only) |
|
|
|
|
Weighted |
|
Total |
|
|
Average |
|
Outstanding |
% of |
Amount |
Maturity |
Counterparty |
Balances |
Total |
at Risk(1) |
(in Days) |
Suntrust Robinson Humphrey, Inc. |
$ 16,884 |
43.5% |
$ 986 |
5 |
The PrinceRidge Group, LLC |
15,999 |
41.3% |
940 |
15 |
Pierpont Securities, LLC |
5,902 |
15.2% |
309 |
24 |
|
$ 38,785 |
100.0% |
$ 2,235 |
12 |
(1) Equal to the fair value of
securities sold plus accrued interest receivable, minus the sum of
repurchase agreement liabilities and accrued interest payable. |
Hedging
In connection with its interest rate risk management strategy,
the Company economically hedges a portion of its interest rate risk
by entering into derivative financial instrument
contracts. The Company has not elected hedging treatment under
GAAP, and as such all gains or losses on these instruments are
reflected in earnings for all periods presented. The tables below
present information related to outstanding Eurodollar futures
positions at March 31, 2013.
(in thousands) |
Eurodollar
Futures Positions (Consolidated) |
|
Repurchase
Agreement Funding Hedges |
|
Junior
Subordinated Debt Funding Hedges |
|
Weighted |
Average |
|
Weighted |
Average |
|
|
Average |
Contract |
|
Average |
Contract |
|
|
LIBOR |
Notional |
Open |
LIBOR |
Notional |
Open |
Expiration Year |
Rate |
Amount |
Equity(1) |
Rate |
Amount |
Equity(1) |
2013 |
0.37% |
$ 280,000 |
$ (246) |
0.37% |
$ 21,000 |
$ (243) |
2014 |
0.48% |
250,000 |
14 |
0.48% |
26,000 |
(394) |
2015 |
0.75% |
250,000 |
(98) |
0.75% |
26,000 |
(190) |
2016 |
1.29% |
250,000 |
(155) |
1.05% |
26,000 |
(54) |
2017 |
1.99% |
250,000 |
(300) |
-- |
-- |
-- |
|
0.99% |
|
$ (785) |
0.60% |
|
$ (881) |
|
(in thousands) |
Eurodollar
Futures Positions (Parent-Only) |
|
Repurchase
Agreement Funding Hedges |
|
Junior
Subordinated Debt Funding Hedges |
|
Weighted |
Average |
|
Weighted |
Average |
|
|
Average |
Contract |
|
Average |
Contract |
|
|
LIBOR |
Notional |
Open |
LIBOR |
Notional |
Open |
Expiration Year |
Rate |
Amount |
Equity(1) |
Rate |
Amount |
Equity(1) |
2013 |
0.37% |
$ 30,000 |
$ (300) |
0.37% |
$ 21,000 |
$ (243) |
2014 |
-- |
-- |
-- |
0.48% |
26,000 |
(394) |
2015 |
-- |
-- |
-- |
0.75% |
26,000 |
(190) |
2016 |
-- |
-- |
-- |
1.05% |
26,000 |
(54) |
|
0.37% |
|
$ (300) |
0.60% |
|
$ (881) |
(1) Open equity represents the
cumulative gains / (losses) recorded on open futures
positions. |
Dividends
During the three months ended March 31, 2013, the Company made
no dividend distributions. All distributions are made at the
discretion of the Company's Board of Directors and will depend on
the Company's results of operations, financial conditions,
maintenance of REIT status, availability of net operating losses
and other factors that may be deemed relevant. In August 2011, the
Company announced that it would suspend its quarterly dividend and
no distributions have been made since. The Company continues
to evaluate its dividend payment policy. However, as more fully
described below, due to net operating losses incurred in prior
periods, the Company is unlikely to declare and pay dividends to
stockholders until such net operating losses have been
consumed.
REIT Taxable Income and Net Operating
Losses
REIT taxable income/(loss) is a term that describes the
Company's operating results calculated in accordance with rules and
regulations promulgated pursuant to the Internal Revenue Code. The
Company's REIT taxable income/(loss) is computed differently from
net income or loss as computed in accordance with generally
accepted accounting principles (GAAP) as reported in the Company's
consolidated financial statements. Depending on the number and size
of the various items or transactions being accounted for
differently, the differences between REIT taxable income or loss
and GAAP net income or loss can be substantial and each item can
affect several reporting periods. Generally, these items are timing
or temporary differences between years; for example, an item that
may be a deduction for GAAP net income/loss in the current year may
not be a deduction for REIT taxable income/loss until a later
year.
In order to maintain its qualification as a REIT, the Company is
generally required (among other things) to annually distribute
dividends to its stockholders in an amount at least equal to 90% of
the Company's REIT taxable income. Additionally, as a REIT, the
Company may be subject to a federal excise tax if it distributes
less than 85% of its REIT taxable income by the end of the calendar
year. Accordingly, the Company's dividends are generally based on
REIT taxable income, as determined for federal income tax purposes,
as opposed to its net income computed in accordance with GAAP.
Dividends are paid if, when, and as declared by the Company's Board
of Directors.
As described above, a REIT may be subject to a federal excise
tax if it distributes less than 85% of its REIT taxable income by
the end of a calendar year. In calculating the amount of excise tax
payable in a given year, if any, Bimini Capital reduces REIT
taxable income by distributions made to stockholders in the form of
dividends and/or net operating losses ("NOL's") carried-over from
prior years, to the extent any are available. Since income subject
to excise tax is REIT taxable income after deducting qualifying
dividends and the application of NOL's (in that order), a REIT may
avoid excise taxes solely by application of available NOL's without
paying qualifying dividends to stockholders. Because Bimini Capital
had a $13.8 million NOL's as of December 31, 2012, in the future it
could avoid excise taxes by applying such NOL's against REIT
taxable income without making any distributions to stockholders.
Further, the REIT could avoid the obligation to pay excise taxes
through a combination of qualifying dividends and the application
of NOL's. In any case, future distributions to stockholders may be
less than REIT taxable income until the existing NOL's are
consumed.
Book Value Per Share
The Company's Book Value Per Share at March 31, 2013 was $0.10.
Book Value Per Share is regularly used as a valuation metric by
various equity analysts that follow the Company and may be deemed a
non-GAAP financial measure pursuant to Regulation G. The Company
computes Book Value Per Share by dividing total stockholders'
equity by the total number of shares outstanding of the Company's
Class A Common Stock. At March 31, 2013, the Company's consolidated
equity was $36.4 million inclusive of noncontrolling interests of
$35.4 million, with 10,633,116 Class A Common shares
outstanding.
Management Commentary
Commenting on the Company's first quarter results, Robert E.
Cauley, Chairman and Chief Executive Officer, said, "The first
quarter of 2013 hopefully represented a turning point for Bimini.
We were able to complete the IPO of Orchid in February and bring
needed additional assets under management as a
result. Orchid's Board may look to raise additional
capital at Orchid when and if the opportunity arises. We will
continue to run the portfolio of Orchid as we have in the past, and
as we have with Bimini's portfolio as well. As for the market,
conditions remain difficult. The economies of both the US and
Europe continue to struggle to grow and generate needed jobs. Until
they do central banks, including that of Japan, will continue to do
all they can to keep interest rates down. In the US, we have the
added influence of the Federal Reserve which has been buying $40
billion of Agency MBS a month since last September. The
government's HARP program has been extended for another two years
and has proven to be very successful. The flip side is that
refinancing activity on most higher coupon mortgages remains
elevated. We have been able to avoid high prepayments on our
pass-through portfolio and hopefully will continue to manage do so
without paying high premiums for the securities that provide this
protection. Our structured portfolio is out of necessity exposed to
high prepayments since we look for these securities for
outperformance when and if rates rise, especially if rates were to
rise materially, since our pass-through portfolio would be exposed.
We will continue to manage the portfolios in this fashion until the
environment changes."
Mr. Cauley continued, "We are hopeful the steps taken to get
Orchid Island Capital off the ground will be worth the time and
resources incurred to do so. We are also hopeful we have laid
the groundwork for Bimini to take the next step in its recovery
from the effects of the financial crisis and our unfortunate
experience with our former mortgage company."
Summarized Financial Statements
The following is a summarized presentation of the unaudited
consolidated balance sheets as of March 31, 2013, and December
31, 2012, and the unaudited consolidated statements of operations
for the calendar quarters ended March 31, 2013 and March 31,
2012. Amounts presented are subject to change.
|
|
|
|
BIMINI CAPITAL
MANAGEMENT, INC. |
CONSOLIDATED BALANCE
SHEETS |
($ in thousands, except per
share amounts) |
|
3/31/2013 |
12/31/2012 |
% Change |
ASSETS |
|
|
|
Mortgage-backed securities |
$ 404,297 |
$ 168,155 |
140.4% |
Cash equivalents and restricted cash |
6,884 |
7,433 |
(7.39)% |
Accrued interest receivable |
1,670 |
719 |
132.3% |
Retained interests |
4,551 |
3,336 |
36.4% |
Other assets |
7,705 |
7,710 |
(0.06)% |
Total Assets |
$ 425,107 |
$ 187,353 |
126.9% |
|
|
|
|
LIABILITIES AND EQUITY |
|
|
|
Repurchase agreements |
$ 355,231 |
$ 150,294 |
136.4% |
Junior subordinated notes |
26,804 |
26,804 |
-- |
Other liabilities |
6,663 |
6,738 |
(1.11)% |
Total Liabilities |
388,698 |
183,836 |
111.4% |
Stockholders' equity |
1,045 |
3,517 |
(70.29)% |
Noncontrolling interests |
35,364 |
-- |
|
Total Equity |
36,409 |
3,517 |
935.2% |
Total Liabilities and Equity |
$ 425,107 |
$ 187,353 |
126.9% |
Class A Common Shares outstanding |
10,633,116 |
10,616,912 |
|
Book value per share |
$ 0.10 |
$ 0.33 |
|
|
|
|
|
|
|
|
|
|
|
BIMINI CAPITAL
MANAGEMENT, INC. |
CONSOLIDATED STATEMENTS
OF OPERATIONS |
(in thousands) |
|
For the calendar
quarter ended |
|
3/31/2013 |
12/31/2012 |
% Change |
3/31/2012 |
% Change |
Interest income |
$ 1,526 |
$ 751 |
103.2% |
$ 1,239 |
23.3% |
Interest expense |
(247) |
(151) |
(63.6)% |
(74) |
(233.8)% |
Net interest income, before interest on
junior subordinated notes |
1,279 |
600 |
113.2% |
1,165 |
9.8% |
Interest expense on junior subordinated
notes |
(247) |
(257) |
3.9% |
(265) |
6.8% |
Net interest income |
1,032 |
343 |
200.9% |
900 |
14.7% |
Losses |
(887) |
(1,073) |
17.2% |
(459) |
(93.2)% |
Net portfolio income (deficiency) |
145 |
(730) |
119.9% |
441 |
(67.1)% |
Other income |
1,982 |
119 |
1,565.5% |
1,694 |
17.0% |
Expenses |
(4,337) |
(1,305) |
(232.3)% |
(1,296) |
(234.6)% |
Net (loss) income |
$ (2,210) |
$ (1,916) |
(15.3)% |
$ 839 |
(363.4)% |
Net income attributed to noncontrolling
interests |
561 |
-- |
|
-- |
|
Net income attributed to Bimini Capital
Management, Inc. |
(2,771) |
(1,916) |
(44.5)% |
839 |
(430.3)% |
|
|
|
|
|
|
Basic and Diluted Net (loss)
income Per Share of: |
|
|
|
|
|
CLASS A COMMON STOCK |
$ (0.26) |
$ (0.18) |
|
$ 0.08 |
|
CLASS B COMMON STOCK |
$ (0.26) |
$ (0.18) |
|
$ 0.08 |
|
|
|
|
|
|
|
Summarized Parent-Only Financial Statements
The following is a summarized presentation of the unaudited
balance sheets as of March 31, 2013, and December 31, 2012,
and the unaudited quarterly results of operations for the calendar
quarters ended March 31, 2013 and March 31, 2012. In the
Parent-Only financial statements, the investment in subsidiaries is
stated at cost plus equity in undistributed earnings of
subsidiaries since the original date of the Parent's investments.
The Parent's share of net income of its unconsolidated subsidiaries
is included in the income using the equity method. Parent-Only
financial statements are not considered a valid substitute for
consolidated financial statements under U.S. GAAP and therefore
should be read in conjunction with the Company's Consolidated
Financial Statements. Amounts presented are subject to
change.
|
|
|
|
BIMINI CAPITAL
MANAGEMENT, INC. |
BALANCE
SHEETS |
(PARENT-ONLY) |
($ in thousands) |
|
3/31/2013 |
12/31/2012 |
% Change |
ASSETS |
|
|
|
Mortgage-backed securities |
$ 44,037 |
$ 52,775 |
(16.56)% |
Cash equivalents and restricted cash |
1,963 |
4,399 |
(55.38)% |
Accrued interest receivable |
229 |
278 |
(17.63)% |
Investment in subsidiaries and due from
subsidiaries |
15,537 |
14,587 |
6.5% |
Other assets |
5,048 |
5,036 |
0.2% |
Total Assets |
$ 66,814 |
$ 77,075 |
(13.31)% |
|
|
|
|
LIABILITIES AND STOCKHOLDERS'
EQUITY |
|
|
|
Repurchase agreements |
$ 38,785 |
$ 46,353 |
(16.33)% |
Junior subordinated notes |
26,804 |
26,804 |
-- |
Other liabilities |
180 |
401 |
(55.11)% |
Total Liabilities |
65,769 |
73,558 |
(10.59)% |
Stockholders' Equity |
1,045 |
3,517 |
(70.29)% |
Total Liabilities and Stockholders'
Equity |
$ 66,814 |
$ 77,075 |
(13.31)% |
|
|
|
|
|
|
|
|
|
|
BIMINI CAPITAL
MANAGEMENT, INC. |
STATEMENTS OF
OPERATIONS |
(Parent-Only) |
(in thousands) |
|
For the calendar
quarter ended |
|
3/31/2013 |
12/31/2012 |
% Change |
3/31/2012 |
% Change |
Interest income |
$ 113 |
$ 278 |
(59.4)% |
$ 480 |
(76.5)% |
Interest expense |
(45) |
(56) |
19.6% |
(23) |
(95.7)% |
Net interest income, before interest on
junior subordinated notes |
68 |
222 |
(69.4)% |
457 |
(85.1)% |
Interest expense on junior subordinated
notes |
(247) |
(258) |
4.3% |
(265) |
6.8% |
Net interest income |
(179) |
(36) |
(397.2)% |
192 |
(193.2)% |
Portfolio losses |
(475) |
(601) |
21.0% |
(534) |
11.0% |
Net portfolio loss |
(654) |
(637) |
(2.7)% |
(342) |
(91.2)% |
Equity in earnings (losses) of
subsidiaries |
(1,294) |
(514) |
(151.8)% |
1,959 |
(166.1)% |
Other income |
35 |
64 |
(45.3)% |
59 |
(40.7)% |
Expenses |
(858) |
(829) |
(3.5)% |
(837) |
(2.5)% |
Net (loss) income |
$ (2,771) |
$ (1,916) |
(44.6)% |
$ 839 |
(430.3)% |
|
|
|
|
|
|
|
|
Consolidated |
Parent-Only |
|
Three Months
Ended |
Three Months
Ended |
Key Balance Sheet
Metrics |
March 31, 2013 |
March 31, 2012 |
March 31, 2013 |
March 31, 2012 |
Average MBS |
$ 286,226,206 |
$ 106,374,348 |
$ 48,406,281 |
$ 35,788,966 |
Average repurchase agreements |
252,762,522 |
85,629,040 |
42,569,000 |
26,472,312 |
Average stockholders' equity |
19,963,052 |
5,818,485 |
2,280,978 |
5,818,485 |
|
|
|
|
|
Key Performance Metrics |
|
|
|
|
Average yield on MBS |
2.13% |
4.66% |
0.93% |
5.36% |
Average cost of funds |
0.39% |
0.34% |
0.43% |
0.34% |
Average economic cost of funds |
1.15% |
0.81% |
0.40% |
1.49% |
Average interest rate spread |
1.74% |
4.32% |
0.50% |
5.02% |
Average economic interest rate
spread |
0.98% |
3.85% |
0.53% |
3.87% |
|
|
|
|
|
About Bimini Capital Management, Inc.
Bimini Capital Management, Inc. is a REIT that invests primarily
in, but is not limited to, residential mortgage-related securities
issued by the Federal National Mortgage Association (Fannie Mae),
the Federal Home Loan Mortgage Corporation (Freddie Mac) and the
Government National Mortgage Association (Ginnie Mae). Its
objective is to earn returns on the spread between the yield on its
assets and its costs, including the interest expense on the funds
it borrows.
Forward Looking Statements
Statements herein relating to matters that are not historical
facts are forward-looking statements as defined in the Private
Securities Litigation Reform Act of 1995. The reader is cautioned
that such forward-looking statements are based on information
available at the time and on management's good faith belief with
respect to future events, and are subject to risks and
uncertainties that could cause actual performance or results to
differ materially from those expressed in such forward-looking
statements. Important factors that could cause such differences are
described in Bimini Capital Management, Inc.'s filings with the
Securities and Exchange Commission, including Bimini Capital
Management, Inc.'s most recent Annual Report on Form 10-K or
Quarterly Report on Form 10-Q. Bimini Capital Management, Inc.
assumes no obligation to update forward-looking statements to
reflect subsequent results, changes in assumptions or changes in
other factors affecting forward-looking statements.
CONTACT: Bimini Capital Management, Inc.
Robert E. Cauley, 772-231-1400
Chairman and Chief Executive Officer
www.biminicapital.com
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