Bimini Capital Management, Inc. (OTCBB:BMNM), a real estate
investment trust ("REIT"), today announced results of operations
for the three month period ended June 30, 2013. Discussions related
to the "Company," refer to the consolidated entity, including
Bimini Capital, our wholly-owned subsidiaries, and our consolidated
VIE. References to "Bimini Capital," the "parent", and the
"registrant" refer to Bimini Capital Management, Inc. as a separate
entity.
Second Quarter 2013 Highlights
- Net income of $0.2 million attributed to Bimini Capital, or
$0.02 per common share, inclusive of $2.8 million of other
income
- Book value per share of $0.12
- MBS portfolio remains 100% invested in agency MBS
- Company to discuss results on Wednesday, August 7, 2013, at
10:00 AM ET
Orchid Island Capital
On February 20, 2013, Orchid Island Capital, Inc. ("Orchid")
completed its initial public offering ("IPO"), selling 2,360,000
shares of its common stock for proceeds of $35.4 million.
Subsequent to Orchid's IPO and as of June 30, 2013, management has
concluded Orchid is a variable interest entity ("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, LLC ("Bimini
Advisors"), a wholly owned subsidiary of Bimini, 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 June 30, 2013, the Company
has continued to consolidate Orchid in its Consolidated Financial
Statements even though, as of June 30, 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
2013 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, 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
shareholders of Bimini Capital.
Details of Second Quarter 2013 Results of
Operations
Selected unaudited consolidated and parent-only results for the
three month period ended June 30, 2013 are presented in the table
below.
|
|
|
(in thousands) |
|
|
|
Consolidated |
Parent-Only |
Net income |
$201 |
$ 201 |
Net portfolio interest income (loss) |
1,870 |
(236) |
Net loss on mortgage-backed securities |
(11,347) |
(1,294) |
Audit legal and other professional fees |
366 |
200 |
Compensation and related benefits |
422 |
398 |
Other operating, general and administrative
expenses |
500 |
333 |
Proceeds from sales of Mortgage-backed
securities |
146,525 |
11,262 |
Other income related to reversal of reserve
for loan losses |
3,037 |
-- |
Fair value adjustments on retained
interests in securitizations |
(230) |
-- |
|
|
|
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 generally 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 the 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 - March 31,
2013 |
$377,652,085 |
$23,241,013 |
$3,404,303 |
$26,645,316 |
$404,297,401 |
Securities Purchased |
139,704,893 |
5,527,238 |
-- |
5,527,238 |
145,232,131 |
Securities Sold |
(138,374,083) |
(8,150,472) |
-- |
(8,150,472) |
(146,524,555) |
(Loss) gain on Sale |
(1,516,680) |
582,740 |
-- |
582,740 |
(933,940) |
Return on Investment |
n/a |
(1,921,470) |
(700,191) |
(2,621,661) |
(2,621,661) |
Pay-downs |
(8,476,596) |
n/a |
n/a |
n/a |
(8,476,596) |
Premium Lost Due to Pay-downs |
(467,781) |
n/a |
n/a |
n/a |
(467,781) |
Mark to Market Gains (Losses) |
(12,450,836) |
2,627,455 |
(121,810) |
2,505,645 |
(9,945,191) |
Market Value - June 30,
2013 |
$356,071,002 |
$21,906,504 |
$2,582,302 |
$24,488,806 |
$380,559,808 |
|
|
|
|
|
|
|
|
|
|
|
|
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 - March 31,
2013 |
$40,873,697 |
$2,100,237 |
$1,063,195 |
$3,163,432 |
$44,037,129 |
Securities Purchased |
12,259,435 |
-- |
-- |
-- |
12,259,435 |
Securities Sold |
(11,261,876) |
-- |
-- |
-- |
(11,261,876) |
Loss on Sale |
(10,486) |
-- |
-- |
-- |
(10,486) |
Return on Investment |
n/a |
(405,336) |
(270,266) |
(675,602) |
(675,602) |
Pay-downs |
(1,653,355) |
n/a |
n/a |
n/a |
(1,653,355) |
Premium Lost Due to Pay-downs |
(99,481) |
n/a |
n/a |
n/a |
(99,481) |
Mark to Market Gains (Losses) |
(1,212,457) |
110,468 |
(81,880) |
28,588 |
(1,183,869) |
Market Value - June 30,
2013 |
$38,895,477 |
$1,805,369 |
$711,049 |
$2,516,418 |
$41,411,895 |
|
|
|
|
|
|
The tables below present the allocation of capital between the
respective portfolios at June 30, 2013 and March 31, 2013, and
the return on invested capital for each sub-portfolio for the three
month period ended June 30, 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 (17.6)% and
10.4%, respectively, for the quarter. The combined portfolio
generated a return on invested capital of approximately (4.3)%.
For parent-only, the return on invested capital in the PT MBS
and structured MBS portfolios was approximately (27.4)% and (6.7)%,
respectively, for the quarter. The combined portfolio
generated a return on invested capital of approximately
(18.2)%.
|
|
|
|
|
|
Capital Allocation (Consolidated) |
|
Structured Security Portfolio |
|
Pass-Through |
Interest-Only |
Inverse Interest |
|
|
|
Portfolio |
Securities |
Only
Securities |
Sub-total |
Total |
June 30, 2013 |
|
|
|
|
|
Market Value |
$356,071,002 |
$21,906,504 |
$2,582,302 |
$24,488,806 |
$380,559,808 |
Cash equivalents and restricted cash* |
17,832,764 |
-- |
-- |
-- |
17,832,764 |
Repurchase Agreement Obligations |
(346,197,338) |
-- |
-- |
-- |
(346,197,338) |
Total |
27,706,428 |
$21,906,504 |
$2,582,302 |
$24,488,806 |
$52,195,234 |
% of Total |
53.1% |
42.0% |
4.9% |
46.9% |
100.0% |
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% |
*Amount excludes restricted cash of $127,280 and $105,331 at
June 30, 2013 and March 31, 2013, respectively, 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 |
June 30, 2013 |
|
|
|
|
|
Market Value |
$38,895,477 |
$1,805,369 |
$711,049 |
$2,516,418 |
$41,411,895 |
Cash equivalents and restricted cash* |
2,577,714 |
-- |
-- |
-- |
2,577,714 |
Repurchase Agreement Obligations |
(37,462,000) |
-- |
-- |
-- |
(37,462,000) |
Total |
4,011,191 |
$1,805,369 |
$711,049 |
$2,516,418 |
$6,527,609 |
% of Total |
61.4% |
27.7% |
10.9% |
38.6% |
100.0% |
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% |
*Amount excludes restricted cash of $127,280 and $105,331 at
June 30, 2013 and March 31, 2013, respectively, related to trust
preferred debt funding hedges.
|
Returns for the Quarter (Consolidated) |
Income (loss) (net of repo cost) |
$ 2,443,695 |
$ (173,225) |
$ (151,972) |
$ (325,197) |
$ 2,118,498 |
Realized and unrealized gains (losses) |
(14,435,297) |
3,210,195 |
(121,810) |
3,088,385 |
(11,346,912) |
Hedge gains** |
6,841,275 |
n/a |
n/a |
n/a |
6,841,275 |
|
$ (5,150,327) |
$ 3,036,970 |
$ (273,782) |
$ 2,763,188 |
$ (2,387,139) |
Return on Invested Capital
for the Quarter |
(17.6)% |
13.1% |
(8.0)% |
10.4% |
(4.3)% |
|
|
|
|
|
|
|
Returns for the Quarter (Parent-Only) |
Income / (loss) (net of repo cost) |
$ 251,313 |
$ (156,015) |
$ (83,584) |
$ (239,599) |
$ 11,714 |
Realized and unrealized gains / (losses) |
(1,322,424) |
110,468 |
(81,880) |
28,588 |
(1,293,836) |
Hedge losses** |
(10,313) |
n/a |
n/a |
n/a |
(10,313) |
|
$(1,081,424) |
$ (45,547) |
$ (165,464) |
$ (211,011) |
$ (1,292,435) |
Return on Invested Capital
for the Quarter |
(27.4)% |
(2.2)% |
(15.6)% |
(6.7)% |
(18.2)% |
** Excludes gains of approximately $230,000 associated with
trust preferred funding hedges.
Prepayments
For the quarter, the Company received approximately $11.1
million in scheduled and unscheduled principal repayments and
prepayments, which equated to a constant prepayment rate ("CPR") of
approximately 19.5% for the second quarter of 2013. The parent
received approximately $2.3 million in scheduled and unscheduled
principal repayments and prepayments, which equated to a CPR of
approximately 31.6% for the second 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 |
June 30, 2013 |
7.2 |
33.0 |
19.5 |
12.2 |
39.7 |
31.6 |
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 June 30, 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 |
June 30, 2013 |
|
|
|
|
|
|
|
|
Adjustable Rate MBS |
$6,210 |
1.6% |
4.24% |
251 |
1-Sep-35 |
0.57 |
10.05% |
2.00% |
Fixed Rate MBS |
233,243 |
61.3% |
3.35% |
292 |
1-May-43 |
NA |
NA |
NA |
Hybrid Adjustable Rate MBS |
116,618 |
30.6% |
2.65% |
353 |
1-Apr-43 |
112.49 |
7.65% |
1.99% |
Total Mortgage-backed Pass-through |
356,071 |
93.5% |
3.14% |
311 |
1-May-43 |
106.83 |
7.77% |
1.99% |
Interest-Only Securities |
21,907 |
5.8% |
3.93% |
236 |
25-May-43 |
NA |
NA |
NA |
Inverse Interest-Only Securities |
2,582 |
0.7% |
6.08% |
303 |
25-Nov-40 |
NA |
6.27% |
NA |
Total Structured MBS |
24,489 |
6.5% |
4.16% |
243 |
25-May-43 |
NA |
NA |
NA |
Total Mortgage Assets |
$380,560 |
100.0% |
3.20% |
307 |
25-May-43 |
NA |
NA |
NA |
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) |
|
|
|
|
|
June
30, 2013 |
December 31, 2012 |
|
|
Percentage of |
|
Percentage of |
Agency |
Fair
Value |
Entire
Portfolio |
Fair
Value |
Entire
Portfolio |
Fannie Mae |
$ 226,718 |
59.57% |
$ 163,116 |
97.00% |
Freddie Mac |
128,364 |
33.73% |
3,396 |
2.02% |
Ginnie Mae |
25,478 |
6.69% |
1,643 |
0.98% |
Total Portfolio |
$ 380,560 |
100.00% |
$ 168,155 |
100.00% |
|
|
|
|
|
Entire Portfolio |
June 30,
2013 |
December 31,
2012 |
Weighted Average Pass Through Purchase
Price |
$105.09 |
$105.74 |
Weighted Average Structured Purchase
Price |
$7.38 |
$6.00 |
Weighted Average Pass Through Current
Price |
$101.59 |
$105.89 |
Weighted Average Structured Current
Price |
$10.86 |
$5.84 |
Effective Duration (1) |
4.347 |
0.703 |
(1) Effective duration of 4.347 indicates that an interest
rate increase of 1.0% would be expected to cause a 4.347% decrease
in the value of the MBS in the Company's investment portfolio at
June 30, 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 June 30, 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 |
June 30, 2013 |
|
|
|
|
|
|
|
|
Fixed Rate MBS |
$23,533 |
56.8% |
3.34% |
220 |
1-May-43 |
NA |
NA |
NA |
Hybrid Adjustable Rate MBS |
15,363 |
37.1% |
2.94% |
350 |
1-Sep-42 |
107.24 |
7.92% |
1.96% |
Total Mortgage-backed Pass-through |
38,896 |
93.9% |
3.18% |
271 |
1-May-43 |
107.24 |
7.92% |
1.96% |
Interest-Only Securities |
1,805 |
4.4% |
3.92% |
289 |
25-Dec-39 |
NA |
NA |
NA |
Inverse Interest-Only Securities |
711 |
1.7% |
5.89% |
303 |
25-Nov-40 |
NA |
6.08% |
NA |
Total Structured MBS |
2,516 |
6.1% |
4.48% |
293 |
25-Nov-40 |
NA |
NA |
NA |
Total Mortgage Assets |
$41,412 |
100.0% |
3.26% |
273 |
1-May-43 |
NA |
NA |
NA |
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 |
3,983 |
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) |
|
|
|
|
|
June
30, 2013 |
December 31, 2012 |
|
|
Percentage of |
|
Percentage of |
Agency |
Fair
Value |
Entire
Portfolio |
Fair
Value |
Entire
Portfolio |
Fannie Mae |
$28,117 |
67.90% |
$ 49,882 |
94.52% |
Freddie Mac |
12,619 |
30.47% |
1,251 |
2.37% |
Ginnie Mae |
676 |
1.63% |
1,642 |
3.11% |
Total Portfolio |
$ 41,412 |
100.00% |
$ 52,775 |
100.0% |
|
|
|
|
|
Entire Portfolio |
June 30,
2013 |
December 31,
2012 |
Weighted Average Pass Through Purchase
Price |
$105.93 |
$105.91 |
Weighted Average Structured Purchase
Price |
$4.19 |
$4.59 |
Weighted Average Pass Through Current
Price |
$102.69 |
$106.07 |
Weighted Average Structured Current
Price |
$3.99 |
$4.26 |
Effective Duration (1) |
2.460 |
(0.404) |
(1) Effective duration of 2.460 indicates that an interest rate
increase of 1.0% would be expected to cause a 2.460% decrease in
the value of the MBS in the Parent's investment portfolio at June
30, 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 June 30, 2013, the Company had outstanding repurchase
obligations of approximately $346.2 million with a net weighted
average borrowing rate of 0.39%. These agreements were
collateralized by MBS with a fair value, including accrued
interest, of approximately $357.2 million. The Company's
leverage ratio at June 30, 2013 was 10.9 to 1. At June 30, 2013,
the Company's liquidity was approximately $33.0 million, consisting
of unpledged MBS and cash and cash equivalents.
As of June 30, 2013, the Parent had outstanding repurchase
obligations of approximately $37.5 million with a net weighted
average borrowing rate of 0.40%. These agreements were
collateralized by MBS with a fair value, including accrued
interest, of approximately $39.0 million. At June 30, 2013,
the Parent's liquidity was approximately $4.8 million, consisting
of unpledged MBS and cash and cash equivalents.
Below is a listing of outstanding borrowings under repurchase
obligations at June 30, 2013.
(in thousands) |
|
|
|
|
|
Repurchase Agreement Obligations
(Consolidated) |
|
|
|
Weighted |
|
Weighted |
|
Total |
|
Average |
|
Average |
|
Outstanding |
% of |
Borrowing |
Amount |
Maturity |
Counterparty |
Balances |
Total |
Rate |
at Risk
(1) |
in
Days |
Citigroup Global Markets, Inc. |
$114,132 |
33.0% |
0.39% |
$6,259 |
28 |
CRT Capital Group, LLC |
61,938 |
17.9% |
0.38% |
3,695 |
23 |
South Street Securities, LLC |
44,414 |
12.8% |
0.39% |
2,040 |
14 |
The PrinceRidge Group, LLC |
42,993 |
12.4% |
0.40% |
1,750 |
22 |
Suntrust Robinson Humphrey, Inc. |
39,784 |
11.5% |
0.36% |
1,770 |
15 |
Mizuho Securities USA, Inc. |
14,989 |
4.3% |
0.39% |
485 |
37 |
Cantor Fitzgerald & Co. |
14,527 |
4.2% |
0.38% |
823 |
8 |
Pierpont Securities, LLC |
8,454 |
2.4% |
0.40% |
479 |
23 |
KGS - Alpha Capital Markets,
L.P. |
4,966 |
1.5% |
0.38% |
267 |
1 |
|
$346,197 |
100.0% |
0.39% |
$17,568 |
22 |
|
|
|
|
|
|
(in thousands) |
|
|
|
|
|
Repurchase Agreement Obligations
(Parent-Only) |
|
|
|
Weighted |
|
Weighted |
|
Total |
|
Average |
|
Average |
|
Outstanding |
% of |
Borrowing |
Amount |
Maturity |
Counterparty |
Balances |
Total |
Rate |
at Risk
(1) |
in
Days |
The PrinceRidge Group, LLC |
$14,918 |
39.8% |
0.41% |
$480 |
17 |
Suntrust Robinson Humphrey, Inc. |
13,818 |
36.9% |
0.38% |
826 |
19 |
Pierpont Securities, LLC |
5,765 |
15.4% |
0.40% |
322 |
24 |
South Street Securities,
LLC |
2,961 |
7.9% |
0.40% |
152 |
24 |
|
$37,462 |
100.0% |
0.40% |
$1,780 |
19 |
(1) Equal to the fair value of securities sold plus accrued
interest receivable and the cash posted by the Company as
collateral, 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 June 30, 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 |
0.34% |
$280,000 |
$(227) |
0.34% |
$21,000 |
$(178) |
2014 |
0.54% |
250,000 |
173 |
0.54% |
26,000 |
(377) |
2015 |
1.15% |
250,000 |
890 |
1.15% |
26,000 |
(87) |
2016 |
2.15% |
250,000 |
1,989 |
2.02% |
26,000 |
64 |
2017 |
3.00% |
250,000 |
2,219 |
-- |
-- |
-- |
2018 |
3.54% |
250,000 |
1,128 |
-- |
-- |
-- |
|
1.82% |
|
$5,044 |
1.06% |
|
$(578) |
|
|
|
|
|
|
|
(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 |
Rate |
Amount |
Equity |
2013 |
0.34% |
$30,000 |
$(220) |
0.34% |
$21,000 |
$(178) |
2014 |
-- |
-- |
-- |
0.54% |
26,000 |
(377) |
2015 |
-- |
-- |
-- |
1.15% |
26,000 |
(87) |
2016 |
-- |
-- |
-- |
2.02% |
26,000 |
64 |
|
0.34% |
|
$(220) |
1.06% |
|
$(578) |
(1) Open equity represents the cumulative gains (losses)
recorded on open futures positions.
Dividends
During the three months ended June 30, 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 $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 June 30, 2013 was $0.12.
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 June 30, 2013, the Company's consolidated
equity was $34.6 million inclusive of noncontrolling interests of
$33.3 million, with 10,633,116 Class A Common shares
outstanding.
Management Commentary
Commenting on the second quarter, Robert E. Cauley, Chairman and
Chief Executive Officer, said, "We have continuously emphasized the
need to position our portfolio defensively. As you know, we
deploy our capital into two portfolios, one comprised of
traditional pass-through securities funded in the repo market, and
the other comprised of structured securities containing assets that
have a different sensitivity to interest rates. An
important purpose of the structured securities is to shield
the pass-through portfolio from material price declines when and if
interest rates rise. We have viewed the market as materially
exposed to an interest rate shock and maintained that while we did
not know when the market would sense the Federal Reserve was about
to remove their substantial accommodation, we expected that when
they did it would lead to a very swift and violent sell-off in the
rates and MBS markets. We also have maintained that this
outcome had to be positioned for in advance, since if the market
moved quickly as we expected, managers relying on dynamic hedging
strategies may not be able to respond quickly
enough.
Risk management and the protection of book value are the focus
of our investment strategy. In an environment such as this,
with rates still low and many investors fearful of a back-up in
rates, the cost of hedging our book value is quite high. In
our case we rely heavily on interest only securities. Yields
on the types of IO's we own are quite low and often
negative. In order to protect our book value we need to
allocate a substantial portion of our capital to these assets and
therefore our ability to generate interest income has been
constrained. However, with the recent move in rates we expect
prepayment speeds will be trending down and the MBA conventional
refinancing index has already dropped below 2,250 after peaking
near 6,000 last fall. This should enhance the income generated
by our IO securities, as well as our pass-through securities.
As you know, Bimini has invested $15 million of our capital into
Orchid Island Capital. At June 30, 2013, this investment represents
approximately 53% of our long-term capital. The Orchid
portfolio is generally managed in the same manner and with the same
focus as the Bimini portfolio. For the quarter Orchid
generated a net loss of approximately $1.55 million, of which
approximately $1.09 million is attributable to non-controlling
interests. Bimini also earned approximately $185 thousand of
management fees from Orchid. However, under GAAP these fees
are eliminated in consolidation. Orchid Island experienced a 5.74%
decline in book value for the quarter, or $0.86 cents per share,
off-set by $0.405 of dividend income for a total return of
approximately 3.0% for the quarter (not annualized).
With respect to the portfolio of Bimini, during the sell-off in
May and June our portfolio did not behave as well as we had
anticipated. Our portfolio is quite small and our performance
was impacted by an outsized mark to market loss on our largest
pass-through position. Our structured securities, owing to
their high prepayment rates, generated negative interest income, as
they have since last fall, and the mark to market gains were not
enough to offset the negative interest income, let alone the
negative mark to market on the pass-through portfolio. As a result,
our portfolio experienced a negative return of over 18 percent.
These returns are not consistent with how the portfolio has
performed previously and we are repositioning the portfolio to
better guard against rising rates. That being said, we have not
lost any conviction in our belief that our strategy is
sound. One has to understand that while interest only
securities are indeed natural hedges for pass-through securities,
they will not necessarily move in lock-step with pass-through
securities when rates move as they did recently. Much of the
pass-through market is comprised of investors who use considerable
leverage in their portfolios. When the market moves
dramatically they are forced sellers, and pass-through prices can
have large, outsized moves. Structured securities are also
owned in levered form, but to a much smaller
extent. Further, most of our IO positions are
collateralized by well in the money, fast paying loans. While
rates backed up in late June, prepayment speeds on these securities
should slow down and their prices are likely to rise if they do,
but the price response of these assets to the movement in rates was
muted because the slowdown in speeds will probably not show up
until September. This means there will likely be at
least two more fast prepayment prints to contend
with. The inability of our IO securities to react
to the rate movement as quickly as our levered pass-through
portfolio did not and will not sway us. When rates increase
mortgage cash flows extend and PT prices decline. IO cash
flows extend as well and their prices react accordingly, whether
they do so in lock step with pass-through securities is not
imperative".
Mr. Cauley continued, "Looking forward, we now face an
environment where income per dollar invested or unit of duration
has risen. Premium amortization on our pass-through portfolio
will slow and our IO's will generate more income than was
previously the case to the extent prepayment speeds slow. We
can take advantage of the increased income generating capacity of
the portfolio to reduce leverage and enhance our hedges. The
economic data last week was generally strong and interest rates,
notably the yield on the 10 year UST, approached the intra-day
highs we witnessed on July 8th near 2.75%. The market appears
quite skittish to us and very sensitive to strong economic
data. We still view ourselves as at the low end of the
historical range in rates and the economy is performing below trend
- but improving. For years now the economy has been on the
mend but in an uneven fashion. Growth has come in fits and
starts. We view the weakness in Q2 as just another example of the
uneven recovery. If the Federal Reserve does indeed begin to
taper their asset purchases in September interest rates may move
higher still. If they do, we believe fixed rate mortgages have
considerable room to extend further. Accordingly, we will
continue to position defensively."
With respect to the balance of our results, the retained
interests of our former mortgage company were marked down by
approximately $230,000 for the quarter and the loan loss reserve in
the amount of approximately $4.7 million was reversed by
approximately $3.0 million based upon the expiration of applicable
statutes of limitations. The net result was the Company
recorded approximately $2.8 million of other income. "
Summarized Financial Statements
The following is a summarized presentation of the unaudited
consolidated balance sheets as of June 30, 2013, and December
31, 2012, and the unaudited consolidated statements of operations
for the calendar quarters and year-to-date periods ended June 30,
2013 and 2012. Amounts presented are subject to change.
BIMINI CAPITAL
MANAGEMENT, INC. |
CONSOLIDATED BALANCE
SHEETS |
|
|
|
|
June 30,
2013 |
December 31,
2012 |
ASSETS |
|
|
Mortgage-backed securities |
$380,559,808 |
$168,155,007 |
Cash equivalents and restricted cash |
17,960,044 |
7,433,061 |
Reverse repurchase agreements |
-- |
-- |
Accrued interest receivable |
1,586,531 |
718,895 |
Retained interests |
3,462,594 |
3,336,009 |
Other assets |
7,569,010 |
7,709,979 |
Total Assets |
$411,137,987 |
$187,352,951 |
|
|
|
LIABILITIES AND EQUITY |
|
|
Repurchase agreements |
$346,197,388 |
$150,294,174 |
Junior subordinated notes |
26,804,440 |
26,804,440 |
Unsettled security purchases |
-- |
-- |
Other liabilities |
3,553,864 |
6,737,565 |
Total Liabilities |
376,555,642 |
183,836,179 |
Stockholders' equity |
1,265,945 |
3,516,772 |
Noncontrolling interests |
33,316,400 |
-- |
Total Equity |
34,582,345 |
3,516,772 |
Total Liabilities and
Equity |
$411,137,987 |
$187,352,951 |
Class A Common Shares outstanding |
10,633,116 |
10,616,912 |
Book value per share |
$0.12 |
$0.33 |
|
|
|
BIMINI CAPITAL
MANAGEMENT, INC. |
CONSOLIDATED STATEMENTS
OF OPERATIONS |
|
|
|
|
|
|
Six
Months Ended June 30, |
Three
Months June 30, |
|
2013 |
2012 |
2013 |
2012 |
Interest income |
$4,005,840 |
$2,323,237 |
$2,479,678 |
$1,084,653 |
Interest expense |
(607,559) |
(181,639) |
(360,853) |
(108,256) |
Net interest income, before interest on
junior subordinated notes |
3,398,281 |
2,141,598 |
2,118,825 |
976,397 |
Interest expense on junior subordinated
notes |
(495,565) |
(526,184) |
(248,367) |
(261,094) |
Net interest income |
2,902,716 |
1,615,414 |
1,870,458 |
715,303 |
Losses |
(5,162,969) |
(1,974,984) |
(4,275,281) |
(1,516,367) |
Net portfolio deficiency |
(2,260,253) |
(359,570) |
(2,404,823) |
(801,064) |
Other income |
4,783,723 |
3,444,628 |
2,801,376 |
1,750,962 |
Expenses |
5,624,242 |
2,437,290 |
1,287,560 |
1,141,126 |
Net (loss) income |
(3,100,772) |
647,768 |
(891,007) |
(191,228) |
Net loss attributed to
noncontrolling interests |
(530,963) |
-- |
(1,091,947) |
-- |
Net (loss) income attributed
to Bimini Capital stockholders |
$(2,569,809) |
$647,768 |
$200,940 |
$(191,228) |
|
|
|
|
|
Basic and Diluted Net
(loss) income Per Share of: |
|
|
|
|
CLASS A COMMON STOCK |
$(0.24) |
$0.06 |
$0.02 |
$(0.02) |
CLASS B COMMON STOCK |
$(0.24) |
$0.06 |
$0.02 |
$(0.02) |
|
|
|
|
|
Summarized Parent-Only Financial Statements
The following is a summarized presentation of the unaudited
parent-only balance sheets as of June 30, 2013, and December
31, 2012, and the unaudited quarterly results of operations for the
calendar quarters and year-to-date periods ended June 30, 2013 and
June 30, 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) |
|
|
|
|
June 30,
2013 |
December 31,
2012 |
ASSETS |
|
|
Mortgage-backed securities |
$41,411,895 |
$52,775,433 |
Cash equivalents and restricted cash |
2,704,995 |
4,399,499 |
Reverse repurchase agreements |
-- |
-- |
Accrued interest receivable |
201,832 |
278,018 |
Investment in subsidiaries and due from
subsidiaries |
16,631,941 |
14,587,227 |
Other assets |
4,881,573 |
5,034,583 |
Total Assets |
$65,832,236 |
$77,074,760 |
|
|
|
LIABILITIES AND STOCKHOLDERS'
EQUITY |
|
|
Repurchase agreements |
$37,462,000 |
$46,353,000 |
Junior subordinated notes |
26,804,440 |
26,804,440 |
Unsettled security purchases |
-- |
-- |
Other liabilities |
299,851 |
400,548 |
Total Liabilities |
64,566,291 |
73,557,988 |
Stockholders' Equity |
265,945 |
3,516,772 |
Total Liabilities and
Stockholders' Equity |
$65,832,236 |
$77,074,760 |
|
|
|
BIMINI CAPITAL
MANAGEMENT, INC. |
STATEMENTS OF
OPERATIONS |
(Parent-Only) |
|
|
|
|
|
|
Six
Months Ended June 30, |
Three
Months Ended June 30, |
|
2013 |
2012 |
2013 |
2012 |
Interest income |
$163,883 |
$795,393 |
$50,979 |
$315,565 |
Interest expense |
(84,252) |
(57,206) |
(38,967) |
(34,489) |
Net interest income, before interest on
junior subordinated notes |
79,631 |
738,187 |
12,012 |
281,076 |
Interest expense on junior subordinated
notes |
(495,565) |
(526,184) |
(248,367) |
(261,094) |
Net interest (expense) income |
(415,934) |
212,003 |
(236,355) |
19,982 |
Portfolio losses |
(1,548,320) |
(1,151,522) |
(1,073,793) |
(617,579) |
Net portfolio deficiency |
(1,964,254) |
(939,519) |
(1,310,148) |
(597,597) |
Equity in earnings of subsidiaries |
1,148,495 |
3,131,258 |
2,442,680 |
1,172,627 |
Other income |
35,300 |
120,400 |
-- |
61,400 |
Expenses |
(1,789,350) |
(1,664,371) |
(931,592) |
(827,658) |
Net (loss) income |
$(2,569,809) |
$647,768 |
$200,940 |
$(191,228) |
|
|
|
|
|
|
Consolidated |
Parent-Only |
|
Three
Months Ended |
Three
Months Ended |
Key Balance Sheet
Metrics |
June 30,
2013 |
June 30,
2012 |
June 30,
2013 |
June 30,
2012 |
Average MBS |
$392,428,608 |
$116,753,455 |
$42,724,512 |
$43,195,049 |
Average repurchase agreements |
350,714,104 |
96,777,534 |
38,123,500 |
34,370,762 |
Average stockholders' equity |
35,495,839 |
6,195,284 |
1,155,565 |
6,195,284 |
|
|
|
|
|
Key Performance Metrics |
|
|
|
|
Average yield on MBS |
2.53% |
3.71% |
0.47% |
2.92% |
Average cost of funds |
0.41% |
0.45% |
0.41% |
0.40% |
Average economic cost of funds |
0.50% |
0.42% |
1.20% |
0.22% |
Average interest rate spread |
2.12% |
3.26% |
0.07% |
2.52% |
Average economic interest rate
spread |
2.03% |
3.29% |
(0.73)% |
2.70% |
|
|
|
|
|
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.
Earnings Conference Call Details
An earnings conference call and live audio webcast will be
hosted Wednesday, August 7, 2013, at 10:00 AM ET. The conference
call may be accessed by dialing toll free (877)
312-5414. International callers dial (408) 940-3877. The
conference passcode is 26633708. A live audio webcast of the
conference call can be accessed via the investor relations section
of the Company's website at www.biminicapital.com, and an audio
archive of the webcast will be available for approximately one
year.
CONTACT: Bimini Capital Management, Inc.
Robert E. Cauley, 772-231-1400
Chairman and Chief Executive Officer
www.biminicapital.com
Bimini Capital Management (QB) (USOTC:BMNM)
Gráfica de Acción Histórica
De May 2024 a Jun 2024
Bimini Capital Management (QB) (USOTC:BMNM)
Gráfica de Acción Histórica
De Jun 2023 a Jun 2024