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Repurchase Agreements
9 Months Ended
Sep. 30, 2012
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements

NOTE 4. REPURCHASE AGREEMENTS

 

As of September 30, 2012, Bimini Capital had outstanding repurchase agreement obligations of approximately $107.1 million with a net weighted average borrowing rate of 0.43%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $113.6 million. As of December 31, 2011, Bimini Capital had outstanding repurchase agreement obligations of approximately $69.5 million with a net weighted average borrowing rate of 0.43%. These agreements were collateralized by MBS with a fair value of approximately $73.3 million.

 

As of September 30, 2012 and December 31, 2011, Bimini Capital's repurchase agreements had remaining maturities as summarized below:

(in thousands)          
  OVERNIGHTBETWEEN 2BETWEEN 31 GREATER   
  (1 DAY ORANDAND THAN  
  LESS)30 DAYS90 DAYS 90 DAYS TOTAL
September 30, 2012          
Fair value of securities pledged, including accrued          
 interest receivable$ -$ 113,649$ -$ -$ 113,649
Repurchase agreement liabilities associated with          
 these securities$ -$ 107,121$ -$ -$ 107,121
Net weighted average borrowing rate -  0.43% -  -  0.43%
December 31, 2011          
Fair value of securities pledged, including accrued          
 interest receivable$ -$ 73,305$ -$ -$ 73,305
Repurchase agreement liabilities associated with          
 these securities$ -$ 69,528$ -$ -$ 69,528
Net weighted average borrowing rate -  0.43% -  -  0.43%

Summary information regarding the Company's amounts at risk with individual counterparties greater than 10% of the Company's equity at September 30, 2012 and December 31, 2011 is as follows:

(in thousands)   
   AmountWeighted Average Maturity of Repurchase
Repurchase Agreement Counterparties at Risk(1)Agreements in Days
September 30, 2012   
 Citigroup Global Markets, Inc.$ 1,699 23
 CRT Capital Group LLC  1,491 18
 South Street Securities, LLC  1,026 20
 SunTrust Robinson Humphrey, Inc.  1,167 17
 KGS - Alpha Capital Markets, L.P.  651 17
December 31, 2011   
 Nomura Securities International, Inc.$ 3,474 27

  • Equal to the fair value of securities sold, cash posted as collateral and accrued interest receivable, minus the sum of repurchase agreement liabilities and accrued interest payable.

 

On October 31, 2011, MF Global Holding Ltd. (“MF”) filed for bankruptcy protection under Chapter 11 of the U.S. Bankruptcy Code. As of September 30, 2011, a subsidiary of MF, MF Global, Inc. was the Company's largest repurchase agreement funding provider and the Company had approximately $2.3 million at risk under such agreements. As of December 31, 2011 and September 30, 2012, the Company had no outstanding funding arrangements in place with MF under repurchase agreements. All repurchase agreements in place at September 30, 2011, have been terminated and all pledged assets have been returned. As of November 2, 2012, one reverse-repurchase agreement with MF has yet to be fully unwound and the Company has not received funds which are owed by MF to the Company in the amount of approximately $343,000. During 2011, the Company established a reserve of $300,000 against this balance, which still exists at September 30, 2012. The Company believes it is entitled to these funds; however, given the fact that MF is in bankruptcy, it is not known if or when the funds will be received.