Bimini Capital Management, Inc.
|
(Exact name of registrant as specified in its charter)
|
Maryland
|
001-32171
|
72-1571637
|
(State or Other Jurisdiction of Incorporation)
|
(Commission File Number)
|
(IRS Employer Identification No.)
|
☐
|
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))
|
Date: March 7, 2018
|
BIMINI CAPITAL MANAGEMENT, INC
|
|
By:
|
/s/ Robert E. Cauley
|
|
Robert E. Cauley
|
||
Chairman and Chief Executive Officer
|
·
|
Net loss of $3.3 million, or $0.26 per common share
|
·
|
Book value per share of $4.13
|
·
|
Company to discuss results on Tuesday, May 8, 2018, at 10:00 AM ET
|
Portfolio Activity for the Quarter
|
||||||||||||||||||||
Structured Security Portfolio
|
||||||||||||||||||||
Pass-Through
|
Interest-Only
|
Inverse Interest
|
||||||||||||||||||
Portfolio
|
Securities
|
Only Securities
|
Sub-total
|
Total
|
||||||||||||||||
Market Value - December 31, 2017
|
$
|
207,178,811
|
$
|
1,476,697
|
$
|
1,036,624
|
$
|
2,513,321
|
$
|
209,692,132
|
||||||||||
Securities purchased
|
5,080,712
|
-
|
-
|
-
|
5,080,712
|
|||||||||||||||
Return of investment
|
n/a
|
(174,294
|
)
|
(62,109
|
)
|
(236,403
|
)
|
(236,403
|
)
|
|||||||||||
Pay-downs
|
(4,827,689
|
)
|
n/a
|
n/a
|
n/a
|
(4,827,689
|
)
|
|||||||||||||
Premium lost due to pay-downs
|
(357,075
|
)
|
n/a
|
n/a
|
n/a
|
(357,075
|
)
|
|||||||||||||
Mark to market (losses) gains
|
(4,681,273
|
)
|
222,142
|
(63,600
|
)
|
158,542
|
(4,522,731
|
)
|
||||||||||||
Market Value - March 31, 2018
|
$
|
202,393,486
|
$
|
1,524,545
|
$
|
910,915
|
$
|
2,435,460
|
$
|
204,828,946
|
Capital Allocation
|
||||||||||||||||||||
Structured Security Portfolio
|
||||||||||||||||||||
Pass-Through
|
Interest-Only
|
Inverse Interest
|
||||||||||||||||||
Portfolio
|
Securities
|
Only Securities
|
Sub-total
|
Total
|
||||||||||||||||
March 31, 2018
|
||||||||||||||||||||
Market value
|
$
|
202,393,486
|
$
|
1,524,545
|
$
|
910,915
|
$
|
2,435,460
|
$
|
204,828,946
|
||||||||||
Cash equivalents and restricted cash(1)
|
5,766,540
|
-
|
-
|
-
|
5,766,540
|
|||||||||||||||
Repurchase agreement obligations
|
(193,819,649
|
)
|
-
|
-
|
-
|
(193,819,649
|
)
|
|||||||||||||
Total(2)
|
$
|
14,340,377
|
$
|
1,524,545
|
$
|
910,915
|
$
|
2,435,460
|
$
|
16,775,837
|
||||||||||
% of Total
|
85.5
|
%
|
9.1
|
%
|
5.4
|
%
|
14.5
|
%
|
100.0
|
%
|
||||||||||
December 31, 2017
|
||||||||||||||||||||
Market value
|
$
|
207,178,811
|
$
|
1,476,697
|
$
|
1,036,624
|
$
|
2,513,321
|
$
|
209,692,132
|
||||||||||
Cash equivalents and restricted cash(1)
|
8,619,350
|
-
|
-
|
-
|
8,619,350
|
|||||||||||||||
Repurchase agreement obligations
|
(200,182,751
|
)
|
-
|
-
|
-
|
(200,182,751
|
)
|
|||||||||||||
Total(2)
|
$
|
15,615,410
|
$
|
1,476,697
|
$
|
1,036,624
|
$
|
2,513,321
|
$
|
18,128,731
|
||||||||||
% of Total
|
86.1
|
%
|
8.2
|
%
|
5.7
|
%
|
13.9
|
%
|
100.0
|
%
|
(1)
|
Amount excludes restricted cash of $118,430 and $133,510 at March 31, 2018 and December 31, 2017, respectively, related to trust preferred debt funding hedges.
|
(2)
|
Invested capital includes the value of the MBS portfolio and cash equivalents and restricted cash, reduced by repurchase agreement borrowings.
|
Returns for the Quarter Ended March 31, 2018
|
||||||||||||||||||||
Structured Security Portfolio
|
||||||||||||||||||||
Pass-Through
|
Interest-Only
|
Inverse Interest
|
||||||||||||||||||
Portfolio
|
Securities
|
Only Securities
|
Sub-total
|
Total
|
||||||||||||||||
Interest income (net of repo cost)
|
$
|
1,244,457
|
$
|
1,576
|
$
|
24,967
|
$
|
26,543
|
$
|
1,271,000
|
||||||||||
Realized and unrealized (losses) gains
|
(5,038,348
|
)
|
222,142
|
(63,600
|
)
|
158,542
|
(4,879,806
|
)
|
||||||||||||
Hedge gains(1)
|
1,325,687
|
n/a
|
n/a
|
n/a
|
1,325,687
|
|||||||||||||||
Total Return
|
$
|
(2,468,204
|
)
|
$
|
223,718
|
$
|
(38,633
|
)
|
$
|
185,085
|
$
|
(2,283,119
|
)
|
|||||||
Beginning capital allocation
|
$
|
15,615,410
|
$
|
1,476,697
|
$
|
1,036,624
|
$
|
2,513,321
|
$
|
18,128,731
|
||||||||||
Return on invested capital for the quarter(2)
|
(15.8
|
)%
|
15.1
|
%
|
(3.7
|
)%
|
7.4
|
%
|
(12.6
|
)%
|
(1)
|
Excludes gains of approximately $415,000 associated with trust preferred funding hedges.
|
(2)
|
Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage.
|
PT
|
Structured
|
|||||||||||
MBS Sub-
|
MBS Sub-
|
Total
|
||||||||||
Three Months Ended
|
Portfolio
|
Portfolio
|
Portfolio
|
|||||||||
March 31, 2018
|
7.2
|
16.8
|
8.6
|
|||||||||
December 31, 2017
|
7.2
|
16.9
|
8.8
|
|||||||||
September 30, 2017
|
5.2
|
18.8
|
8.3
|
|||||||||
June 30, 2017
|
5.9
|
20.4
|
9.9
|
|||||||||
March 31, 2017
|
4.8
|
18.8
|
8.8
|
($ in thousands)
|
||||||
Weighted
|
||||||
Percentage
|
Average
|
|||||
of
|
Weighted
|
Maturity
|
||||
Fair
|
Entire
|
Average
|
in
|
Longest
|
||
Asset Category
|
Value
|
Portfolio
|
Coupon
|
Months
|
Maturity
|
|
March 31, 2018
|
||||||
Fixed Rate MBS
|
$
|
202,393
|
98.8%
|
4.20%
|
319
|
1-Jan-48
|
Interest-Only MBS
|
1,525
|
0.8%
|
3.45%
|
227
|
25-Dec-39
|
|
Inverse Interest-Only MBS
|
911
|
0.4%
|
4.70%
|
276
|
25-Apr-41
|
|
Total MBS Portfolio
|
$
|
204,829
|
100.0%
|
4.20%
|
318
|
1-Jan-48
|
December 31, 2017
|
||||||
Fixed Rate MBS
|
$
|
207,179
|
98.8%
|
4.21%
|
321
|
1-Dec-47
|
Interest-Only MBS
|
1,476
|
0.7%
|
3.43%
|
229
|
25-Dec-39
|
|
Inverse Interest-Only MBS
|
1,037
|
0.5%
|
5.01%
|
278
|
25-Apr-41
|
|
Total MBS Portfolio
|
$
|
209,692
|
100.0%
|
4.21%
|
320
|
1-Dec-47
|
($ in thousands)
|
||||||||||||||||
March 31, 2018
|
December 31, 2017
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$
|
179,874
|
87.8
|
%
|
$
|
178,581
|
85.2
|
%
|
||||||||
Freddie Mac
|
24,729
|
12.1
|
%
|
30,896
|
14.7
|
%
|
||||||||||
Ginnie Mae
|
226
|
0.1
|
%
|
215
|
0.1
|
%
|
||||||||||
Total Portfolio
|
$
|
204,829
|
100.0
|
%
|
$
|
209,692
|
100.0
|
%
|
March 31, 2018
|
December 31, 2017
|
|||||||
Weighted Average Pass Through Purchase Price
|
$
|
109.00
|
$
|
109.06
|
||||
Weighted Average Structured Purchase Price
|
$
|
6.02
|
$
|
6.02
|
||||
Weighted Average Pass Through Current Price
|
$
|
104.68
|
$
|
107.13
|
||||
Weighted Average Structured Current Price
|
$
|
7.42
|
$
|
7.06
|
||||
Effective Duration (1)
|
4.712
|
3.832
|
(1)
|
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 4.712 indicates that an interest rate increase of 1.0% would be expected to cause a 4.712% decrease in the value of the MBS in the Company's investment portfolio at March 31, 2018. An effective duration of 3.832 indicates that an interest rate increase of 1.0% would be expected to cause a 3.832% decrease in the value of the MBS in the Company's investment portfolio at December 31, 2017. These figures include the structured securities in the portfolio but not the effect of the Company's funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
|
($ in thousands)
|
|||||||||
Repurchase Agreement Obligations
|
|||||||||
Weighted
|
Weighted
|
||||||||
Total
|
Average
|
Average
|
|||||||
Outstanding
|
% of
|
Borrowing
|
Amount
|
Maturity
|
|||||
Counterparty
|
Balances
|
Total
|
Rate
|
at Risk(1)
|
(in Days)
|
||||
ED&F Man Capital Markets, Inc.
|
$
|
76,593
|
39.5%
|
1.96%
|
$
|
4,607
|
34
|
||
Citigroup Global Markets, Inc.
|
34,427
|
17.8%
|
1.92%
|
2,622
|
34
|
||||
Mirae Asset Securities (USA) Inc.
|
27,731
|
14.3%
|
1.95%
|
1,570
|
27
|
||||
KGS - Alpha Capital Markets, L.P.
|
27,418
|
14.1%
|
1.89%
|
1,466
|
23
|
||||
South Street Securities, LLC
|
26,563
|
13.7%
|
1.92%
|
1,437
|
46
|
||||
JVB Financial Group, LLC
|
1,088
|
0.6%
|
1.82%
|
72
|
13
|
||||
$
|
193,820
|
100.0%
|
1.94%
|
$
|
11,774
|
33
|
(1)
|
Equal to the fair value of securities sold (including accrued interest receivable) and cash posted as collateral, if any, minus the sum of repurchase agreement liabilities, accrued interest payable and securities posted by the counterparty (if any).
|
($ in thousands)
|
||||||||||||||||
As of March 31, 2018
|
||||||||||||||||
Repurchase Agreement Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity(1)
|
||||||||||||
2018
|
$
|
73,333
|
2.03
|
%
|
2.41
|
%
|
$
|
206
|
||||||||
2019
|
100,000
|
2.41
|
%
|
2.69
|
%
|
284
|
||||||||||
2020
|
100,000
|
2.64
|
%
|
2.81
|
%
|
166
|
||||||||||
2021
|
100,000
|
2.80
|
%
|
2.84
|
%
|
39
|
||||||||||
Total / Weighted Average
|
$
|
94,667
|
2.53
|
%
|
2.72
|
%
|
$
|
695
|
($ in thousands)
|
||||||||||||||||
As of March 31, 2018
|
||||||||||||||||
Junior Subordinated Debt Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity(1)
|
||||||||||||
2018
|
$
|
26,000
|
1.71
|
%
|
2.39
|
%
|
$
|
133
|
||||||||
2019
|
26,000
|
1.63
|
%
|
2.69
|
%
|
276
|
||||||||||
2020
|
26,000
|
1.95
|
%
|
2.81
|
%
|
225
|
||||||||||
2021
|
26,000
|
2.22
|
%
|
2.84
|
%
|
162
|
||||||||||
Total / Weighted Average
|
$
|
26,000
|
1.89
|
%
|
2.70
|
%
|
$
|
796
|
(1)
|
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.
|
BIMINI CAPITAL MANAGEMENT, INC.
|
||||||||
CONSOLIDATED BALANCE SHEETS
|
||||||||
(Unaudited - Amounts Subject To Change)
|
||||||||
March 31, 2018
|
December 31, 2017
|
|||||||
ASSETS
|
||||||||
Mortgage-backed securities
|
$
|
204,828,946
|
$
|
209,692,132
|
||||
Cash equivalents and restricted cash
|
5,884,970
|
8,752,860
|
||||||
Investment in Orchid Island Capital, Inc. common stock
|
11,202,665
|
14,105,934
|
||||||
Accrued interest receivable
|
739,221
|
746,121
|
||||||
Retained interests in securitizations
|
271,738
|
653,380
|
||||||
Deferred tax assets, net
|
45,421,066
|
44,524,584
|
||||||
Other assets
|
6,620,449
|
6,113,786
|
||||||
Total Assets
|
$
|
274,969,055
|
$
|
284,588,797
|
||||
LIABILITIES AND STOCKHOLDERS' EQUITY
|
||||||||
Repurchase agreements
|
$
|
193,819,649
|
$
|
200,182,751
|
||||
Junior subordinated notes due to Bimini Capital Trust II
|
26,804,440
|
26,804,440
|
||||||
Other liabilities
|
1,723,618
|
1,909,358
|
||||||
Total Liabilities
|
222,347,707
|
228,896,549
|
||||||
Stockholders' equity
|
52,621,348
|
55,692,248
|
||||||
Total Liabilities and Stockholders' Equity
|
$
|
274,969,055
|
$
|
284,588,797
|
||||
Class A Common Shares outstanding
|
12,743,959
|
12,660,627
|
||||||
Book value per share
|
$
|
4.13
|
$
|
4.40
|
BIMINI CAPITAL MANAGEMENT, INC.
|
||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS
|
||||||||
(Unaudited - Amounts Subject to Change)
|
||||||||
Three Months Ended March 31,
|
||||||||
2018
|
2017
|
|||||||
Advisory services
|
$
|
2,093,465
|
$
|
1,670,001
|
||||
Interest and dividend income
|
2,551,477
|
1,896,091
|
||||||
Interest expense
|
(1,146,599
|
)
|
(575,378
|
)
|
||||
Net revenues
|
3,498,343
|
2,990,714
|
||||||
Losses
|
(6,124,421
|
)
|
(1,737,104
|
)
|
||||
Expenses
|
1,738,978
|
1,599,543
|
||||||
Net Loss before income tax benefit
|
(4,365,056
|
)
|
(345,933
|
)
|
||||
Income tax benefit
|
(1,091,290
|
)
|
(131,716
|
)
|
||||
Net loss
|
$
|
(3,273,766
|
)
|
$
|
(214,217
|
)
|
||
Basic and Diluted Net Income (Loss) Per Share of:
|
||||||||
CLASS A COMMON STOCK
|
$
|
(0.26
|
)
|
$
|
(0.02
|
)
|
||
CLASS B COMMON STOCK
|
$
|
(0.26
|
)
|
$
|
(0.02
|
)
|
Three Months Ended March 31,
|
||||||||
Key Balance Sheet Metrics
|
2018
|
2017
|
||||||
Average MBS(1)
|
$
|
207,260,539
|
$
|
128,097,806
|
||||
Average repurchase agreements(1)
|
197,001,200
|
119,938,271
|
||||||
Average stockholders' equity(1)
|
54,156,798
|
72,043,376
|
||||||
Key Performance Metrics
|
||||||||
Average yield on MBS(2)
|
4.01
|
%
|
4.04
|
%
|
||||
Average cost of funds(2)
|
1.64
|
%
|
0.94
|
%
|
||||
Average economic cost of funds(3)
|
1.96
|
%
|
1.33
|
%
|
||||
Average interest rate spread(4)
|
2.37
|
%
|
3.10
|
%
|
||||
Average economic interest rate spread(5)
|
2.05
|
%
|
2.71
|
%
|
(1)
|
Average MBS, repurchase agreements and stockholders' equity balances are calculated using two data points, the beginning and ending balances.
|
(2)
|
Portfolio yields and costs of funds are calculated based on the average balances of the underlying investment portfolio/repurchase agreement balances and are annualized for the quarterly periods presented.
|
(3)
|
Represents interest cost of our borrowings and the effect of derivative agreements attributed to the period related to hedging activities, divided by average repurchase agreements.
|
(4)
|
Average interest rate spread is calculated by subtracting average cost of funds from average yield on MBS.
|
(5)
|
Average economic interest rate spread is calculated by subtracting average economic cost of funds from average yield on MBS.
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