|
|||
Bimini Capital Management, Inc.
|
|||
(Exact name of registrant as specified in its charter)
|
|||
Maryland
|
72-1571637
|
||
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
Large accelerated filer
|
☐
|
Accelerated filer
|
☐
|
Non-accelerated filer
|
¨
(Do not check if a smaller reporting company)
|
Smaller reporting company
|
☒
|
|
|
Emerging growth company
|
☐
|
Title of each Class
|
Latest Practicable Date
|
Shares Outstanding
|
|||
Class A Common Stock, $0.001 par value
|
May 10, 2019
|
12,708,555
|
|||
Class B Common Stock, $0.001 par value
|
May 10, 2019
|
31,938
|
|||
Class C Common Stock, $0.001 par value
|
May 10, 2019
|
31,938
|
Page
|
||||
PART I. FINANCIAL INFORMATION
|
||||
ITEM 1. Financial Statements
|
1
|
|||
Condensed Consolidated Balance Sheets (unaudited)
|
1
|
|||
Condensed Consolidated Statements of Operations (unaudited)
|
2
|
|||
Condensed Consolidated Statement of Stockholders’ Equity (unaudited)
|
3
|
|||
Condensed Consolidated Statements of Cash Flows (unaudited)
|
4
|
|||
Notes to Condensed Consolidated Financial Statements
|
5
|
|||
ITEM 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
24
|
|||
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk
|
44
|
|||
ITEM 4. Controls and Procedures
|
44
|
|||
PART II. OTHER INFORMATION
|
||||
ITEM 1. Legal Proceedings
|
45
|
|||
ITEM 1A. Risk Factors
|
45
|
|||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
45
|
|||
ITEM 3. Defaults Upon Senior Securities
|
45
|
|||
ITEM 4. Mine Safety Disclosures
|
45
|
|||
ITEM 5. Other Information
|
45
|
|||
ITEM 6. Exhibits
|
56
|
|||
SIGNATURES
|
47
|
(in thousands)
|
||||||||
March 31, 2019
|
December 31, 2018
|
|||||||
Cash and cash equivalents
|
$
|
5,003,253
|
$
|
4,947,801
|
||||
Restricted cash
|
1,783,440
|
1,292,687
|
||||||
Total cash, cash equivalents and restricted cash
|
$
|
6,786,693
|
$
|
6,240,488
|
·
|
One-twelfth of 1.5% of the first $250 million of Orchid’s month-end equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of Orchid’s month-end equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of Orchid’s month-end equity that is greater than $500 million.
|
(in thousands)
|
||||||||
2019
|
2018
|
|||||||
Management fee
|
$
|
1,285
|
$
|
1,712
|
||||
Allocated overhead
|
322
|
381
|
||||||
Total
|
$
|
1,607
|
$
|
2,093
|
(in thousands)
|
||||||||
March 31, 2019
|
December 31, 2018
|
|||||||
Fixed-rate MBS
|
$
|
209,262
|
$
|
209,675
|
||||
Interest-Only MBS
|
1,703
|
2,021
|
||||||
Inverse Interest-Only MBS
|
676
|
728
|
||||||
Total
|
$
|
211,641
|
$
|
212,424
|
($ in thousands)
|
||||||||||||||||||||
OVERNIGHT
|
BETWEEN 2
|
BETWEEN 31
|
GREATER
|
|||||||||||||||||
(1 DAY OR
|
AND
|
AND
|
THAN
|
|||||||||||||||||
LESS)
|
30 DAYS
|
90 DAYS
|
90 DAYS
|
TOTAL
|
||||||||||||||||
March 31, 2019
|
||||||||||||||||||||
Fair value of securities pledged, including accrued
|
||||||||||||||||||||
interest receivable
|
$
|
1,844
|
$
|
97,966
|
$
|
112,534
|
$
|
-
|
$
|
212,344
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
1,374
|
$
|
91,861
|
$
|
105,911
|
$
|
-
|
$
|
199,146
|
||||||||||
Net weighted average borrowing rate
|
2.99
|
%
|
2.76
|
%
|
2.66
|
%
|
-
|
2.71
|
%
|
|||||||||||
December 31, 2018
|
||||||||||||||||||||
Fair value of securities pledged, including accrued
|
||||||||||||||||||||
interest receivable
|
$
|
-
|
$
|
107,876
|
$
|
105,251
|
$
|
-
|
$
|
213,127
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
101,327
|
$
|
99,069
|
$
|
-
|
$
|
200,396
|
||||||||||
Net weighted average borrowing rate
|
-
|
2.56
|
%
|
2.56
|
%
|
-
|
2.56
|
%
|
($ in thousands)
|
||||||||||||
% of
|
Weighted
|
|||||||||||
Stockholders'
|
Average
|
|||||||||||
Amount
|
Equity
|
Maturity
|
||||||||||
Repurchase Agreement Counterparties
|
at Risk
|
at Risk
|
(in Days)
|
|||||||||
March 31, 2019
|
||||||||||||
ED&F Man Capital Markets Inc.
|
$
|
4,564
|
14.9
|
%
|
25
|
|||||||
Mirae Asset Securities (USA) Inc.
|
3,418
|
11.2
|
%
|
43
|
||||||||
December 31, 2018
|
||||||||||||
ED&F Man Capital Markets Inc.
|
$
|
4,037
|
13.9
|
%
|
17
|
|||||||
Mirae Asset Securities (USA) Inc.
|
3,506
|
12.1
|
%
|
40
|
(in thousands)
|
|||||||||
Derivative Instruments and Related Accounts
|
Balance Sheet Location
|
March 31, 2019
|
December 31, 2018
|
||||||
Liabilities
|
|||||||||
TBA Securities
|
Other liabilities
|
$
|
1,064
|
$
|
938
|
||||
Total derivative liabilities, at fair value
|
$
|
1,064
|
$
|
938
|
|||||
Margin Balances Posted to (from) Counterparties
|
|||||||||
Futures contracts
|
Restricted cash
|
$
|
616
|
$
|
520
|
||||
TBA securities
|
Restricted cash
|
1,167
|
543
|
||||||
Total margin balances on derivative contracts
|
$
|
1,783
|
$
|
1,063
|
($ in thousands)
|
||||||||||||||||
As of March 31, 2019
|
||||||||||||||||
Repurchase Agreement Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2019
|
$
|
133,333
|
2.63
|
%
|
2.47
|
%
|
$
|
(160
|
)
|
|||||||
2020
|
150,000
|
2.84
|
%
|
2.21
|
%
|
(947
|
)
|
|||||||||
2021
|
100,000
|
2.80
|
%
|
2.13
|
%
|
(669
|
)
|
|||||||||
Total / Weighted Average
|
$
|
127,273
|
2.77
|
%
|
2.26
|
%
|
$
|
(1,776
|
)
|
($ in thousands)
|
||||||||||||||||
As of March 31, 2019
|
||||||||||||||||
Junior Subordinated Debt Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2019
|
$
|
26,000
|
1.68
|
%
|
2.48
|
%
|
$
|
157
|
||||||||
2020
|
19,500
|
1.92
|
%
|
2.23
|
%
|
60
|
||||||||||
Total / Weighted Average
|
$
|
22,286
|
1.80
|
%
|
2.35
|
%
|
$
|
217
|
($ in thousands)
|
||||||||||||||||
As of December 31, 2018
|
||||||||||||||||
Repurchase Agreement Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2019
|
$
|
125,000
|
2.56
|
%
|
2.67
|
%
|
$
|
139
|
||||||||
2020
|
150,000
|
2.84
|
%
|
2.49
|
%
|
(523
|
)
|
|||||||||
2021
|
100,000
|
2.80
|
%
|
2.46
|
%
|
(346
|
)
|
|||||||||
Total / Weighted Average
|
$
|
125,000
|
2.74
|
%
|
2.54
|
%
|
$
|
(730
|
)
|
($ in thousands)
|
||||||||||||||||
As of December 31, 2018
|
||||||||||||||||
Junior Subordinated Debt Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2019
|
$
|
26,000
|
1.63
|
%
|
2.68
|
%
|
$
|
271
|
||||||||
2020
|
26,000
|
1.95
|
%
|
2.49
|
%
|
142
|
||||||||||
2021
|
26,000
|
2.22
|
%
|
2.46
|
%
|
61
|
||||||||||
Total / Weighted Average
|
$
|
26,000
|
1.93
|
%
|
2.54
|
%
|
$
|
474
|
(1)
|
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.
|
($ in thousands)
|
|||||||||
Notional
|
Net
|
||||||||
Amount
|
Cost
|
Market
|
Carrying
|
||||||
Long (Short)
(1)
|
Basis
(2)
|
Value
(3)
|
Value
(4)
|
||||||
March 31, 2019
|
|||||||||
30-Year TBA Securities:
|
|||||||||
3.0%
|
$
|
(50,000)
|
$
|
(48,719)
|
$
|
(49,783)
|
$
|
(1,064)
|
|
December 31, 2018
|
|||||||||
30-Year TBA Securities:
|
|||||||||
3.0%
|
$
|
(50,000)
|
$
|
(47,844)
|
$
|
(48,782)
|
$
|
(938)
|
(1)
|
Notional amount represents the par value (or principal balance) of the underlying Agency MBS.
|
(2)
|
Cost basis represents the forward price to be paid (received) for the underlying Agency MBS.
|
(3)
|
Market value represents the current market value of the TBA securities (or of the underlying Agency MBS) as of period-end.
|
(4)
|
Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and
is reported in derivative assets (liabilities), at fair value in our consolidated balance sheets.
|
(in thousands)
|
||||||||
2019
|
2018
|
|||||||
Eurodollar futures contracts (short positions)
|
||||||||
Repurchase agreement funding hedges
|
$
|
(969
|
)
|
$
|
1,090
|
|||
Junior subordinated debt funding hedges
|
(220
|
)
|
415
|
|||||
T-Note futures contracts (short positions)
|
||||||||
Repurchase agreement funding hedges
|
-
|
759
|
||||||
Net TBA securities
|
(1,068
|
)
|
(523
|
)
|
||||
(Losses) gains on derivative instruments
|
$
|
(2,257
|
)
|
$
|
1,741
|
($ in thousands)
|
||||||||||||||||||||||||
March 31, 2019
|
December 31, 2018
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Counterparties
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
PT MBS - at fair value
|
$
|
209,262
|
$
|
-
|
$
|
209,262
|
$
|
209,675
|
$
|
-
|
$
|
209,675
|
||||||||||||
Structured MBS - at fair value
|
2,320
|
-
|
2,320
|
2,675
|
-
|
2,675
|
||||||||||||||||||
Accrued interest on pledged securities
|
762
|
-
|
762
|
777
|
-
|
777
|
||||||||||||||||||
Restricted cash
|
-
|
1,783
|
1,783
|
230
|
1,063
|
1,293
|
||||||||||||||||||
Total
|
$
|
212,344
|
$
|
1,783
|
$
|
214,127
|
$
|
213,357
|
$
|
1,063
|
$
|
214,420
|
($ in thousands)
|
||||||||
Assets Pledged to Bimini
|
March 31, 2019
|
December 31, 2018
|
||||||
PT MBS - at fair value
|
$
|
698
|
$
|
-
|
||||
Cash
|
305
|
371
|
||||||
Total
|
$
|
1,003
|
$
|
371
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Liabilities
|
||||||||||||||||||||||||
Gross Amount Not Offset in the
|
||||||||||||||||||||||||
Net Amount
|
Consolidated Balance Sheet
|
|||||||||||||||||||||||
Gross Amount
|
of Liabilities
|
Financial
|
||||||||||||||||||||||
Gross Amount
|
Offset in the
|
Presented in the
|
Instruments
|
Cash
|
||||||||||||||||||||
of Recognized
|
Consolidated
|
Consolidated
|
Posted as
|
Posted as
|
Net
|
|||||||||||||||||||
Liabilities
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
March 31, 2019
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
199,146
|
$
|
-
|
$
|
199,146
|
$
|
(199,146
|
)
|
$
|
-
|
$
|
-
|
|||||||||||
TBA securities
|
1,064
|
-
|
1,064
|
-
|
(1,167
|
)
|
(103
|
)
|
||||||||||||||||
$
|
200,210
|
$
|
-
|
$
|
200,210
|
$
|
(199,146
|
)
|
$
|
(1,167
|
)
|
$
|
(103
|
)
|
||||||||||
December 31, 2018
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
200,396
|
$
|
-
|
$
|
200,396
|
$
|
(200,166
|
)
|
$
|
(230
|
)
|
$
|
-
|
||||||||||
TBA securities
|
938
|
-
|
938
|
-
|
(543
|
)
|
395
|
|||||||||||||||||
$
|
201,334
|
$
|
-
|
$
|
201,334
|
$
|
(200,166
|
)
|
$
|
(773
|
)
|
$
|
395
|
Shares Issued Related To:
|
2019
|
2018
|
||||||
Shares sold directly to employees
|
-
|
83,332
|
||||||
Total shares of Class A Common Stock issued
|
-
|
83,332
|
($ in thousands, except per share data)
|
||||||||||||||||
Three Months Ended March 31,
|
||||||||||||||||
2019
|
2018
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Fair Value
|
Fair Value
|
|||||||||||||||
Shares
|
Per Share
|
Shares
|
Per Share
|
|||||||||||||
Unvested, beginning of period
|
-
|
$
|
-
|
41,000
|
$
|
0.84
|
||||||||||
Granted
|
-
|
-
|
-
|
-
|
||||||||||||
Vested and issued
|
-
|
-
|
-
|
-
|
||||||||||||
Unvested, end of period
|
-
|
$
|
-
|
41,000
|
$
|
0.84
|
||||||||||
Compensation expense during the period
|
$
|
-
|
$
|
3
|
||||||||||||
Unrecognized compensation expense at period end
|
$
|
-
|
$
|
8
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
-
|
0.7
|
||||||||||||||
Intrinsic value of unvested shares at period end
|
$
|
-
|
$
|
96
|
(in thousands, except per-share information)
|
||||||||
2019
|
2018
|
|||||||
Basic and diluted EPS per Class A common share:
|
||||||||
Income (loss) attributable to Class A common shares:
|
||||||||
Basic and diluted
|
$
|
1,615
|
$
|
(3,266
|
)
|
|||
Weighted average common shares:
|
||||||||
Class A common shares outstanding at the balance sheet date
|
12,709
|
12,744
|
||||||
Effect of weighting
|
-
|
(14
|
)
|
|||||
Weighted average shares-basic and diluted
|
12,709
|
12,730
|
||||||
Income (loss) per Class A common share:
|
||||||||
Basic and diluted
|
$
|
0.13
|
$
|
(0.26
|
)
|
(in thousands, except per-share information)
|
||||||||
2019
|
2018
|
|||||||
Basic and diluted EPS per Class B common share:
|
||||||||
Income (loss) attributable to Class B common shares:
|
||||||||
Basic and diluted
|
$
|
4
|
$
|
(8
|
)
|
|||
Weighted average common shares:
|
||||||||
Class B common shares outstanding at the balance sheet date
|
32
|
32
|
||||||
Effect of weighting
|
-
|
-
|
||||||
Weighted average shares-basic and diluted
|
32
|
32
|
||||||
Income (loss) per Class B common share:
|
||||||||
Basic and diluted
|
$
|
0.13
|
$
|
(0.26
|
)
|
·
|
Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active
markets (which include exchanges and over-the-counter markets with sufficient volume),
|
·
|
Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted
prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and
|
·
|
Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in
the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques
typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.
|
(in thousands)
|
||||||||||||||||
Quoted Prices
|
||||||||||||||||
in Active
|
Significant
|
|||||||||||||||
Markets for
|
Other
|
Significant
|
||||||||||||||
Identical
|
Observable
|
Unobservable
|
||||||||||||||
Fair Value
|
Assets
|
Inputs
|
Inputs
|
|||||||||||||
Measurements
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
|||||||||||||
March 31, 2019
|
||||||||||||||||
Mortgage-backed securities
|
$
|
211,641
|
$
|
-
|
$
|
211,641
|
$
|
-
|
||||||||
Orchid Island Capital, Inc. common stock
|
10,002
|
10,002
|
-
|
-
|
||||||||||||
TBA securities
|
(1,064
|
)
|
-
|
(1,064
|
)
|
-
|
||||||||||
December 31, 2018
|
||||||||||||||||
Mortgage-backed securities
|
$
|
212,424
|
$
|
-
|
$
|
212,424
|
$
|
-
|
||||||||
Orchid Island Capital, Inc. common stock
|
9,713
|
9,713
|
-
|
-
|
||||||||||||
TBA securities
|
(938
|
)
|
-
|
(938
|
)
|
-
|
(in thousands)
|
||||||||
Retained Interests in
Securitizations
|
||||||||
Three Months Ended March 31,
|
||||||||
2019
|
2018
|
|||||||
Balances, January 1
|
$
|
-
|
$
|
653
|
||||
Gain (loss) included in earnings
|
275
|
(83
|
)
|
|||||
Collections
|
(275
|
)
|
(298
|
)
|
||||
Balances, March 31
|
$
|
-
|
$
|
272
|
(in thousands)
|
||||||||||||||||||||
Asset
|
Investment
|
|||||||||||||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||||||||||||
2019
|
||||||||||||||||||||
Advisory services, external customers
|
$
|
1,607
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,607
|
||||||||||
Advisory services, other operating segments
(1)
|
68
|
-
|
-
|
(68
|
)
|
-
|
||||||||||||||
Interest and dividend income
|
-
|
2,555
|
-
|
-
|
2,555
|
|||||||||||||||
Interest expense
|
-
|
(1,313
|
)
|
(406
|
)
(2)
|
-
|
(1,719
|
)
|
||||||||||||
Net revenues
|
1,675
|
1,242
|
(406
|
)
|
(68
|
)
|
2,443
|
|||||||||||||
Other
|
-
|
1,304
|
55
|
(3)
|
-
|
1,359
|
||||||||||||||
Operating expenses
(4)
|
(630
|
)
|
(991
|
)
|
-
|
-
|
(1,621
|
)
|
||||||||||||
Intercompany expenses
(1)
|
-
|
(68
|
)
|
-
|
68
|
-
|
||||||||||||||
Income (loss) before income taxes
|
$
|
1,045
|
$
|
1,487
|
$
|
(351
|
)
|
$
|
-
|
$
|
2,181
|
|||||||||
Asset
|
Investment
|
|||||||||||||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||||||||||||
2018
|
||||||||||||||||||||
Advisory services, external customers
|
$
|
2,093
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,093
|
||||||||||
Advisory services, other operating segments
(1)
|
58
|
-
|
-
|
(58
|
)
|
-
|
||||||||||||||
Interest and dividend income
|
-
|
2,551
|
-
|
-
|
2,551
|
|||||||||||||||
Interest expense
|
-
|
(809
|
)
|
(337
|
)
(2)
|
-
|
(1,146
|
)
|
||||||||||||
Net revenues
|
2,151
|
1,742
|
(337
|
)
|
(58
|
)
|
3,498
|
|||||||||||||
Other
|
-
|
(6,457
|
)
|
333
|
(3)
|
-
|
(6,124
|
)
|
||||||||||||
Operating expenses
(4)
|
(761
|
)
|
(978
|
)
|
-
|
-
|
(1,739
|
)
|
||||||||||||
Intercompany expenses
(1)
|
-
|
(58
|
)
|
-
|
58
|
-
|
||||||||||||||
Income (loss) before income taxes
|
$
|
1,390
|
$
|
(5,751
|
)
|
$
|
(4
|
)
|
$
|
-
|
$
|
(4,365
|
)
|
(1)
|
Includes fees paid by Royal Palm to Bimini Advisors for advisory services.
|
(2)
|
Includes interest on junior subordinated note.
|
(3)
|
Includes gains (losses) on Eurodollar futures contracts entered into as a hedge on junior subordinated notes and fair value
adjustments on retained interests in securitizations.
|
(4)
|
Corporate expenses are allocated based on each segment’s proportional share of total revenues.
|
(in thousands)
|
||||||||||||||||
Asset
|
Investment
|
|||||||||||||||
Management
|
Portfolio
|
Corporate
|
Total
|
|||||||||||||
March 31, 2019
|
$
|
1,507
|
$
|
245,045
|
$
|
12,241
|
$
|
258,793
|
||||||||
December 31, 2018
|
1,488
|
245,866
|
12,046
|
259,400
|
·
|
interest rate trends;
|
·
|
the difference between Agency MBS yields and our funding and hedging costs;
|
·
|
competition for investments in Agency MBS;
|
·
|
actions taken by the U.S. government, including the presidential administration, the Federal Reserve (the “Fed”), the Federal Open
Market Committee (the “FOMC”) and the U.S. Treasury;
|
·
|
prepayment rates on mortgages underlying our Agency MBS, and credit trends insofar as they affect prepayment rates; and
|
·
|
the equity markets and the ability of Orchid to raise additional capital; and
|
·
|
other market developments.
|
·
|
our degree of leverage;
|
·
|
our access to funding and borrowing capacity;
|
·
|
our borrowing costs;
|
·
|
our hedging activities;
|
·
|
the market value of our investments;
|
·
|
the requirements to qualify for a registration exemption under the Investment Company Act;
|
·
|
our ability to use net operating loss carryforwards and net capital loss carryforwards to reduce our taxable income;
|
·
|
the impact of possible future changes in tax laws; and
|
·
|
our ability to manage the portfolio of Orchid and maintain our role as manager.
|
(in thousands)
|
||||||||||||
Three Months Ended March 31,
|
||||||||||||
2019
|
2018
|
Change
|
||||||||||
Advisory services revenues
|
$
|
1,607
|
$
|
2,093
|
$
|
(486
|
)
|
|||||
Interest and dividend income
|
2,555
|
2,551
|
4
|
|||||||||
Interest expense
|
(1,719
|
)
|
(1,146
|
)
|
(573
|
)
|
||||||
Net revenues
|
2,443
|
3,498
|
(1,055
|
)
|
||||||||
Other income (expense)
|
1,359
|
(6,124
|
)
|
7,483
|
||||||||
Expenses
|
(1,621
|
)
|
(1,739
|
)
|
118
|
|||||||
Net income (loss) before income tax provision (benefit)
|
2,181
|
(4,365
|
)
|
6,546
|
||||||||
Income tax provision (benefit)
|
562
|
(1,091
|
)
|
1,653
|
||||||||
Net income (loss)
|
$
|
1,619
|
$
|
(3,274
|
)
|
$
|
4,893
|
Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations
(GAAP)
|
||||||||||||
(in thousands)
|
||||||||||||
Recognized in
|
||||||||||||
Statement of
|
TBA
|
|||||||||||
Operations
|
Securities
|
Futures
|
||||||||||
(GAAP)
|
Income (Loss)
|
Contracts
|
||||||||||
Three Months Ended
|
||||||||||||
March 31, 2019
|
$
|
(2,257
|
)
|
$
|
(1,068
|
)
|
$
|
(1,189
|
)
|
|||
December 31, 2018
|
(3,835
|
)
|
(1,214
|
)
|
(2,621
|
)
|
||||||
September 30, 2018
|
948
|
349
|
599
|
|||||||||
June 30, 2018
|
870
|
194
|
676
|
|||||||||
March 31, 2018
|
1,741
|
(523
|
)
|
2,264
|
Gains (Losses) on Derivative Instruments
|
||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Attributed to Current
Period (Non-GAAP)
|
Attributed to Future
Periods (Non-GAAP)
|
|||||||||||||||||||||||
Junior
|
Junior
|
|||||||||||||||||||||||
Repurchase
|
Subordinated
|
Repurchase
|
Subordinated
|
|||||||||||||||||||||
Agreements
|
Debt
|
Total
|
Agreements
|
Debt
|
Total
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
March 31, 2019
|
$
|
5
|
$
|
65
|
$
|
70
|
$
|
(974
|
)
|
$
|
(285
|
)
|
$
|
(1,259
|
)
|
|||||||||
December 31, 2018
|
134
|
68
|
202
|
(2,318
|
)
|
(505
|
)
|
(2,823
|
)
|
|||||||||||||||
September 30, 2018
|
(35
|
)
|
11
|
(24
|
)
|
513
|
110
|
623
|
||||||||||||||||
June 30, 2018
|
(108
|
)
|
(19
|
)
|
(127
|
)
|
642
|
161
|
803
|
|||||||||||||||
March 31, 2018
|
(154
|
)
|
(33
|
)
|
(187
|
)
|
2,003
|
448
|
2,451
|
Economic Net Portfolio Interest Income
|
||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Interest Expense on
Repurchase Agreements
|
Net Portfolio
|
|||||||||||||||||||||||
Effect of
|
Interest Income
|
|||||||||||||||||||||||
Interest
|
GAAP
|
Non-GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||
Income
|
Basis
|
Hedges
(1)
|
Basis
(2)
|
Basis
|
Basis
(3)
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
March 31, 2019
|
$
|
2,190
|
$
|
1,313
|
$
|
5
|
$
|
1,308
|
$
|
877
|
$
|
882
|
||||||||||||
December 31, 2018
|
2,227
|
1,235
|
134
|
1,101
|
992
|
1,126
|
||||||||||||||||||
September 30, 2018
|
2,054
|
1,049
|
(35
|
)
|
1,084
|
1,005
|
970
|
|||||||||||||||||
June 30, 2018
|
2,001
|
938
|
(108
|
)
|
1,046
|
1,063
|
955
|
|||||||||||||||||
March 31, 2018
|
2,080
|
808
|
(154
|
)
|
962
|
1,272
|
1,118
|
(1)
|
Reflects the effect of derivative instrument hedges for only the period presented.
|
(2)
|
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest
expense.
|
(3)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest
income.
|
Economic Net Interest Income
|
||||||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||||||
Net Portfolio
|
Interest Expense on Junior Subordinated Notes
|
|||||||||||||||||||||||||||
Interest Income
|
Effect of
|
Net Interest Income
|
||||||||||||||||||||||||||
GAAP
|
Economic
|
GAAP
|
Non-GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||||||||
Basis
|
Basis
(1)
|
Basis
|
Hedges
(2)
|
Basis
(3)
|
Basis
|
Basis
(4)
|
||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||
March 31, 2019
|
$
|
877
|
$
|
882
|
$
|
406
|
$
|
65
|
$
|
341
|
$
|
471
|
$
|
541
|
||||||||||||||
December 31, 2018
|
992
|
1,126
|
393
|
68
|
325
|
599
|
801
|
|||||||||||||||||||||
September 30, 2018
|
1,005
|
970
|
388
|
11
|
377
|
617
|
593
|
|||||||||||||||||||||
June 30, 2018
|
1,063
|
955
|
372
|
(19
|
)
|
391
|
691
|
564
|
||||||||||||||||||||
March 31, 2018
|
1,272
|
1,118
|
337
|
(33
|
)
|
370
|
935
|
748
|
(1)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest
income.
|
(2)
|
Reflects the effect of derivative instrument hedges for only the period presented.
|
(3)
|
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense.
|
(4)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income.
|
(in thousands)
|
||||||||||||||||||||
Asset
|
Investment
|
|||||||||||||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||||||||||||
2019
|
||||||||||||||||||||
Advisory services, external customers
|
$
|
1,607
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,607
|
||||||||||
Advisory services, other operating segments
(1)
|
68
|
-
|
-
|
(68
|
)
|
-
|
||||||||||||||
Interest and dividend income
|
-
|
2,555
|
-
|
-
|
2,555
|
|||||||||||||||
Interest expense
|
-
|
(1,313
|
)
|
(406
|
)
(2)
|
-
|
(1,719
|
)
|
||||||||||||
Net revenues
|
1,675
|
1,242
|
(406
|
)
|
(68
|
)
|
2,443
|
|||||||||||||
Other
|
-
|
1,304
|
55
|
(3)
|
-
|
1,359
|
||||||||||||||
Operating expenses
(4)
|
(630
|
)
|
(991
|
)
|
-
|
-
|
(1,621
|
)
|
||||||||||||
Intercompany expenses
(1)
|
-
|
(68
|
)
|
-
|
68
|
-
|
||||||||||||||
Income (loss) before income taxes
|
$
|
1,045
|
$
|
1,487
|
$
|
(351
|
)
|
$
|
-
|
$
|
2,181
|
|||||||||
Asset
|
Investment
|
|||||||||||||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||||||||||||
2018
|
||||||||||||||||||||
Advisory services, external customers
|
$
|
2,093
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,093
|
||||||||||
Advisory services, other operating segments
(1)
|
58
|
-
|
-
|
(58
|
)
|
-
|
||||||||||||||
Interest and dividend income
|
-
|
2,551
|
-
|
-
|
2,551
|
|||||||||||||||
Interest expense
|
-
|
(809
|
)
|
(337
|
)
(2)
|
-
|
(1,146
|
)
|
||||||||||||
Net revenues
|
2,151
|
1,742
|
(337
|
)
|
(58
|
)
|
3,498
|
|||||||||||||
Other
|
-
|
(6,457
|
)
|
333
|
(3)
|
-
|
(6,124
|
)
|
||||||||||||
Operating expenses
(4)
|
(761
|
)
|
(978
|
)
|
-
|
-
|
(1,739
|
)
|
||||||||||||
Intercompany expenses
(1)
|
-
|
(58
|
)
|
-
|
58
|
-
|
||||||||||||||
Income (loss) before income taxes
|
$
|
1,390
|
$
|
(5,751
|
)
|
$
|
(4
|
)
|
$
|
-
|
$
|
(4,365
|
)
|
(1)
|
Includes advisory services revenue received by Bimini Advisors from Royal Palm.
|
(2)
|
Includes interest on junior subordinated note.
|
(3)
|
Includes gains (losses) on Eurodollar futures contracts entered into as a hedge on junior subordinated notes and fair value
adjustments on retained interests in securitizations.
|
(4)
|
Corporate expenses are allocated based on each segment’s proportional share of total revenues.
|
(in thousands)
|
||||||||||||||||
Asset
|
Investment
|
|||||||||||||||
Management
|
Portfolio
|
Corporate
|
Total
|
|||||||||||||
March 31, 2019
|
$
|
1,507
|
$
|
245,045
|
$
|
12,241
|
$
|
258,793
|
||||||||
December 31, 2018
|
1,488
|
245,866
|
12,046
|
259,400
|
·
|
One-twelfth of 1.5% of the first $250 million of Orchid’s month-end equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of Orchid’s month-end equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of Orchid’s month-end equity that is greater than $500 million.
|
(in thousands)
|
||||||||||||||||||||
Average
|
Average
|
Advisory Services
|
||||||||||||||||||
Orchid
|
Orchid
|
Management
|
Overhead
|
|||||||||||||||||
Three Months Ended
|
MBS
|
Equity
|
Fee
|
Allocation
|
Total
|
|||||||||||||||
March 31, 2019
|
$
|
3,051,509
|
$
|
363,204
|
$
|
1,285
|
$
|
322
|
$
|
1,607
|
||||||||||
December 31, 2018
|
3,264,230
|
395,911
|
1,404
|
434
|
1,838
|
|||||||||||||||
September 30, 2018
|
3,601,776
|
431,962
|
1,482
|
391
|
1,873
|
|||||||||||||||
June 30, 2018
|
3,717,690
|
469,974
|
1,606
|
361
|
1,967
|
|||||||||||||||
March 31, 2018
|
3,745,298
|
488,906
|
1,712
|
381
|
2,093
|
($ in thousands)
|
||||||||||||||||||||||||||||||||
Average
|
Yield on
|
Average
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||||||||||||
MBS
|
Interest
|
Average
|
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||||||||
Held
(1)
|
Income
(2)
|
MBS
|
Agreements
(1)
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(3)
|
|||||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||||||
March 31, 2019
|
$
|
212,033
|
$
|
2,190
|
4.13
|
%
|
199,771
|
$
|
1,313
|
$
|
1,308
|
2.63
|
%
|
2.62
|
%
|
|||||||||||||||||
December 31, 2018
|
212,317
|
2,227
|
4.20
|
%
|
202,069
|
1,235
|
1,101
|
2.44
|
%
|
2.18
|
%
|
|||||||||||||||||||||
September 30, 2018
|
198,367
|
2,054
|
4.14
|
%
|
189,582
|
1,049
|
1,084
|
2.21
|
%
|
2.29
|
%
|
|||||||||||||||||||||
June 30, 2018
|
194,677
|
2,001
|
4.11
|
%
|
184,621
|
938
|
1,046
|
2.03
|
%
|
2.27
|
%
|
|||||||||||||||||||||
March 31, 2018
|
207,261
|
2,080
|
4.01
|
%
|
197,001
|
808
|
962
|
1.64
|
%
|
1.96
|
%
|
($ in thousands)
|
||||||||||||||||
Net Portfolio
|
Net Portfolio
|
|||||||||||||||
Interest Income
|
Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Basis
|
Basis
(2)
|
Basis
|
Basis
(4)
|
|||||||||||||
Three Months Ended
|
||||||||||||||||
March 31, 2019
|
$
|
877
|
$
|
882
|
1.50
|
%
|
1.51
|
%
|
||||||||
December 31, 2018
|
992
|
1,126
|
1.76
|
%
|
2.02
|
%
|
||||||||||
September 30, 2018
|
1,005
|
970
|
1.93
|
%
|
1.85
|
%
|
||||||||||
June 30, 2018
|
1,063
|
955
|
2.08
|
%
|
1.84
|
%
|
||||||||||
March 31, 2018
|
1,272
|
1,117
|
2.37
|
%
|
2.05
|
%
|
(1)
|
Portfolio yields and costs of borrowings presented in the table above and the tables on page 32 are calculated based on the average
balances of the underlying investment portfolio/repurchase agreement balances and are annualized for the quarterly periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending
balances.
|
(2)
|
Economic interest expense and economic net interest income
presented in the table above and the tables on page 32 include the effect of derivative instrument hedges for only the period presented.
|
(3)
|
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period related to
hedging activities divided by average MBS held.
|
(4)
|
Economic Net Interest Spread is calculated by subtracting average economic cost of funds from yield on average MBS.
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||
Average MBS Held
|
Interest Income
|
Realized Yield on Average MBS
|
||||||||||||||||||||||||||||||||||
PT
|
Structured
|
PT
|
Structured
|
PT
|
Structured
|
|||||||||||||||||||||||||||||||
MBS
|
MBS
|
Total
|
MBS
|
MBS
|
Total
|
MBS
|
MBS
|
Total
|
||||||||||||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||||||||||||||
March 31, 2019
|
$
|
209,469
|
$
|
2,564
|
$
|
212,033
|
$
|
2,143
|
$
|
47
|
$
|
2,190
|
4.09
|
%
|
7.42
|
%
|
4.13
|
%
|
||||||||||||||||||
December 31, 2018
|
209,971
|
2,346
|
212,317
|
2,181
|
46
|
2,227
|
4.15
|
%
|
7.85
|
%
|
4.20
|
%
|
||||||||||||||||||||||||
September 30, 2018
|
196,305
|
2,062
|
198,367
|
2,008
|
46
|
2,054
|
4.09
|
%
|
8.94
|
%
|
4.14
|
%
|
||||||||||||||||||||||||
June 30, 2018
|
192,368
|
2,309
|
194,677
|
1,959
|
42
|
2,001
|
4.07
|
%
|
7.16
|
%
|
4.11
|
%
|
||||||||||||||||||||||||
March 31, 2018
|
204,786
|
2,475
|
207,261
|
2,054
|
26
|
2,080
|
4.01
|
%
|
4.29
|
%
|
4.01
|
%
|
($ in thousands)
|
||||||||||||||||||||
Average
|
||||||||||||||||||||
Balance of
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||
Agreements
|
Basis
|
Basis
|
Basis
|
Basis
|
||||||||||||||||
Three Months Ended
|
||||||||||||||||||||
March 31, 2019
|
$
|
199,771
|
$
|
1,313
|
$
|
1,308
|
2.63
|
%
|
2.62
|
%
|
||||||||||
December 31, 2018
|
202,069
|
1,235
|
1,101
|
2.44
|
%
|
2.18
|
%
|
|||||||||||||
September 30, 2018
|
189,582
|
1,049
|
1,084
|
2.21
|
%
|
2.29
|
%
|
|||||||||||||
June 30, 2018
|
184,621
|
938
|
1,046
|
2.03
|
%
|
2.27
|
%
|
|||||||||||||
March 31, 2018
|
197,001
|
808
|
962
|
1.64
|
%
|
1.96
|
%
|
Average GAAP Cost of Funds
|
Average Economic Cost of Funds
|
|||||||||||||||||||||||
Relative to Average
|
Relative to Average
|
|||||||||||||||||||||||
Average LIBOR
|
One-Month
|
Six-Month
|
One-Month
|
Six-Month
|
||||||||||||||||||||
One-Month
|
Six-Month
|
LIBOR
|
LIBOR
|
LIBOR
|
LIBOR
|
|||||||||||||||||||
Three Months Ended
|
||||||||||||||||||||||||
March 31, 2019
|
2.50
|
%
|
2.77
|
%
|
0.13
|
%
|
(0.14
|
)%
|
0.12
|
%
|
(0.15
|
)%
|
||||||||||||
December 31, 2018
|
2.39
|
%
|
2.74
|
%
|
0.05
|
%
|
(0.30
|
)%
|
(0.21
|
)%
|
(0.56
|
)%
|
||||||||||||
September 30, 2018
|
2.17
|
%
|
2.55
|
%
|
0.04
|
%
|
(0.34
|
)%
|
0.12
|
%
|
(0.26
|
)%
|
||||||||||||
June 30, 2018
|
1.99
|
%
|
2.48
|
%
|
0.04
|
%
|
(0.45
|
)%
|
0.28
|
%
|
(0.21
|
)%
|
||||||||||||
March 31, 2018
|
1.69
|
%
|
2.11
|
%
|
(0.05
|
)%
|
(0.47
|
)%
|
0.27
|
%
|
(0.15
|
)%
|
(in thousands)
|
||||||||||||
2019
|
2018
|
Change
|
||||||||||
Unrealized gains (losses) on MBS
|
$
|
3,052
|
$
|
(4,880
|
)
|
$
|
7,932
|
|||||
(Losses) gains on derivative instruments
|
(2,257
|
)
|
1,741
|
(3,998
|
)
|
|||||||
Gains (losses) on retained interests
|
275
|
(83
|
)
|
358
|
||||||||
Unrealized gains (losses) on Orchid Island Capital, Inc. common stock
|
289
|
(2,903
|
)
|
3,192
|
5 Year
|
10 Year
|
15 Year
|
30 Year
|
Three
|
||||||||||||||||
U.S. Treasury
|
U.S. Treasury
|
Fixed-Rate
|
Fixed-Rate
|
Month
|
||||||||||||||||
Rate
(1)
|
Rate
(1)
|
Mortgage Rate
(2)
|
Mortgage Rate
(2)
|
Libor
(3)
|
||||||||||||||||
March 31, 2019
|
2.24
|
%
|
2.41
|
%
|
3.72
|
%
|
4.27
|
%
|
2.61
|
%
|
||||||||||
December 31, 2018
|
2.51
|
%
|
2.69
|
%
|
4.09
|
%
|
4.64
|
%
|
2.80
|
%
|
||||||||||
September 30, 2018
|
2.95
|
%
|
3.06
|
%
|
4.08
|
%
|
4.63
|
%
|
2.40
|
%
|
||||||||||
June 30, 2018
|
2.73
|
%
|
2.85
|
%
|
4.04
|
%
|
4.57
|
%
|
2.34
|
%
|
||||||||||
March 31, 2018
|
2.56
|
%
|
2.74
|
%
|
3.91
|
%
|
4.44
|
%
|
2.31
|
%
|
(1)
|
Historical 5 Year and 10 U.S. Year Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.
|
(2)
|
Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac’s Primary Mortgage Market Survey.
|
(3)
|
Historical LIBOR is obtained from the Intercontinental Exchange Benchmark Administration Ltd.
|
(in thousands)
|
||||||||||||
2019
|
2018
|
Change
|
||||||||||
Compensation and benefits
|
$
|
1,071
|
$
|
1,066
|
$
|
5
|
||||||
Legal fees
|
26
|
66
|
(40
|
)
|
||||||||
Accounting, auditing and other professional fees
|
113
|
110
|
3
|
|||||||||
Directors’ fees and liability insurance
|
161
|
161
|
-
|
|||||||||
Other G&A expenses
|
250
|
336
|
(86
|
)
|
||||||||
$
|
1,621
|
$
|
1,739
|
$
|
(118
|
)
|
Structured
|
||||||||||||
PT MBS
|
MBS
|
Total
|
||||||||||
Three Months Ended
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
|||||||||
March 31, 2019
|
5.7
|
13.4
|
6.8
|
|||||||||
December 31, 2018
|
5.5
|
11.7
|
6.6
|
|||||||||
September 30, 2018
|
8.6
|
13.5
|
9.5
|
|||||||||
June 30, 2018
|
13.4
|
11.6
|
13.1
|
|||||||||
March 31, 2018
|
7.2
|
16.8
|
8.6
|
($ in thousands)
|
||||||
Weighted
|
||||||
Percentage
|
Average
|
|||||
of
|
Weighted
|
Maturity
|
||||
Fair
|
Entire
|
Average
|
in
|
Longest
|
||
Asset Category
|
Value
|
Portfolio
|
Coupon
|
Months
|
Maturity
|
|
March 31, 2019
|
||||||
Fixed Rate MBS
|
$
|
209,262
|
98.9%
|
4.26%
|
318
|
1-Aug-48
|
Interest-Only MBS
|
1,703
|
0.8%
|
3.69%
|
285
|
15-Jul-48
|
|
Inverse Interest-Only MBS
|
676
|
0.3%
|
4.08%
|
263
|
25-Apr-41
|
|
Total MBS Portfolio
|
$
|
211,641
|
100.0%
|
4.25%
|
322
|
1-Aug-48
|
December 31, 2018
|
||||||
Fixed Rate MBS
|
$
|
209,675
|
98.7%
|
4.26%
|
327
|
1-Aug-48
|
Interest-Only MBS
|
2,021
|
1.0%
|
3.69%
|
293
|
15-Jul-48
|
|
Inverse Interest-Only MBS
|
728
|
0.3%
|
4.06%
|
272
|
25-Apr-41
|
|
Total MBS Portfolio
|
$
|
212,424
|
100.0%
|
4.25%
|
327
|
1-Aug-48
|
($ in thousands)
|
||||||||||||||||
March 31, 2019
|
December 31, 2018
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$
|
193,128
|
91.3
|
%
|
$
|
193,437
|
91.1
|
%
|
||||||||
Freddie Mac
|
18,436
|
8.7
|
%
|
18,881
|
8.9
|
%
|
||||||||||
Ginnie Mae
|
77
|
0.0
|
%
|
106
|
0.0
|
%
|
||||||||||
Total Portfolio
|
$
|
211,641
|
100.0
|
%
|
$
|
212,424
|
100.0
|
%
|
March 31, 2019
|
December 31, 2018
|
|||||||
Weighted Average Pass-through Purchase Price
|
$
|
106.81
|
$
|
106.81
|
||||
Weighted Average Structured Purchase Price
|
$
|
6.39
|
$
|
6.39
|
||||
Weighted Average Pass-through Current Price
|
$
|
105.57
|
$
|
103.87
|
||||
Weighted Average Structured Current Price
|
$
|
7.92
|
$
|
8.67
|
||||
Effective Duration
(1)
|
3.280
|
3.935
|
(1)
|
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of
3.280 indicates that an interest rate increase of 1.0% would be expected to cause a 3.280% decrease in the value of the MBS in our investment portfolio at March 31, 2019. An effective duration of 3.935 indicates that an interest rate
increase of 1.0% would be expected to cause a 3.935% decrease in the value of the MBS in our investment portfolio at December 31, 2018. These figures include the structured securities in the portfolio but do include the effect of our
hedges.
Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
|
($ in thousands)
|
||||||||||||||||||||||||
Three Months Ended March 31,
|
||||||||||||||||||||||||
2019
|
2018
|
|||||||||||||||||||||||
Total Cost
|
Average Price
|
Weighted Average Yield
|
Total Cost
|
Average Price
|
Weighted Average Yield
|
|||||||||||||||||||
PT MBS
|
$
|
-
|
$
|
-
|
-
|
$
|
5,081
|
$
|
106.17
|
2.65
|
%
|
($ in thousands)
|
||||||||||||||||||||||||||||
Fair
|
$ Change in Fair Value
|
% Change in Fair Value
|
||||||||||||||||||||||||||
MBS Portfolio
|
Value
|
-100BPS
|
+100BPS
|
+200BPS
|
-100BPS
|
+100BPS
|
+200BPS
|
|||||||||||||||||||||
Fixed Rate MBS
|
$
|
209,262
|
$
|
5,577
|
$
|
(9,317
|
)
|
$
|
(20,811
|
)
|
2.66
|
%
|
(4.45
|
)%
|
(9.94
|
)%
|
||||||||||||
Interest-Only MBS
|
1,703
|
(538
|
)
|
456
|
674
|
(31.61
|
)%
|
26.80
|
%
|
39.55
|
%
|
|||||||||||||||||
Inverse Interest-Only MBS
|
676
|
(65
|
)
|
(16
|
)
|
(153
|
)
|
(9.61
|
)%
|
(2.36
|
)%
|
(22.67
|
)%
|
|||||||||||||||
Total MBS Portfolio
|
$
|
211,641
|
$
|
4,974
|
$
|
(8,877
|
)
|
$
|
(20,290
|
)
|
2.35
|
%
|
(4.19
|
)%
|
(9.59
|
)%
|
($ in thousands)
|
||||||||||||||||||||||||||||
Notional
|
$ Change in Fair Value
|
% Change in Fair Value
|
||||||||||||||||||||||||||
Amount
(1)
|
-100BPS
|
+100BPS
|
+200BPS
|
-100BPS
|
+100BPS
|
+200BPS
|
||||||||||||||||||||||
Eurodollar Futures Contracts
|
||||||||||||||||||||||||||||
Repurchase Agreement Hedges
|
$
|
127,273
|
$
|
314
|
$
|
3,500
|
$
|
7,000
|
0.09
|
%
|
1.02
|
%
|
2.05
|
%
|
||||||||||||||
Junior Subordinated Debt Hedges
|
26,000
|
(1
|
)
|
390
|
780
|
(0.00
|
)%
|
1.02
|
%
|
2.05
|
%
|
|||||||||||||||||
TBA Contracts
|
50,000
|
(1,802
|
)
|
2,959
|
6,361
|
3.62
|
%
|
(5.94
|
)%
|
(12.78
|
)%
|
|||||||||||||||||
$
|
203,273
|
$
|
(1,489
|
)
|
$
|
6,849
|
$
|
14,141
|
(0.08
|
)%
|
0.39
|
%
|
0.80
|
%
|
||||||||||||||
Gross Totals
|
$
|
3,485
|
$
|
(2,028
|
)
|
$
|
(6,149
|
)
|
(1)
|
Represents the average contract/notional amount of Eurodollar futures contracts.
|
($ in thousands)
|
||||||||||||||||||||
Ending
|
Maximum
|
Average
|
Difference Between Ending
|
|||||||||||||||||
Balance
|
Balance
|
Balance
|
Repurchase Agreements and
|
|||||||||||||||||
of Repurchase
|
of Repurchase
|
of Repurchase
|
Average Repurchase Agreements
|
|||||||||||||||||
Three Months Ended
|
Agreements
|
Agreements
|
Agreements
|
Amount
|
Percent
|
|||||||||||||||
March 31, 2019
|
199,146
|
200,113
|
199,771
|
(625
|
)
|
(0.31
|
)%
|
|||||||||||||
December 31, 2018
|
200,396
|
203,746
|
202,069
|
(1,673
|
)
|
(0.83
|
)%
|
|||||||||||||
September 30, 2018
|
203,742
|
204,988
|
189,582
|
14,160
|
7.47
|
%
|
||||||||||||||
June 30, 2018
|
175,422
|
193,753
|
184,621
|
(9,199
|
)
|
(4.98
|
)%
|
|||||||||||||
March 31, 2018
|
193,820
|
204,998
|
197,001
|
(3,181
|
)
|
(1.61
|
)%
|
(in thousands)
|
||||||||||||||||||||
Obligations Maturing
|
||||||||||||||||||||
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$
|
199,146
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
199,146
|
||||||||||
Interest expense on repurchase agreements
(1)
|
888
|
-
|
-
|
-
|
888
|
|||||||||||||||
Junior subordinated notes
(2)
|
-
|
-
|
-
|
26,000
|
26,000
|
|||||||||||||||
Interest expense on junior subordinated notes
(1)
|
1,690
|
3,222
|
3,226
|
18,872
|
27,010
|
|||||||||||||||
Other
|
250
|
-
|
-
|
-
|
250
|
|||||||||||||||
Totals
|
$
|
201,974
|
$
|
3,222
|
$
|
3,226
|
$
|
44,872
|
$
|
253,294
|
(1)
|
Interest expense on repurchase agreements and junior subordinated notes are based on current interest rates as of March 31, 2019 and
the remaining term of liabilities existing at that date.
|
(2)
|
We hold a common equity interest in Bimini Capital Trust II. The amount presented represents our net cash outlay.
|
Shares Purchased
|
Maximum Number
|
|||||||||||||||
Total Number
|
Weighted-Average
|
as Part of Publicly
|
of Shares That May Yet
|
|||||||||||||
of Shares
|
Price Paid
|
Announced
|
Be Repurchased Under
|
|||||||||||||
Repurchased
|
Per Share
|
Programs
(2)
|
the Authorization
(1)
|
|||||||||||||
January 1, 2019 - January 31, 2019
|
714
|
$
|
2.16
|
714
|
429,596
|
|||||||||||
February 1, 2019 - February 28, 2019
|
-
|
-
|
-
|
429,596
|
||||||||||||
March 1, 2019 - March 31, 2019
|
-
|
-
|
-
|
429,596
|
||||||||||||
Totals / Weighted Average
|
714
|
$
|
2.16
|
714
|
429,596
|
(1)
|
On March 26, 2018, the Company's Board of Directors authorized the repurchase of up to 500,000 shares of the Company's Class A
common stock. The authorization originally expired on November 15, 2018, but was extended by the Board of Directors until November 15, 2019.
|
|
* |
Filed herewith.
|
|
** |
Furnished herewith
|
|
*** |
Submitted electronically herewith
.
|
Date:
May 10, 2019
|
By:
|
/s/ Robert E. Cauley
|
||
Robert E. Cauley
Chairman and Chief Executive Officer
|
Date:
May 10, 2019
|
By:
|
/s/ G. Hunter Haas, IV
|
||
G. Hunter Haas, IV
President, Chief Financial Officer, Chief Investment Officer and Treasurer (Principal Financial Officer and Principal Accounting
Officer)
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management, Inc. (the "registrant");
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all
material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
|
a)
|
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being
prepared;
|
|
b)
|
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c)
|
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d)
|
disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the
registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial
reporting; and
|
5.
|
The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial
reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing equivalent functions):
|
|
a)
|
all significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
|
|
b)
|
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.
|
Date: May 10, 2019
|
|
/s/ Robert E. Cauley
|
|
Robert E. Cauley
|
|
Chairman of the Board and Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management, Inc. (the "registrant");
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all
material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
|
a)
|
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being
prepared;
|
|
b)
|
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c)
|
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d)
|
disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the
registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial
reporting; and
|
5.
|
The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial
reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing equivalent functions):
|
|
a)
|
all significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
|
|
b)
|
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.
|
Date: May 10, 2019
|
|
/s/ G. Hunter Haas, IV
|
|
G. Hunter Haas, IV
|
|
President and Chief Financial Officer
|
1.
|
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
|
2.
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations
of the Company.
|
May 10, 2019
|
/s/ Robert E.Cauley
|
|
Robert E. Cauley,
Chairman of the Board and
Chief Executive Officer
|
1.
|
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
|
2.
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations
of the Company.
|
May 10, 2019
|
/s/ G. Hunter Haas, IV
|
|
G. Hunter Haas, IV
President and Chief Financial Officer
|