UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported):
(Exact name of registrant as specified in its charter)
(State or Other Jurisdiction of Incorporation)
(Commission File Number)
(IRS Employer Identification No.)
,
,
(Address of Principal Executive Offices) (Zip Code)
Registrant’s telephone number, including area code
(
)
N/A
(Former Name or Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under
any of the following provisions:
☐
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))
Securities registered pursuant to Section 12(b) of the Act: None.
Indicate by check mark whether the registrant is an emerging growth company as defined in as defined in Rule 405 of the Securities
Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for
complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
☐
ITEM 2.02. RESULTS OF OPERATIONS AND FINANCIAL CONDITION.
On August 11, 2022, Bimini Capital Management, Inc., (the “Company”) issued the press release attached hereto as Exhibit 99.1
announcing the Company’s consolidated results of operations for the period ended June 30, 2022.
The information furnished under this “Item 2.02 Results of Operations and Financial Condition,” including the exhibit related hereto,
shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, nor shall it be deemed incorporated by
reference in any disclosure document of the Company, except as shall be expressly set forth by specific reference in such document.
ITEM 9.01. EXHIBITS.
(d) Exhibits
Exhibit 104 – Cover Page Interactive Data File (embedded within the Inline XBRL document)
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
Date: August 11, 2022
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
BIMINI CAPITAL MANAGEMENT ANNOUNCES SECOND QUARTER 2022 RESULTS
VERO BEACH, Fla., (August 11, 2022) – Bimini Capital Management, Inc. (OTCQB: BMNM), (“Bimini Capital,” “Bimini,” or the
“Company”), today announced results of operations for the three-month period ended June 30, 2022.
Second Quarter 2022 Highlights
●
Net loss of $1.2 million, or $0.11 per common share
●
Book value per share of $2.66
●
Company to discuss results on Friday, August 12, 2022, at 10:00 AM ET
Management Commentary
Commenting on the second quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, “During the latter part of the
second quarter of 2022 inflation data drove a material change in Fed policy, interest rates and the outlook for the economy. Specifically,
the CPI for May, released in June, was far above market expectations. Survey measures of inflation expectations, released on the same
day, surged to multi-decade highs. In July, the June CPI reading was released and was again well above market expectations. Equally
troubling, elevated inflation readings were very broad based, implying inflationary pressures have clearly spread from just those sectors
most exposed to COVID-19 related supply constraints. This was the catalyst for the Fed to pivot even more forcefully than they did during
late 2021/early 2022, demonstrated by the Fed increasing the Fed Funds rate by 200 basis points collectively at the May, June and July
meetings. The market expects the Fed to continuing raising the Fed Funds rate by another 100 basis points by year-end. Increases in
the Fed Funds rate are likely to affect economic activity, and the Fed has acknowledged their actions may lead to a recession. Sectors
of the economy most sensitive to interest rates – such as housing – have already started to slow.
“The market appears to anticipate the Fed will be able to contain inflation and that the result will be a contraction in economic growth.
This is reflected in yields for longer-term U.S. Treasuries. With the Fed expected to increase the Fed Funds rate by another 100 basis
points or more, shorter maturity U.S. Treasuries remain elevated, with the yield on the 2-year U.S. Treasury Note yielding approximately
3.23% on August 10, 2022. The combined effect – more increases to the Fed Funds rate, and the presumption inflation will ultimately
be contained by the Fed - albeit potentially at the expense of a recession, has caused the yield curve to invert whereby shorter maturity
U.S. Treasuries yield more than long-term U.S. Treasuries. This condition may persist for the balance of 2022 and into 2023. These
developments were detrimental to the performance of Agency MBS securities and as the quarter came to an end the current coupon 30-
year fixed rate mortgage – a widely referenced benchmark – was trading at very wide spreads to comparable duration treasuries – and
nearly as wide as the spreads seen during March of 2020 when the financial markets where at the peak of their distress.
“Given these developments in the fixed income markets and the poor performance of Agency MBS in particular Orchid Island Capital
reported a second quarter 2022 loss of $60.1 million and its shareholders equity declined from $592.4 million to $506.4 million. The
market conditions described above drove the loss as agency MBS underperformed comparable duration treasuries and the Orchid’s
hedge positions. The decline in shareholders equity may lead to reduced management fees at Bimini Advisors in the near-term since the
management fees are a function of Orchid’s equity. Orchid also reduced its monthly dividend twice during the first quarter so monthly
dividend revenues on the Company’s approximately 2.5 million shares declined from approximately $402.3 thousand to approximately
$350.4 thousand during the second quarter. Orchid, like Bimini, will focus on weathering the current market conditions and looks forward
to capitalizing on the attractive returns that historically have become available as markets settle.
BMNM Announces Second Quarter 2022 Results
Page 2
August 11, 2022
“As we discussed at the end of the first quarter, we took steps to reduce the MBS portfolio at Royal Palm in response to adverse market
conditions. In fact, the Agency MBS portfolio at Royal Palm Capital decreased during the second quarter of 2022 by $16.1 million, the
combined effect of net sales of $12.3 million mentioned above, $2.1 million of paydowns and return of investment on the structured
securities portfolio and $1.7 million of net realized and unrealized market to market losses. As the second quarter of 2022 unfolded our
intention was to grow our cash position until we saw clear evidence the market had stabilized before redeploying our cash to resume
growing the portfolio. To date, the Agency MBS market has recovered somewhat during the third quarter of 2022, and we will likely begin
to rebuild the portfolio over the balance of the quarter.”
Details of Second Quarter 2022 Results of Operations
The Company reported net loss of $1.2 million for the three-month period ended June 30, 2022. Advisory service revenue for the
quarter was $3.3 million. We recorded interest and dividend income of $0.7 million and interest expense on long-term debt of $0.3
million. We recorded a $1.0 million mark to market loss on our shares of Orchid common stock and realized and unrealized losses of
$1.8 million on our MBS portfolio. The results for the quarter also included operating expenses of $2.1 million and an income tax benefit
of $0.1 million.
Management of Orchid Island Capital, Inc.
Orchid is managed and advised by Bimini. As Manager, Bimini is responsible for administering Orchid’s business activities and day-to-
day operations. Pursuant to the terms of the management agreement, Bimini Advisors provides Orchid with its management team,
including its officers, along with appropriate support personnel.
Bimini also maintains a common stock investment in Orchid which is accounted for under the fair value option, with changes in fair value
recorded in the statement of operations for the current period. For the three months ended June 30, 2022, Bimini’s statement of
operations included a fair value adjustment of $(1.0) million and dividends of $0.4 million from its investment in Orchid’s common stock.
Also during the three months ended June 30, 2022, Bimini recorded $3.3 million in advisory services revenue for managing Orchid’s
portfolio consisting of $2.6 million of management fees, $0.5 million in overhead reimbursement and $0.2 million in repurchase, clearing
and administrative fees.
Book Value Per Share
The Company's Book Value Per Share at June 30, 2022 was $2.66. 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, 2022, the
Company's stockholders’ equity was $27.9 million, with 10,472,779 Class A Common shares outstanding.
Capital Allocation and Return on Invested Capital
The Company allocates capital between 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 table below details the changes to the respective
sub-portfolios during the quarter.
BMNM Announces Second Quarter 2022 Results
Page 3
August 11, 2022
Portfolio Activity for the Quarter
Structured Security Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
Market Value - March 31, 2022
$
51,643,964
$
3,019,549
$
15,689
$
3,035,238
$
54,679,202
Securities purchased
10,821,877
-
-
-
10,821,877
Securities sold
(23,096,853)
-
-
-
(23,096,853)
Losses on sales
(858,001)
-
-
-
(858,001)
Return of investment
n/a
(110,372)
(1,424)
(111,796)
(111,796)
Pay-downs
(1,980,029)
n/a
n/a
n/a
(1,980,029)
Premium lost due to pay-downs
(84,638)
n/a
n/a
n/a
(84,638)
Mark to market gains (losses)
(954,176)
124,615
(5,151)
119,464
(834,712)
Market Value - June 30, 2022
$
35,492,144
$
3,033,792
$
9,114
$
3,042,906
$
38,535,050
The tables below present the allocation of capital between the respective portfolios at June 30, 2022 and March 31, 2022, and the return
on invested capital for each sub-portfolio for the three-month period ended June 30, 2022. 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.
The returns on invested capital in the PT MBS and structured MBS portfolios were approximately (35.0)% and 5.9%, respectively, for the
second quarter of 2022. The combined portfolio generated a return on invested capital of approximately (19.2)%.
Capital Allocation
Structured Security Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
June 30, 2022
Market value
$
35,492,144
$
3,033,792
$
9,114
$
3,042,906
$
38,535,050
Cash equivalents and restricted cash
6,529,567
-
-
-
6,529,567
Repurchase agreement obligations
(36,925,999)
-
-
-
(36,925,999)
Total
(1)
$
5,095,712
$
3,033,792
$
9,114
$
3,042,906
$
8,138,618
% of Total
62.6%
37.3%
0.1%
37.4%
100.0%
March 31, 2022
Market value
$
51,643,964
$
3,019,549
$
15,689
$
3,035,238
$
54,679,202
Cash equivalents and restricted cash
7,983,873
-
-
-
7,983,873
Repurchase agreement obligations
(54,814,689)
-
-
-
(54,814,689)
Total
(1)
$
4,813,148
$
3,019,549
$
15,689
$
3,035,238
$
7,848,386
% of Total
61.3%
38.5%
0.2%
38.7%
100.0%
(1)
Invested capital includes the value of the MBS portfolio and cash equivalents and restricted cash, reduced by repurchase agreement
borrowings.
BMNM Announces Second Quarter 2022 Results
Page 4
August 11, 2022
Returns for the Quarter Ended June 30, 2022
Structured Security Portfolio
Pass-Through
Interest-Only
Inverse Interest
Portfolio
Securities
Only Securities
Sub-total
Total
Interest income (net of repo cost)
$
260,498
$
57,910
$
986
$
58,896
$
319,394
Realized and unrealized (losses) gains
(1,896,815)
124,615
(5,151)
119,464
(1,777,351)
Hedge losses
(49,688)
n/a
n/a
n/a
(49,688)
Total Return
$
(1,686,005)
$
182,525
$
(4,165)
$
178,360
$
(1,507,645)
Beginning capital allocation
$
4,813,148
$
3,019,549
$
15,689
$
3,035,238
$
7,848,386
Return on invested capital for the quarter
(1)
(35.0)%
6.0%
(26.5)%
5.9%
(19.2)%
(1)
Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage.
Prepayments
For the second quarter of 2022, the Company received approximately $2.1 million in scheduled and unscheduled principal repayments
and prepayments, which equated to a 3-month constant prepayment rate (“CPR”) of approximately 20.0% for the second quarter of 2022.
Prepayment rates on the two MBS sub-portfolios were as follows (in CPR):
PT
Structured
MBS Sub-
MBS Sub-
Total
Three Months Ended
Portfolio
Portfolio
Portfolio
June 30, 2022
17.2
22.9
20.0
March 31, 2022
18.5
25.6
20.9
December 31, 2021
13.7
35.2
21.1
September 30, 2021
15.5
26.9
18.3
June 30, 2021
21.0
31.3
21.9
March 31, 2021
18.5
16.4
18.3
Portfolio
The following tables summarize the MBS portfolio as of June 30, 2022 and December 31, 2021:
($ in thousands)
Weighted
Percentage
Average
of
Weighted
Maturity
Fair
Entire
Average
in
Longest
Asset Category
Value
Portfolio
Coupon
Months
Maturity
June 30, 2022
Fixed Rate MBS
$
35,492
92.1%
4.03%
324
1-May-52
Interest-Only MBS
3,034
7.9%
2.82%
302
15-May-51
Inverse Interest-Only MBS
9
0.0%
5.45%
203
15-May-39
Total MBS Portfolio
$
38,535
100.0%
3.55%
322
1-May-52
December 31, 2021
Fixed Rate MBS
$
58,029
95.4%
3.69%
330
1-Sep-51
Interest-Only MBS
2,759
4.6%
2.86%
306
15-May-51
Inverse Interest-Only MBS
15
0.0%
5.90%
209
15-May-39
Total MBS Portfolio
$
60,803
100.0%
3.41%
329
1-Sep-51
BMNM Announces Second Quarter 2022 Results
Page 5
August 11, 2022
($ in thousands)
June 30, 2022
December 31, 2021
Percentage of
Percentage of
Agency
Fair Value
Entire Portfolio
Fair Value
Entire Portfolio
Fannie Mae
$
24,701
64.1%
$
39,703
65.3%
Freddie Mac
13,834
35.9%
21,100
34.7%
Total Portfolio
$
38,535
100.0%
$
60,803
100.0%
June 30, 2022
December 31, 2021
Weighted Average Pass Through Purchase Price
$
106.70
$
109.33
Weighted Average Structured Purchase Price
$
4.48
$
4.81
Weighted Average Pass Through Current Price
$
100.30
$
109.30
Weighted Average Structured Current Price
$
12.95
$
9.87
Effective Duration
(1)
3.909
2.103
(1)
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 3.909 indicates
that an interest rate increase of 1.0% would be expected to cause a 3.909% decrease in the value of the MBS in the Company’s investment
portfolio at June 30, 2022. An effective duration of 2.103 indicates that an interest rate increase of 1.0% would be expected to cause a 2.103%
decrease in the value of the MBS in the Company’s investment portfolio at December 31, 2021. These figures include the structured securities in
the portfolio but not the effect of the Company’s hedges.
Effective duration quotes for individual investments are obtained from The Yield Book,
Inc.
Financing and Liquidity
As of June 30, 2022, the Company had outstanding repurchase obligations of approximately $36.9 million with a net weighted average
borrowing rate of 1.34%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $38.5
million and cash of approximately $0.8 million. At June 30, 2022, the Company’s liquidity was approximately $5.8 million, consisting of
unpledged MBS and cash and cash equivalents.
We may pledge more of our structured MBS as part of a repurchase agreement funding, but retain cash in lieu of acquiring additional assets.
In this way, we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a
distressed market in order to raise cash. Below is a list of outstanding borrowings under repurchase obligations at June 30, 2022.
($ in thousands)
Repurchase Agreement Obligations
Weighted
Weighted
Total
Average
Average
Outstanding
% of
Borrowing
Amount
Maturity
Counterparty
Balances
Total
Rate
at Risk
(1)
(in Days)
Mirae Asset Securities (USA) Inc.
$
27,557
74.6%
1.33%
$
1,794
28
South Street Securities, LLC
4,451
12.1%
1.17%
150
18
Mitsubishi UFJ Securities (USA), Inc.
2,596
7.0%
1.93%
304
23
ED&F Man Capital Markets, Inc.
2,322
6.3%
1.13%
77
18
$
36,926
100.0%
1.34%
$
2,325
26
(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).
BMNM Announces Second Quarter 2022 Results
Page 6
August 11, 2022
Summarized Consolidated Financial Statements
The following is a summarized presentation of the unaudited consolidated balance sheets as of June 30, 2022, and December 31, 2021,
and the unaudited consolidated statements of operations for the six and three months ended June 30, 2022 and 2021. Amounts presented
are subject to change.
BIMINI CAPITAL MANAGEMENT, INC.
CONSOLIDATED BALANCE SHEETS
(Unaudited - Amounts Subject To Change)
June 30, 2022
December 31, 2021
ASSETS
Mortgage-backed securities
$
38,535,050
$
60,803,144
Cash equivalents and restricted cash
6,529,567
9,812,410
Orchid Island Capital, Inc. common stock, at fair value
7,396,767
11,679,107
Accrued interest receivable
173,903
229,942
Deferred tax assets, net
36,351,770
35,036,312
Other assets
4,356,438
4,523,726
Total Assets
$
93,343,495
$
122,084,641
LIABILITIES AND STOCKHOLDERS' EQUITY
Repurchase agreements
$
36,925,999
$
58,877,999
Long-term debt
27,427,705
27,438,976
Other liabilities
1,106,396
2,767,816
Total Liabilities
65,460,100
89,084,791
Stockholders' equity
27,883,395
32,999,850
Total Liabilities and Stockholders' Equity
$
93,343,495
$
122,084,641
Class A Common Shares outstanding
10,472,779
10,702,194
Book value per share
$
2.66
$
3.08
BMNM Announces Second Quarter 2022 Results
Page 7
August 11, 2022
BIMINI CAPITAL MANAGEMENT, INC.
CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited - Amounts Subject to Change)
Six Months Ended June 30,
Three Months Ended June 30,
2022
2021
2022
2021
Advisory services
$
6,407,741
$
4,211,221
$
3,332,379
$
2,185,812
Interest and dividend income
1,636,110
2,201,257
742,441
1,084,544
Interest expense
(663,720)
(570,309)
(376,412)
(280,903)
Net revenues
7,380,131
5,842,169
3,698,408
2,989,453
Other expense
(9,223,396)
(1,821,883)
(2,865,092)
(2,480,283)
Expenses
4,138,351
3,481,004
2,112,872
1,724,421
Net (loss) income before income tax (benefit) provision
(5,981,616)
539,282
(1,279,556)
(1,215,251)
Income tax (benefit) provision
(1,315,458)
168,638
(92,982)
(295,465)
Net (loss) income
$
(4,666,158)
$
370,644
$
(1,186,574)
$
(919,786)
Basic and Diluted Net Income (Loss) Per Share of:
CLASS A COMMON STOCK
$
(0.44)
$
0.03
$
(0.11)
$
(0.08)
CLASS B COMMON STOCK
$
(0.44)
$
0.03
$
(0.11)
$
(0.08)
Three Months Ended June 30,
Key Balance Sheet Metrics
2022
2021
Average MBS
(1)
$
46,607,126
$
70,924,730
Average repurchase agreements
(1)
45,870,344
72,240,999
Average stockholders' equity
(1)
28,513,181
35,318,386
Key Performance Metrics
Average yield on MBS
(2)
3.36%
3.26%
Average cost of funds
(2)
0.63%
0.17%
Average economic cost of funds
(3)
2.25%
4.09%
Average interest rate spread
(4)
2.73%
3.09%
Average economic interest rate spread
(5)
1.11%
(0.83)%
Summarized Consolidated Financial Statements
(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.
BMNM Announces Second Quarter 2022 Results
Page 8
August 11, 2022
About Bimini Capital Management, Inc.
Bimini Capital Management, Inc. invests primarily in, but is not limited to investing in, 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. In addition, Bimini generates a significant portion of its revenue serving as the
manager of the MBS portfolio of Orchid Island Capital, Inc.
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 and Quarterly Reports 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 Friday, August 12, 2022, at 10:00 AM ET. Participants can receive dial-in
information via email by following the link:
https://ige.netroadshow.com/registration/q4inc/11341/bimini-capital-second-quarter-earnings-conference-call/
A live audio webcast of the conference call can be accessed via the investor relations section of the Company's website at
https://ir.biminicapital.com or at https://events.q4inc.com/attendee/286429349, 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
https://ir.biminicapital.com