UNITED
STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
Form 8-K
CURRENT REPORT
Pursuant
to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): September 23, 2004
Bimini Mortgage Management, Inc.
(Exact Name of Registrant as Specified in Charter)
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Maryland |
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001-32171 |
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72-1571637 |
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(State or Other Jurisdiction |
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(Commission |
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(IRS Employer |
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3305 Flamingo Drive, Suite 100, Vero Beach, Florida 32963 |
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(Address of Principal Executive Offices) (Zip Code) |
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Registrant’s telephone number, including area code (772) 231-1400 |
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N/A |
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(Former Name or Former Address, if Changed Since Last Report) |
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ITEM 7.01. REGULATION FD DISCLOSURE
On September 23, 2004, Bimini Mortgage Management, Inc. (the “Company”) prepared updated portfolio information as of September 23, 2004. A copy of this information is attached hereto as Exhibit 99.1.
The Company believes that certain statements in the information attached may constitute “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. These statements are made on the basis of management’s views and assumptions regarding future events and business performance as of the time the statements are made. Actual results may differ materially from those expressed or implied. Information concerning factors that could cause actual results to differ materially from those in forward-looking statements is contained from time to time in the Company’s filings with the U.S. Securities and Exchange Commission.
This information furnished under this “Item 7.01 Regulation FD Disclosure,” including the exhibits 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. FINANCIAL STATEMENTS AND EXHIBITS
(c) Exhibits
The following exhibits are filed pursuant to Item 601 of Regulation S-K:
99.1 - Updated Portfolio Information of Bimini Mortgage Management, Inc.
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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.
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Date: September 23, 2004 |
BIMINI MORTGAGE MANAGEMENT, INC. |
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By: |
/s/ Jeffrey J. Zimmer |
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Jeffrey J. Zimmer |
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Chairman, Chief Executive Officer and |
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3
EXHIBIT INDEX
Exhibit No.
99.1 - Updated Portfolio Information of Bimini Mortgage Management, Inc.
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Exhibit 99.1
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Bimini Mortgage Management, Inc. Asset Information
Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions Not Yet Settled. All Forward Transactions Settle In September.
Prices Used Are Company Estimates of Market Value as of 08/31/2004. Compiled 09/23/04
Valuation
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Asset Category |
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Estimated |
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As a Percent of |
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As a Percent of |
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Fixed Rate Mortgage Backed Securities |
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$ |
483,506,102.39 |
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32.16 |
% |
29.42 |
% |
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CMO Floaters |
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$ |
256,697,670.31 |
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17.07 |
% |
15.62 |
% |
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Adjustable Rate Mortgage Backed Securities |
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$ |
575,459,172.19 |
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38.28 |
% |
35.01 |
% |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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$ |
131,881,938.10 |
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8.77 |
% |
8.02 |
% |
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Balloon Maturity Mortgage Backed Securities |
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$ |
55,810,195.91 |
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3.71 |
% |
3.40 |
% |
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Total: Mortgage Assets |
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$ |
1,503,355,078.91 |
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100.00 |
% |
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Cash (As of 09/21/04) |
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$ |
111,677,001.00 |
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6.79 |
% |
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P&I Receivables (As of 09/23/2004) |
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$ |
28,520,761.00 |
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1.74 |
% |
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Total: All Assets |
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$ |
1,643,552,840.91 |
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100.00 |
% |
Characteristics
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Asset Category |
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Weighted Average |
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Weighted Average |
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Weighted Average |
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Weighted |
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Longest |
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Weighted Average |
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(in Months) |
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(in Months) |
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Fixed Rate Mortgage Backed Securities |
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6.53 |
% |
n/a |
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n/a |
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n/a |
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1-Sep-34 |
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300 |
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CMO Floaters |
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2.20 |
% |
7.93 |
% |
None |
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0.45 |
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25-May-34 |
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329 |
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Adjustable Rate Mortgage Backed Securities * |
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3.33 |
% |
10.20 |
% |
1.54 |
% |
5.43 |
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1-Mar-42 |
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342 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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3.92 |
% |
10.23 |
% |
1.94 |
% |
25.58 |
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1-Aug-34 |
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353 |
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Balloon Maturity Mortgage Backed Securities |
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3.79 |
% |
n/a |
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n/a |
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n/a |
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1-Feb-11 |
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65 |
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Total: Mortgage Assets |
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3.75 |
% |
— |
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— |
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— |
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1-Mar-42 |
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317 |
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* Note - 32.68% ($139.9 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Caps
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Agency |
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Estimated |
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As a Percentage of |
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Fannie Mae |
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$ |
991,426,078 |
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65.95 |
% |
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Freddie Mac |
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$ |
384,575,544 |
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25.58 |
% |
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Ginnie Mae |
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$ |
127,353,457 |
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8.47 |
% |
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Total Portfolio |
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$ |
1,503,355,079 |
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100.00 |
% |
Investment Company Act
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Qualifying |
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Estimated |
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As a Percentage of |
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Whole Pool |
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$ |
1,130,452,167 |
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75.20 |
% |
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Non Whole Pool |
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$ |
372,902,912 |
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24.80 |
% |
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Total Portfolio |
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$ |
1,503,355,079 |
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100.00 |
% |
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UNAUDITED |
[LOGO] |
Portfolio Price and Duration
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Weighted Average Purchase Price |
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103.25 |
% of par value |
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Weighted Average Estimated Market Value as of August 31, 2004 |
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103.01 |
% of par value |
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Empirical Duration During Q2 - 2004 (1) |
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0.79 |
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Modeled Effective Duration as of 09/16/04 (2) |
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1.25 |
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(1) Empirical duration of 0.79 indicates that an interest rate increase of 1% would have resulted in a 0.79% decline in the value of the securities in our portfolio.
(2) Effective duration of 1.25 indicates that an interest rate increase of 1% would result in a 1.25% decline in the value of the securities in our portfolio.
Prepayment Speeds
On July 8, 2004, August 5, 2004 and September 8, 2004 Prepayment Speeds were reported for paydowns occurring in June, July and August 2004. The numbers below reflect those data. Prepayment speeds reflect the rate of loan repayments measured using constant prepayment rates (CPRs). For example, a CPR of 20.6 means that over one year, 20.6% of the principal amount of mortgages would be prepaid.
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Asset Category |
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Weighted Average |
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Weighted Average |
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Weighted Average |
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Weighted Avg |
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Fixed Rate Mortgage Backed Securities |
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20.60 |
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17.84 |
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20.78 |
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19.74 |
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CMO Floaters |
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17.90 |
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16.12 |
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22.94 |
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18.99 |
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Adjustable Rate Mortgage Backed Securities |
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15.58 |
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10.21 |
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11.72 |
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12.50 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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23.83 |
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21.86 |
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14.15 |
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19.95 |
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Balloon Maturity Mortgage Backed Securities |
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17.54 |
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16.52 |
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5.81 |
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13.29 |
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Total: Mortgage Assets |
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18.39 |
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14.93 |
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16.54 |
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16.62 |
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Adjustable Rate Assets |
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Market Value |
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% of Asset |
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% of Total |
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One Month Libor |
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5,546,512 |
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0.96 |
% |
0.37 |
% |
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Moving Treas Avg |
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21,954,018 |
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3.82 |
% |
1.46 |
% |
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Six Month LIBOR |
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197,371,150 |
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34.30 |
% |
13.13 |
% |
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Six Month CD Rate |
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4,522,927 |
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0.79 |
% |
0.30 |
% |
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One Year LIBOR |
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80,378,298 |
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13.97 |
% |
5.35 |
% |
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One Year CMT |
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261,700,866 |
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45.48 |
% |
17.41 |
% |
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Nat Mtge Contract Rate |
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3,985,400 |
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0.69 |
% |
0.27 |
% |
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Total ARM |
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575,459,172 |
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100 |
% |
38.28 |
% |
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CMO |
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Short Stable |
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43,354,005 |
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16.89 |
% |
2.88 |
% |
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Pass Through |
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42,704,526 |
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16.64 |
% |
2.84 |
% |
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Locked Out |
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170,639,139 |
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66.47 |
% |
11.35 |
% |
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Total CMO |
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256,697,670 |
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100 |
% |
17.07 |
% |
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Total ARM and CMO |
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832,156,843 |
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55.35 |
% |
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Hybrid ARMs |
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10 - 20 Months to First Reset |
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19,263,969 |
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14.61 |
% |
1.28 |
% |
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21 - 30 Months to First Reset |
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75,698,464 |
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57.40 |
% |
5.04 |
% |
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30 - 36 Months to First Reset |
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36,919,505 |
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27.99 |
% |
2.46 |
% |
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Total Hybrid |
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131,881,938 |
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100 |
% |
8.77 |
% |
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Balloons |
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Estimated |
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% of Asset |
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% of Total |
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3.5 - 4.5 Years to Balloon Date |
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13,839,238 |
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24.80 |
% |
0.92 |
% |
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4.5 - 5.5 Years to Balloon Date |
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22,935,628 |
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41.10 |
% |
1.53 |
% |
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5.5 - 6.5 Years to Balloon Date |
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19,035,329 |
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34.11 |
% |
1.27 |
% |
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Total Balloon |
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55,810,196 |
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100 |
% |
3.71 |
% |
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Total Hybrid and Balloons |
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187,692,134 |
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12.48 |
% |
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Fixed Rate Assets |
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Estimated |
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% of Asset |
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% of Total |
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15yr Low Balance (<$85,000) |
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79,472,876 |
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58.61 |
% |
5.29 |
% |
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15yr Moderate Balance ($85,000 - $110,000) |
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6,777,543 |
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5.00 |
% |
0.45 |
% |
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15yr Investor Properties |
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1,238,518 |
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0.91 |
% |
0.08 |
% |
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15yr Expanded Approval |
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2,329,925 |
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1.72 |
% |
0.15 |
% |
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15yr Alt A (non conforming to agency standards) |
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42,104,609 |
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31.05 |
% |
2.80 |
% |
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15yr Other |
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3,666,544 |
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2.70 |
% |
0.24 |
% |
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Total 15 Year |
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135,590,014 |
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100 |
% |
9.02 |
% |
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30yr Low Balance (<$85,000) |
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144,191,994 |
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41.44 |
% |
9.59 |
% |
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30yr Mod Balance ($85,000 - $110,000) |
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39,200,446 |
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11.27 |
% |
2.61 |
% |
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30yr Investor Properties |
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12,748,677 |
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3.66 |
% |
0.85 |
% |
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30yr Expanded Approval |
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75,433,400 |
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21.68 |
% |
5.02 |
% |
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30yr Alt A (non conforming to agency standards) |
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70,679,083 |
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20.31 |
% |
4.70 |
% |
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30yr Geo (specific states) |
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3,358,432 |
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0.97 |
% |
0.22 |
% |
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30yr Other |
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2,304,056 |
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0.66 |
% |
0.15 |
% |
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Total 30 Year |
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347,916,088 |
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100 |
% |
23.14 |
% |
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Total 15 Year and 30 Year |
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483,506,102 |
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32.16 |
% |
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Grand Total (All Mortgage Assets) |
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1,503,355,079 |
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100.00 |
% |
The Value of ARMs In A Diversified Portfolio
ARM Portfolio Reset (Interest Rate
Adjustment) Schedule as A Percent of
Bimini’s ARM and Hybrid Current Value as of 09/23/2004
[CHART]
Bimini Mortgage Management, Inc. Liability Information (09/23/2004)
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Wtd Avg |
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Longest |
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Counterparty |
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$ Outstanding |
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Maturity (days) |
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Maturity |
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Bear Stearns |
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58,043,000 |
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37 |
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15-Dec-04 |
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Countrywide Secs |
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43,429,000 |
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103 |
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1-Jun-05 |
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Daiwa Secs |
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70,160,000 |
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21 |
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20-Oct-04 |
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Bank of America |
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183,608,000 |
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60 |
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31-Jan-05 |
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Deutsche Bank |
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305,028,000 |
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70 |
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4-Feb-05 |
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Nomura |
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189,189,000 |
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136 |
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23-Mar-05 |
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JP Morgan Secs |
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4,086,000 |
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265 |
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15-Jun-05 |
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Lehman Bros |
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— |
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0-Jan-00 |
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UBS Securities |
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251,267,000 |
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44 |
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15-Dec-04 |
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Goldman Sachs |
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56,150,000 |
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1 |
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24-Sep-04 |
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Cantor Fitzgerald |
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33,845,000 |
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51 |
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15-Feb-05 |
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Freddie Mac |
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224,613,000 |
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97 |
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15-Feb-05 |
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Citigroup |
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4,421,000 |
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28 |
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21-Oct-04 |
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Morgan Stanley |
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17,644,000 |
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55 |
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18-Nov-04 |
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Total |
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$ |
1,441,483,000 |
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Longest |
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Sector |
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Wtd Avg Maturity |
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Maturity |
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(days) |
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Fixed Rate |
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68 |
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15-Jun-05 |
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Adjst Rate MBS |
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103 |
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1-Jun-05 |
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Hybrids Adj Rate |
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67 |
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23-Mar-05 |
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CMO Floating Rate |
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16 |
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26-Oct-04 |
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Baloon Maturity |
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46 |
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19-Nov-04 |
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