UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
Form 8-K/A
CURRENT REPORT
Pursuant to Section 13 or
15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): October 26, 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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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:
o Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
o Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
o Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
o Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
EXPLANATORY NOTE
This amendment supercedes the Current Report filed on Form 8-K by Bimini Mortgage Management, Inc. on the morning of October 26, 2004 by adding the weighted average portfolio yield as of October 25, 2004 to the information set forth in Exhibit 99.1. All other items in this amendment and Exhibit 99.1 attached hereto remain unchanged from the original filing.
ITEM 7.01. REGULATION FD DISCLOSURE
On October 26, 2004, Bimini Mortgage Management, Inc. prepared updated portfolio information as of October 25, 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: October 26, 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 President |
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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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UNAUDITED as of 10/25/2004 |
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Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions.
Prices Used Are Internally Generated and Compiled 10/25/04
Valuation
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Asset Category |
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Market Value |
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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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$ |
566,081,717 |
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26.47 |
% |
24.91 |
% |
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CMO Floaters (Monthly Resetting) |
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$ |
255,209,730 |
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11.93 |
% |
11.23 |
% |
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Adjustable Rate Mortgage Backed Securities |
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$ |
852,187,377 |
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39.85 |
% |
37.50 |
% |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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$ |
393,235,945 |
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18.39 |
% |
17.31 |
% |
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Balloon Maturity Mortgage Backed Securities |
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$ |
71,957,395 |
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3.36 |
% |
3.17 |
% |
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Total: Mortgage Assets |
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$ |
2,138,672,165 |
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100.00 |
% |
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Cash (As of 10/25/2004) |
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$ |
131,667,134 |
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5.79 |
% |
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P&I Receivables (As of 10/25/2004) |
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$ |
1,967,772 |
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0.09 |
% |
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Total: All Assets |
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$ |
2,272,307,071 |
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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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Fixed Rate Mortgage Backed Securities |
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6.63 |
% |
n/a |
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n/a |
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n/a |
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20-Oct-34 |
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298 |
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CMO Floaters (Monthly Resetting) |
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2.36 |
% |
7.93 |
% |
None |
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0.39 |
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25-May-34 |
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328 |
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Adjustable Rate Mortgage Backed Securities * |
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3.44 |
% |
10.48 |
% |
1.54 |
% |
4.79 |
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1-Mar-42 |
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343 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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4.64 |
% |
10.45 |
% |
1.47 |
% |
30.71 |
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1-Oct-34 |
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350 |
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Balloon Maturity Mortgage Backed Securities |
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4.08 |
% |
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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63 |
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Total: Mortgage Assets |
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4.40 |
% |
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— |
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— |
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1-Mar-42 |
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321 |
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* Note - 39.6% ($337.4 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Caps
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Agency |
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Market Value |
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As a Percentage of |
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Qualifying |
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Market Value |
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As a Percentage of |
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Fannie Mae |
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$ |
1,369,928,844 |
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64.06 |
% |
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Whole Pool |
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$ |
1,418,558,048 |
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66.33 |
% |
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Freddie Mac |
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$ |
447,435,119 |
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20.92 |
% |
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Non Whole Pool |
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$ |
720,114,117 |
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33.67 |
% |
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Ginnie Mae |
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$ |
321,308,202 |
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15.02 |
% |
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Total Portfolio |
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$ |
2,138,672,165 |
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100.00 |
% |
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Total Portfolio |
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$ |
2,138,672,165 |
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100.00 |
% |
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Portfolio Price, Yield and Duration
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Weighted Average Purchase Price |
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$ |
103.28 |
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Weighted Average Current Price |
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$ |
103.17 |
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Weighted Average Portfolio Yield |
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3.121 |
% |
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Modeled Effective Duration as of 10/25/04 |
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0.600 |
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Prepayment Speeds
On October 7, 2004 Prepayment Speeds were released for paydowns occurring in September 2004. The numbers below reflect that data.
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Asset Category |
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Weighted Average |
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Fixed Rate Mortgage Backed Securities |
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23.15 |
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CMO Floaters |
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20.14 |
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Adjustable Rate Mortgage Backed Securities |
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18.94 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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21.78 |
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Balloon Maturity Mortgage Backed Securities |
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15.24 |
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Total: Mortgage Assets |
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20.45 |
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Adjustable Rate Assets |
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Internally Generated |
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% of Asset Class |
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% of Total Mortgage |
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One Month Libor |
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$ |
39,002,172 |
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4.58 |
% |
1.82 |
% |
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Moving Treasury Average |
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$ |
25,762,809 |
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3.02 |
% |
1.20 |
% |
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Cost Of Funds Index |
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$ |
62,964,504 |
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7.39 |
% |
2.94 |
% |
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Six Month LIBOR |
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$ |
286,684,268 |
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33.64 |
% |
13.40 |
% |
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Six Month CD Rate |
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$ |
4,568,481 |
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0.54 |
% |
0.21 |
% |
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One Year LIBOR |
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$ |
89,759,175 |
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10.53 |
% |
4.20 |
% |
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One Year CMT |
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$ |
339,485,943 |
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39.84 |
% |
15.87 |
% |
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National Mortgage Contract Rate |
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$ |
3,960,025 |
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0.46 |
% |
0.19 |
% |
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Total ARM |
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$ |
852,187,377 |
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100.00 |
% |
39.85 |
% |
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CMO Floaters (Monthly Resetting) |
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Short Stable |
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$ |
41,884,556 |
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16.41 |
% |
1.96 |
% |
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Pass-Through |
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$ |
42,238,561 |
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16.55 |
% |
1.97 |
% |
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Locked Out |
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$ |
171,086,613 |
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67.04 |
% |
8.00 |
% |
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Total CMO |
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$ |
255,209,730 |
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100.00 |
% |
11.93 |
% |
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Hybrid ARMs |
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Generic Fannie or Freddie Hybrid ARMs |
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13 - 24 Months to First Reset |
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$ |
62,896,971 |
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15.99 |
% |
2.94 |
% |
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25 - 36 Months to First Reset |
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$ |
69,895,736 |
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17.77 |
% |
3.27 |
% |
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37 - 60 Months to First Reset |
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$ |
0 |
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0.00 |
% |
0.00 |
% |
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Total |
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$ |
132,792,707 |
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33.77 |
% |
6.21 |
% |
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Agency Alt-A Hybrid ARMs |
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13 - 24 Months to First Reset |
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$ |
35,063,726 |
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8.92 |
% |
1.64 |
% |
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25 - 36 Months to First Reset |
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$ |
49,845,779 |
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12.68 |
% |
2.33 |
% |
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37 - 60 Months to First Reset |
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$ |
22,149,167 |
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5.63 |
% |
1.04 |
% |
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Total |
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$ |
107,058,672 |
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27.23 |
% |
5.01 |
% |
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GNMA Hybrid ARMs |
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13 - 24 Months to First Reset |
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$ |
0 |
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0.00 |
% |
0.00 |
% |
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25 - 39 Months to First Reset |
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$ |
153,384,566 |
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39.01 |
% |
7.17 |
% |
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Total |
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$ |
153,384,566 |
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39.01 |
% |
7.17 |
% |
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Total Hybrid |
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$ |
393,235,945 |
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100.00 |
% |
18.39 |
% |
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Balloons |
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3.5 - 4.5 Years to Balloon Date |
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$ |
13,805,507 |
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19.19 |
% |
0.65 |
% |
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4.5 - 5.5 Years to Balloon Date |
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$ |
39,577,095 |
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55.00 |
% |
1.85 |
% |
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5.5 - 6.5 Years to Balloon Date |
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$ |
18,574,793 |
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25.81 |
% |
0.87 |
% |
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Total Balloon |
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$ |
71,957,395 |
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100.00 |
% |
3.36 |
% |
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Fixed Rate Assets |
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15year $85,000 Maximum Loan Size |
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$ |
79,482,179 |
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50.95 |
% |
3.72 |
% |
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15year $110,000 Maximum Loan Size |
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$ |
6,208,782 |
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3.98 |
% |
0.29 |
% |
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15yr 100% Investor Property |
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$ |
1,230,848 |
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0.79 |
% |
0.06 |
% |
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15yr 100% FNMA Expanded Approval Level 3 |
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$ |
2,313,836 |
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1.48 |
% |
0.11 |
% |
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15yr 100% Alt-A |
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$ |
48,192,732 |
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30.89 |
% |
2.25 |
% |
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15yr Other |
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$ |
16,312,977 |
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10.46 |
% |
0.76 |
% |
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10yr Other |
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$ |
2,250,706 |
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1.44 |
% |
0.11 |
% |
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Total 10 and 15 Year Collateral |
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$ |
155,992,061 |
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100.00 |
% |
7.29 |
% |
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30year $85,000 Maximum Loan Size |
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$ |
168,743,157 |
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41.15 |
% |
7.89 |
% |
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30year $110,000 Maximum Loan Size |
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$ |
38,168,192 |
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9.31 |
% |
1.78 |
% |
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30yr 100% Investor Property |
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$ |
12,492,212 |
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3.05 |
% |
0.58 |
% |
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30yr 100% FNMA Expanded Approval Level 3 |
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$ |
95,795,882 |
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23.36 |
% |
4.48 |
% |
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30yr 100% Alt-A |
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$ |
72,811,752 |
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17.76 |
% |
3.40 |
% |
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30yr Geography Specific (NY, FL, VT, TX) |
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$ |
4,520,209 |
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1.10 |
% |
0.21 |
% |
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30yr 100% GNMA Builder Buydown Program |
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$ |
3,607,702 |
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0.88 |
% |
0.17 |
% |
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30yr Other |
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$ |
13,950,550 |
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3.40 |
% |
0.65 |
% |
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Total 30 Year Collateral |
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$ |
410,089,657 |
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100.00 |
% |
19.17 |
% |
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Total Fixed Rate Collateral |
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$ |
566,081,717 |
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26.47 |
% |
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Grand Total (All Mortgage Assets) |
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$ |
2,138,672,165 |
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100.00 |
% |
Bimini Mortgage Management Repo Information as of 10/25/04
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Repo Counter- |
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Dollar Amount of |
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Weightd |
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Longest |
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|
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Deutsche Bank |
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$ |
443,032,000.00 |
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130 |
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10/25/2005 |
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Nomura |
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$ |
338,880,821.00 |
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165 |
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10/20/2005 |
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UBS Securities |
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$ |
331,207,000.00 |
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76 |
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7/12/2005 |
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Bank of America |
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$ |
216,001,000.00 |
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98 |
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7/11/2005 |
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Goldman Sachs |
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$ |
101,848,665.79 |
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54 |
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4/27/2005 |
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Daiwa Secs |
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$ |
97,763,000.00 |
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15 |
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11/15/2004 |
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Merrill Lynch |
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$ |
83,561,000.00 |
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239 |
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7/22/2005 |
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Countrywide Secs |
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$ |
83,444,000.00 |
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71 |
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6/1/2005 |
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Morgan Stanley |
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$ |
81,932,000.00 |
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131 |
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4/12/2005 |
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Bear Stearns |
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$ |
80,203,000.00 |
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142 |
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4/27/2005 |
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JP Morgan Secs |
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$ |
62,822,000.00 |
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48 |
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6/15/2005 |
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Lehman Bros |
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$ |
23,129,786.00 |
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149 |
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4/12/2005 |
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Total |
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$ |
1,943,824,272.79 |
|
114 |
|
10/25/2005 |
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Asset Class |
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Dollar Amount of |
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Weightd |
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Weighted |
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Longest |
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Fixed Rate |
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$ |
573,293,528.39 |
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1.60 |
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95 |
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10/25/2005 |
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Adjst Rate MBS |
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$ |
875,163,744.40 |
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1.91 |
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121 |
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10/25/2005 |
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Hybrids Adj Rate |
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$ |
209,821,000.00 |
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2.13 |
|
261 |
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10/25/2005 |
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CMO Floating Rate |
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$ |
210,957,000.00 |
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1.85 |
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23 |
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11/26/2004 |
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Balloon Maturity |
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$ |
74,589,000.00 |
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1.38 |
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14 |
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11/19/2004 |
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Total |
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$ |
1,943,824,272.79 |
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1.82 |
|
114 |
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10/25/2005 |
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