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): January 7, 2005
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 of Incorporation) |
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(Commission File Number) |
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(IRS Employer Identification No.) |
3305 Flamingo Drive, Suite 100, Vero Beach, Florida 32963
(Address of Principal Executive Offices) (Zip Code)
Registrant’s telephone number, including area code (772) 231-1400
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:
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))
ITEM 7.01. REGULATION FD DISCLOSURE
On January 7, 2005, Bimini Mortgage Management, Inc. (the “Company”) prepared updated portfolio information as of December 31, 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: January 7, 2005 |
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 |
3
EXHIBIT INDEX
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99.1 |
— |
Updated Portfolio Information of Bimini Mortgage Management, Inc. |
4
Exhibit 99.1
UNAUDITED as of 12/31/2004
Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions.
Prices Used Are Wall Street Dealer Valuations and Compiled on 12/31/04
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Valuation |
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Asset Category |
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Market Value |
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As a Percent of Mortgage Assets |
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As a Percent of Mortgage Assets, Cash and P&I Receivable |
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Fixed Rate Mortgage Backed Securities |
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$ |
749,789,412 |
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25.22 |
% |
24.08 |
% |
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CMO Floaters (Monthly Resetting) |
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$ |
250,438,730 |
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8.42 |
% |
8.04 |
% |
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Adjustable Rate Mortgage Backed Securities(1) |
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$ |
1,403,381,666 |
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47.20 |
% |
45.06 |
% |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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$ |
500,927,382 |
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16.85 |
% |
16.09 |
% |
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Balloon Maturity Mortgage Backed Securities |
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$ |
68,695,707 |
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2.31 |
% |
2.21 |
% |
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Total: Mortgage Assets(2) |
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$ |
2,973,232,897 |
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100.00 |
% |
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Cash as of 12/31/2004(3) |
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$ |
137,528,119 |
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4.42 |
% |
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P&I Receivables as of 12/31/2004 |
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$ |
3,460,133 |
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0.11 |
% |
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Total: All Assets |
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$ |
3,114,221,149 |
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100.00 |
% |
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(1) Adjustable Rate MBS’ are those that reset coupons within one year’s time.
(2) Included in Total Mortgage Assets are Forward Settling Transactions with a Market Value equal to $65,765,630.
(3) As of 12/31/2004 the value of securities held in the box was $6.0 million.
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Characteristics |
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Weighted Average Coupon |
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Weighted Average Lifetime Cap |
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Weighted Average Periodic Cap Per Year |
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Weighted Average Coupon Reset (in Months) |
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Longest Maturity |
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Weighted Average Maturity (in Months) |
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Asset Category |
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Fixed Rate Mortgage Backed Securities |
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6.88 |
% |
n/a |
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n/a |
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n/a |
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1-Dec-34 |
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293 |
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CMO Floaters (Monthly Resetting) |
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2.91 |
% |
7.93 |
% |
n/a |
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0.64 |
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25-May-34 |
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326 |
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Adjustable Rate Mortgage Backed Securities(4) |
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3.83 |
% |
10.77 |
% |
1.39 |
% |
3.97 |
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1-Dec-42 |
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347 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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4.59 |
% |
10.30 |
% |
1.24 |
% |
28.93 |
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20-Dec-34 |
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351 |
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Balloon Maturity Mortgage Backed Securities |
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4.07 |
% |
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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60 |
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Total: Mortgage Assets |
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4.65 |
% |
10.33 |
% |
1.33 |
% |
9.39 |
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1-Dec-42 |
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325 |
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(4) 46.3% ($650 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Cap.
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Agency |
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Market Value |
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As a Percentage of Mortgage Assets |
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Qualifying Assets |
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Market Value |
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As a Percentage of Mortgage Assets |
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Fannie Mae |
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$ |
1,879,519,969 |
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63.21 |
% |
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Whole Pool |
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$ |
1,821,495,782 |
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61.26 |
% |
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Freddie Mac |
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$ |
541,786,470 |
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18.22 |
% |
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Non Whole Pool |
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$ |
1,151,737,115 |
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38.74 |
% |
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Ginnie Mae |
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$ |
551,926,457 |
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18.56 |
% |
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Total Portfolio |
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$ |
2,973,232,897 |
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100.00 |
% |
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Total Portfolio |
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$ |
2,973,232,897 |
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100.00 |
% |
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Portfolio Price and Duration |
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Weighted Average Purchase Price |
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$ |
103.44 |
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Weighted Average Current Price |
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$ |
103.36 |
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Modeled Effective Duration as of 12/31/04 |
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0.835 |
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Prepayment Speeds
On December 7, 2004 Prepayment Speeds were released for paydowns occurring in November 2004. The numbers below reflect that data.
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Asset Category |
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Weighted Average Prepayment Speeds |
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Fixed Rate Mortgage Backed Securities |
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28.70 |
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CMO Floaters |
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23.22 |
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Adjustable Rate Mortgage Backed Securities |
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23.15 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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16.96 |
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Balloon Maturity Mortgage Backed Securities |
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23.05 |
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Total: Mortgage Assets |
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23.60 |
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UNAUDITED as of 12/31/2004
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Adjustable Rate Assets |
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Market Value As of 12/31/2004 |
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% of Asset Class |
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% of Total Mortgage Assets |
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One Month Libor |
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$ |
40,492,306 |
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2.89 |
% |
1.36 |
% |
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Moving Treasury Average |
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$ |
89,463,980 |
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6.37 |
% |
3.01 |
% |
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Cost Of Funds Index |
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$ |
323,180,028 |
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23.03 |
% |
10.87 |
% |
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Six Month LIBOR |
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$ |
287,003,235 |
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20.45 |
% |
9.65 |
% |
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Six Month CD Rate |
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$ |
4,311,739 |
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0.31 |
% |
0.15 |
% |
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One Year LIBOR |
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$ |
93,271,141 |
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6.65 |
% |
3.14 |
% |
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Conventional One Year CMT |
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$ |
267,090,263 |
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19.03 |
% |
8.98 |
% |
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FHA and VA One Year CMT |
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$ |
294,889,343 |
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21.01 |
% |
9.92 |
% |
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National Mortgage Contract Rate |
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$ |
3,679,631 |
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0.26 |
% |
0.12 |
% |
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Total ARM |
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$ |
1,403,381,666 |
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100.00 |
% |
47.20 |
% |
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CMO Floaters (Monthly Resetting) |
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Short Stable |
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$ |
38,609,243 |
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15.42 |
% |
1.30 |
% |
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Pass-Through |
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$ |
40,938,581 |
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16.35 |
% |
1.38 |
% |
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Locked Out |
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$ |
170,890,905 |
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68.24 |
% |
5.75 |
% |
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Total CMO |
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$ |
250,438,730 |
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100.00 |
% |
8.42 |
% |
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Hybrid ARMs |
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Generic Fannie or Freddie Hybrid ARMs |
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13 - 18 Months to First Reset |
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$ |
33,972,383 |
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6.78 |
% |
1.14 |
% |
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19 - 24 Months to First Reset |
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$ |
105,231,006 |
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21.01 |
% |
3.54 |
% |
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25 - 36 Months to First Reset |
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$ |
35,403,971 |
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7.07 |
% |
1.19 |
% |
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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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$ |
174,607,360 |
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34.86 |
% |
5.87 |
% |
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Agency Alt-A Hybrid ARMs |
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13 - 18 Months to First Reset |
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$ |
26,318,102 |
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5.25 |
% |
0.89 |
% |
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19 - 24 Months to First Reset |
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$ |
4,386,970 |
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0.88 |
% |
0.15 |
% |
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25 - 36 Months to First Reset |
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$ |
52,213,301 |
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10.42 |
% |
1.76 |
% |
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37 - 60 Months to First Reset |
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$ |
20,192,229 |
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4.03 |
% |
0.68 |
% |
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Total |
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$ |
103,110,602 |
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20.58 |
% |
3.47 |
% |
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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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$ |
223,209,419 |
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44.56 |
% |
7.51 |
% |
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Total |
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$ |
223,209,419 |
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44.56 |
% |
7.51 |
% |
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Total Hybrid |
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$ |
500,927,382 |
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100.00 |
% |
16.85 |
% |
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Balloons |
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< 4.5 Years to Balloon Date |
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$ |
13,191,322 |
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19.20 |
% |
0.44 |
% |
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4.6 - 5.5 Years to Balloon Date |
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$ |
38,018,849 |
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55.34 |
% |
1.28 |
% |
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5.6 - 6.5 Years to Balloon Date |
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$ |
17,485,537 |
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25.45 |
% |
0.59 |
% |
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Total Balloon |
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$ |
68,695,707 |
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100.00 |
% |
2.31 |
% |
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Fixed Rate Assets |
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15year $85,000 Maximum Loan Size |
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$ |
96,725,074 |
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50.45 |
% |
3.25 |
% |
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15year $110,000 Maximum Loan Size |
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$ |
6,131,611 |
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3.20 |
% |
0.21 |
% |
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15yr 100% Investor Property |
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$ |
1,220,979 |
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0.64 |
% |
0.04 |
% |
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15yr 100% FNMA Expanded Approval Level 3 |
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$ |
2,292,077 |
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1.20 |
% |
0.08 |
% |
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15yr 100% Alt-A |
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$ |
53,030,264 |
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27.66 |
% |
1.78 |
% |
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15yr Geography Specific (NY, FL, VT, TX) |
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$ |
1,503,579 |
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0.78 |
% |
0.05 |
% |
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15yr Other |
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$ |
28,661,833 |
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14.95 |
% |
0.96 |
% |
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10yr Other |
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$ |
2,146,440 |
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1.12 |
% |
0.07 |
% |
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Total 10 and 15 Year Collateral |
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$ |
191,711,856 |
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100.00 |
% |
6.45 |
% |
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30year $85,000 Maximum Loan Size |
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$ |
176,461,785 |
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31.62 |
% |
5.94 |
% |
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30year $110,000 Maximum Loan Size |
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$ |
56,979,382 |
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10.21 |
% |
1.92 |
% |
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30yr 100% Investor Property |
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$ |
11,115,016 |
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1.99 |
% |
0.37 |
% |
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30yr 100% FNMA Expanded Approval Level 3 |
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$ |
89,510,361 |
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16.04 |
% |
3.01 |
% |
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30yr 100% Alt-A |
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$ |
94,028,349 |
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16.85 |
% |
3.16 |
% |
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20yr 100% Alt-A |
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$ |
1,759,427 |
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0.32 |
% |
0.06 |
% |
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30yr Geography Specific (NY, FL, VT, TX) |
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$ |
4,241,773 |
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0.76 |
% |
0.14 |
% |
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30yr 100% GNMA Builder Buydown Program |
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$ |
8,250,286 |
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1.48 |
% |
0.28 |
% |
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30yr Other |
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$ |
114,102,728 |
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20.45 |
% |
3.84 |
% |
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20yr Other |
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$ |
1,628,448 |
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0.29 |
% |
0.05 |
% |
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Total 30 Year Collateral |
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$ |
558,077,556 |
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100.00 |
% |
18.77 |
% |
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Total Fixed Rate Collateral |
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$ |
749,789,412 |
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25.22 |
% |
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Grand Total (All Mortgage Assets) |
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$ |
2,973,232,897 |
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100.00 |
% |
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Total Cash or Cash Receivables |
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$ |
140,988,252 |
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Grand Total Assets and Cash |
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$ |
3,114,221,149 |
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Total Securities Settling in January |
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$ |
65,765,630 |
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2.21 |
% |
Unaudited Funding Information as at 12/31/04
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Repurchase Counterparties |
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Dollar Amount of Borrowings |
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Weighted Average Maturity |
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Longest maturity |
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Bear Stearns |
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$ |
255,229,000 |
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125 |
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19-Sep-05 |
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Countrywide Securities |
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$ |
178,574,000 |
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41 |
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1-Jun-05 |
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Daiwa Securities |
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$ |
114,436,000 |
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65 |
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1-Nov-05 |
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Bank of America |
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$ |
309,270,000 |
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64 |
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11-Jul-05 |
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Deutsche Bank |
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$ |
308,645,505 |
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225 |
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25-Oct-05 |
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Nomura |
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$ |
463,901,000 |
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97 |
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20-Oct-05 |
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JP Morgan Securities |
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$ |
60,178,000 |
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35 |
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15-Jun-05 |
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Lehman Brothers |
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$ |
257,190,786 |
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79 |
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26-Apr-05 |
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UBS Securities |
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$ |
512,697,000 |
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62 |
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12-Jul-05 |
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Goldman Sachs |
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$ |
107,821,666 |
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35 |
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28-Apr-05 |
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Merrill Lynch |
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$ |
83,561,000 |
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170 |
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22-Jul-05 |
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Morgan Stanley |
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$ |
119,659,000 |
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63 |
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12-Apr-05 |
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Total |
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$ |
2,771,162,957 |
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94 |
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1-Nov-05 |
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Note: During December 2004 the Company executed contracts and paid a commitment fee to three lenders which provides for a total of $900 million in guaranteed repo lines at pre-determined borrowing rates and haircuts for a 364 day period following the starting date of each said contract. There is no obligation on the part of the Company to utilize these lines.
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Asset Class |
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Weighted Average Maturity |
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Longest maturity |
|
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Fixed Rate |
|
114 |
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25-Oct-05 |
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Adjst Rate MBS |
|
75 |
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1-Nov-05 |
|
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Hybrids Adj Rate |
|
185 |
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25-Oct-05 |
|
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CMO Floating Rate |
|
40 |
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15-Mar-05 |
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Baloon Maturity |
|
68 |
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28-Jun-05 |
|
|
|
|
94 |
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1-Nov-05 |
|