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 31, 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 |
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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))
ITEM 7.01. REGULATION FD DISCLOSURE
On January 31, 2005, Bimini Mortgage Management, Inc. (the “Company”) prepared updated portfolio information as of January 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.
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ITEM 9.01. |
FINANCIAL STATEMENTS AND EXHIBITS |
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(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 31, 2005 |
BIMINI MORTGAGE MANAGEMENT, INC. |
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By: |
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/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
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Exhibit No. |
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99.1 - Updated Portfolio Information of Bimini Mortgage Management, Inc. |
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4
Exhibit 99.1
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UNAUDITED as of 1/31/2005 |
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Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions. Prices Used Are Internally Generated
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 Mortgage |
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Fixed Rate Mortgage Backed Securities |
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$ |
820,327,410 |
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24.78 |
% |
23.74 |
% |
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Fixed Rate CMO |
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$ |
104,631,107 |
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3.16 |
% |
3.03 |
% |
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CMO Floaters (Monthly Resetting) |
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$ |
247,677,940 |
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7.48 |
% |
7.17 |
% |
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Adjustable Rate Mortgage Backed Securities (1) |
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$ |
1,542,035,573 |
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46.59 |
% |
44.62 |
% |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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$ |
528,063,872 |
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15.95 |
% |
15.28 |
% |
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Balloon Maturity Mortgage Backed Securities |
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$ |
67,344,449 |
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2.03 |
% |
1.95 |
% |
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Total: Mortgage Assets (2) |
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$ |
3,310,080,352 |
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100.00 |
% |
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Cash as of 1/31/2005 (3) |
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$ |
140,360,298 |
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4.06 |
% |
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P&I Receivables (As of 01/31/2005) |
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$ |
5,226,435 |
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0.15 |
% |
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Total: All Assets |
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$ |
3,455,667,085 |
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100.00 |
% |
(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 $11,472,902
(3) As of 1/31/2005 cash on margin was $13,592,000 and the value of securities held in the box was $4.0 million.
Characteristics
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Asset Category |
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Weighted |
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Weighted
Average |
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Weighted
Average |
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Weighted
Average |
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Longest |
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Weighted
Average |
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Fixed Rate Mortgage Backed Securities |
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6.94 |
% |
n/a |
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n/a |
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n/a |
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1-Jan-35 |
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290 |
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Fixed Rate CMO |
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5.50 |
% |
n/a |
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n/a |
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n/a |
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25-Jul-34 |
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354 |
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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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325 |
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Adjustable Rate Mortgage Backed Securities (4) |
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3.89 |
% |
10.74 |
% |
1.40 |
% |
4.20 |
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1-Dec-42 |
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346 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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4.62 |
% |
10.27 |
% |
1.23 |
% |
28.58 |
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20-Jan-35 |
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350 |
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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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59 |
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Total: Mortgage Assets |
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4.74 |
% |
9.88 |
% |
1.33 |
% |
8.97 |
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1-Dec-42 |
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325 |
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(4) 45.0% ($694.5 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Caps
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Agency |
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Market Value |
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As a
Percentage of |
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Fannie Mae |
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$ |
2,058,695,487 |
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62.19 |
% |
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Freddie Mac |
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$ |
608,422,853 |
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18.38 |
% |
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Ginnie Mae |
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$ |
642,962,012 |
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19.42 |
% |
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Total Portfolio |
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$ |
3,310,080,352 |
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100.00 |
% |
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Market Value |
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As a Percentage of |
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Whole Pool |
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$ |
1,895,552,874 |
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57.27 |
% |
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Non Whole Pool |
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$ |
1,414,527,478 |
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42.73 |
% |
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Total Portfolio |
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$ |
3,310,080,352 |
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100.00 |
% |
Portfolio Price and Duration
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Weighted Average Purchase Price |
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$ |
103.42 |
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Weighted Average Current Price |
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$ |
103.33 |
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Modeled Effective Duration |
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0.637 |
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Prepayment Speeds
On January 7, 2005 Prepayment Speeds were released for paydowns occurring in December 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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28.52 |
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CMO Floaters |
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24.87 |
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Adjustable Rate Mortgage Backed Securities |
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24.45 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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19.10 |
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Balloon Maturity Mortgage Backed Securities |
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19.04 |
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Total: Mortgage Assets |
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24.51 |
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Internally Generated |
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% of |
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% of Total |
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Adjustable Rate Mortgages |
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One Month LIBOR |
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$ |
42,870,242 |
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2.78 |
% |
1.30 |
% |
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Moving Treasury Average |
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$ |
87,036,880 |
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5.64 |
% |
2.63 |
% |
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Cost Of Funds Index |
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$ |
368,565,135 |
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23.90 |
% |
11.13 |
% |
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Six Month LIBOR |
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$ |
288,458,445 |
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18.71 |
% |
8.71 |
% |
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Six Month CD Rate |
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$ |
4,243,497 |
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0.28 |
% |
0.13 |
% |
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One Year LIBOR |
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$ |
106,542,561 |
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6.91 |
% |
3.22 |
% |
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Conventional One Year CMT |
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$ |
300,255,415 |
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19.47 |
% |
9.07 |
% |
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FHA and VA One Year CMT |
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$ |
340,400,517 |
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22.07 |
% |
10.28 |
% |
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National Mortgage Contract Rate |
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$ |
3,662,881 |
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0.24 |
% |
0.11 |
% |
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Total ARMs |
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$ |
1,542,035,573 |
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100.00 |
% |
46.59 |
% |
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CMO Floaters (Monthly Resetting) |
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Short Stable |
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$ |
36,794,125 |
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14.86 |
% |
1.11 |
% |
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Pass-Through |
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$ |
39,992,911 |
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16.15 |
% |
1.21 |
% |
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Locked Out |
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$ |
170,890,905 |
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69.00 |
% |
5.16 |
% |
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Total CMOs |
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$ |
247,677,940 |
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100.00 |
% |
7.48 |
% |
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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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$ |
32,982,407 |
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6.25 |
% |
1.00 |
% |
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19 - 24 Months to First Reset |
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$ |
102,079,090 |
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19.33 |
% |
3.08 |
% |
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25 - 36 Months to First Reset |
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$ |
34,852,982 |
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6.60 |
% |
1.05 |
% |
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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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$ |
169,914,480 |
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32.18 |
% |
5.13 |
% |
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Agency Alt-A Hybrid ARMs |
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13 - 18 Months to First Reset |
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$ |
29,955,036 |
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5.67 |
% |
0.90 |
% |
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19 - 24 Months to First Reset |
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$ |
9,494,355 |
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1.80 |
% |
0.29 |
% |
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25 - 36 Months to First Reset |
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$ |
39,747,344 |
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7.53 |
% |
1.20 |
% |
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37 - 60 Months to First Reset |
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$ |
19,646,775 |
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3.72 |
% |
0.59 |
% |
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Total |
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$ |
98,843,509 |
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18.72 |
% |
2.99 |
% |
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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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$ |
259,305,883 |
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49.11 |
% |
7.83 |
% |
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Total |
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$ |
259,305,883 |
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49.11 |
% |
7.83 |
% |
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Total Hybrid ARMs |
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$ |
528,063,872 |
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100.00 |
% |
15.95 |
% |
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Balloons |
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< = 4.5 Years to Balloon Date |
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$ |
13,051,746 |
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19.38 |
% |
0.39 |
% |
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4.6 - 5.5 Years to Balloon Date |
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$ |
36,909,300 |
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54.81 |
% |
1.12 |
% |
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5.6 - 6.5 Years to Balloon Date |
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$ |
17,383,404 |
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25.81 |
% |
0.53 |
% |
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Total Balloons |
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$ |
67,344,449 |
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100.00 |
% |
2.03 |
% |
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Fixed Rate Assets |
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Short Sequential Fixed Rate CMO |
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$ |
104,631,107 |
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11.31 |
% |
3.16 |
% |
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10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
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$ |
2,795,497 |
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0.30 |
% |
0.08 |
% |
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15yr $85,000 Maximum Loan Size |
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$ |
94,853,686 |
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10.25 |
% |
2.87 |
% |
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15yr $110,000 Maximum Loan Size |
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$ |
5,955,333 |
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0.64 |
% |
0.18 |
% |
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15yr 100% Investor Property |
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$ |
1,216,459 |
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0.13 |
% |
0.04 |
% |
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15yr 100% FNMA Expanded Approval Level 3 |
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$ |
2,222,957 |
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0.24 |
% |
0.07 |
% |
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15yr 100% Alt-A |
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$ |
56,885,730 |
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6.15 |
% |
1.72 |
% |
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15yr Geography Specific (NY, FL, VT, TX) |
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$ |
1,139,416 |
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0.12 |
% |
0.03 |
% |
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15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
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$ |
40,541,367 |
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4.38 |
% |
1.22 |
% |
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20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
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$ |
1,574,162 |
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0.17 |
% |
0.05 |
% |
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20yr 100% Alt-A |
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$ |
1,755,927 |
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0.19 |
% |
0.05 |
% |
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30yr $85,000 Maximum Loan Size |
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$ |
171,155,679 |
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18.50 |
% |
5.17 |
% |
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30yr $110,000 Maximum Loan Size |
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$ |
56,356,077 |
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6.09 |
% |
1.70 |
% |
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30yr 100% Investor Property |
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$ |
11,102,802 |
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1.20 |
% |
0.34 |
% |
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30yr 100% FNMA Expanded Approval Level 3 |
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$ |
103,617,792 |
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11.20 |
% |
3.13 |
% |
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30yr 100% Alt-A |
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$ |
87,822,708 |
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9.49 |
% |
2.65 |
% |
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30yr Geography Specific (NY, FL, VT, TX) |
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$ |
7,306,478 |
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0.79 |
% |
0.22 |
% |
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30yr 100% GNMA Builder Buydown Program |
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$ |
12,601,193 |
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1.36 |
% |
0.38 |
% |
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30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
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$ |
161,424,146 |
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17.45 |
% |
4.88 |
% |
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Total Fixed Rate Collateral |
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$ |
924,958,517 |
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100.00 |
% |
27.94 |
% |
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Total (All Mortgage Assets) |
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$ |
3,310,080,352 |
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100.00 |
% |
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Cash or Cash Receivables |
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$ |
145,586,733 |
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Total Assets and Cash |
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$ |
3,455,667,085 |
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Total Securities Forward Settling |
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$ |
11,472,902 |
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0.35 |
% |
Unaudited Funding Information as at 1/31/2005
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Repurchase |
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Dollar Amount of |
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Weighted Average |
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Longest |
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JP Morgan Securities |
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$ |
403,611,000 |
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46 |
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27-Jun-05 |
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Nomura |
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$ |
400,826,000 |
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92 |
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20-Oct-05 |
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Deutsche Bank |
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$ |
336,958,000 |
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217 |
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25-Oct-05 |
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UBS Securities |
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$ |
314,113,000 |
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80 |
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1-Aug-05 |
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Bank of America |
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$ |
311,447,000 |
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45 |
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11-Jul-05 |
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Lehman Brothers |
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$ |
288,388,786 |
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101 |
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21-Oct-05 |
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Bear Stearns |
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$ |
277,308,000 |
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99 |
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19-Sep-05 |
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Countrywide Securities |
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$ |
274,153,000 |
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75 |
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1-Jun-05 |
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WAMU |
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$ |
125,088,000 |
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144 |
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26-Aug-05 |
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Goldman Sachs |
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$ |
121,231,989 |
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58 |
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27-May-05 |
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Daiwa Securities |
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$ |
105,687,000 |
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93 |
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1-Nov-05 |
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Merrill Lynch |
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$ |
103,032,000 |
|
154 |
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22-Jul-05 |
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Morgan Stanley |
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$ |
76,118,000 |
|
59 |
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12-Apr-05 |
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Total |
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$ |
3,137,961,775 |
|
96 |
|
1-Nov-05 |
|
|
Asset Class |
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Weighted Average |
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Longest maturity |
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|
|
|
|
|
|
|
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Fixed Rate |
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114 |
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25-Oct-05 |
|
|
CMO Floating Rate |
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40 |
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24-Mar-05 |
|
|
Adjustable Rate MBS |
|
84 |
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1-Nov-05 |
|
|
Hybrids Adj Rate |
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168 |
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25-Oct-05 |
|
|
Balloon Maturity |
|
81 |
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28-Jun-05 |
|
|
|
|
96 |
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1-Nov-05 |
|