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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Bimini Capital Management Inc (QB) | USOTC:BMNM | OTCMarkets | Common Stock |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 0.6501 | 0.66 | 0.95 | 0.00 | 20:30:01 |
|
|||
Bimini Capital Management, Inc.
|
|||
(Exact name of registrant as specified in its charter)
|
|||
Maryland
|
72-1571637
|
||
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
Large accelerated filer
|
☐
|
Accelerated filer
|
☐
|
Non-accelerated filer
|
¨
(Do not check if a smaller reporting company)
|
Smaller reporting company
|
☒
|
|
|
Emerging growth company
|
☐
|
Title of each Class
|
Latest Practicable Date
|
Shares Outstanding
|
Class A Common Stock, $0.001 par value
|
August 3, 2018
|
12,704,598
|
Class B Common Stock, $0.001 par value
|
August 3, 2018
|
31,938
|
Class C Common Stock, $0.001 par value
|
August 3, 2018
|
31,938
|
Page
|
||||
PART I. FINANCIAL INFORMATION
|
||||
ITEM 1. Condensed Financial Statements
|
1
|
|||
Condensed Consolidated Balance Sheets (unaudited)
|
1
|
|||
Condensed Consolidated Statements of Operations (unaudited)
|
2
|
|||
Condensed Consolidated Statement of Stockholders' Equity (unaudited)
|
3
|
|||
Condensed Consolidated Statements of Cash Flows (unaudited)
|
4
|
|||
Notes to Condensed Consolidated Financial Statements
|
5
|
|||
ITEM 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
|
26
|
|||
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk
|
48
|
|||
ITEM 4. Controls and Procedures
|
48
|
|||
PART II. OTHER INFORMATION
|
||||
ITEM 1. Legal Proceedings
|
49
|
|||
ITEM 1A. Risk Factors
|
49
|
|||
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
49
|
|||
ITEM 3. Defaults Upon Senior Securities
|
49
|
|||
ITEM 4. Mine Safety Disclosures
|
49
|
|||
ITEM 5. Other Information
|
49
|
|||
ITEM 6. Exhibits
|
50
|
|||
SIGNATURES
|
51
|
(in thousands)
|
||||||||
June 30, 2018
|
December 31, 2017
|
|||||||
Cash and cash equivalents
|
$
|
6,589,041
|
$
|
6,103,250
|
||||
Restricted cash
|
2,203,070
|
2,649,610
|
||||||
Total cash, cash equivalents and restricted cash
|
$
|
8,792,111
|
$
|
8,752,860
|
·
|
One-twelfth of 1.5% of the first $250 million of the Orchid's equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Orchid's equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of the Orchid's equity that is greater than $500 million.
|
(in thousands)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2018
|
2017
|
2018
|
2017
|
|||||||||||||
Management fee
|
$
|
3,318
|
$
|
2,702
|
$
|
1,606
|
$
|
1,400
|
||||||||
Allocated overhead
|
742
|
756
|
361
|
388
|
||||||||||||
Total
|
$
|
4,060
|
$
|
3,458
|
$
|
1,967
|
$
|
1,788
|
(in thousands)
|
||||||||
June 30, 2018
|
December 31, 2017
|
|||||||
Pass-Through MBS:
|
||||||||
Fixed-rate Mortgages
|
$
|
182,342
|
$
|
207,179
|
||||
Total Pass-Through MBS
|
182,342
|
207,179
|
||||||
Structured MBS:
|
||||||||
Interest-Only Securities
|
1,407
|
1,476
|
||||||
Inverse Interest-Only Securities
|
777
|
1,037
|
||||||
Total Structured MBS
|
2,184
|
2,513
|
||||||
Total
|
$
|
184,526
|
$
|
209,692
|
(in thousands)
|
|||||||||
Series
|
Issue Date
|
June 30, 2018
|
December 31, 2017
|
||||||
HMAC 2004-3
|
June 30, 2004
|
$
|
-
|
$
|
177
|
||||
HMAC 2004-4
|
August 16, 2004
|
-
|
386
|
||||||
HMAC 2004-5
|
September 28, 2004
|
-
|
90
|
||||||
Total
|
$
|
-
|
$
|
653
|
($ in thousands)
|
||||||||||||||||||||
OVERNIGHT
|
BETWEEN 2
|
BETWEEN 31
|
GREATER
|
|||||||||||||||||
(1 DAY OR
|
AND
|
AND
|
THAN
|
|||||||||||||||||
LESS)
|
30 DAYS
|
90 DAYS
|
90 DAYS
|
TOTAL
|
||||||||||||||||
June 30, 2018
|
||||||||||||||||||||
Fair value of securities pledged, including accrued
|
||||||||||||||||||||
interest receivable
|
$
|
-
|
$
|
90,638
|
$
|
94,464
|
$
|
-
|
$
|
185,102
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
86,247
|
$
|
89,175
|
$
|
-
|
$
|
175,422
|
||||||||||
Net weighted average borrowing rate
|
-
|
2.10
|
%
|
2.16
|
%
|
-
|
2.13
|
%
|
||||||||||||
December 31, 2017
|
||||||||||||||||||||
Fair value of securities pledged, including accrued
|
||||||||||||||||||||
interest receivable
|
$
|
-
|
$
|
94,649
|
$
|
115,350
|
$
|
-
|
$
|
209,999
|
||||||||||
Repurchase agreement liabilities associated with
|
||||||||||||||||||||
these securities
|
$
|
-
|
$
|
90,686
|
$
|
109,497
|
$
|
-
|
$
|
200,183
|
||||||||||
Net weighted average borrowing rate
|
-
|
1.47
|
%
|
1.56
|
%
|
-
|
1.52
|
%
|
(in thousands)
|
|||||||||
Derivative Instruments and Related Accounts
|
Balance Sheet Location
|
June 30, 2018
|
December 31, 2017
|
||||||
Liabilities
|
|||||||||
TBA Securities
|
Other liabilities
|
$
|
344
|
$
|
-
|
||||
Total derivative liabilities, at fair value
|
$
|
344
|
$
|
-
|
|||||
Margin Balances Posted to Counterparties
|
|||||||||
Futures contracts
|
Restricted cash
|
$
|
617
|
$
|
442
|
||||
TBA securities
|
Restricted cash
|
375
|
-
|
||||||
Total margin balances on derivative contracts
|
$
|
992
|
$
|
442
|
($ in thousands)
|
||||||||||||||||
As of June 30, 2018
|
||||||||||||||||
Repurchase Agreement Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2018
|
$
|
80,000
|
2.11
|
%
|
2.57
|
%
|
$
|
185
|
||||||||
2019
|
100,000
|
2.41
|
%
|
2.88
|
%
|
465
|
||||||||||
2020
|
100,000
|
2.64
|
%
|
2.98
|
%
|
335
|
||||||||||
2021
|
100,000
|
2.80
|
%
|
2.97
|
%
|
167
|
||||||||||
Total / Weighted Average
|
$
|
97,143
|
2.56
|
%
|
2.90
|
%
|
$
|
1,152
|
($ in thousands)
|
||||||||||||||||
As of June 30, 2018
|
||||||||||||||||
Junior Subordinated Debt Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2018
|
$
|
26,000
|
1.39
|
%
|
2.55
|
%
|
$
|
151
|
||||||||
2019
|
26,000
|
1.63
|
%
|
2.88
|
%
|
323
|
||||||||||
2020
|
26,000
|
1.95
|
%
|
2.98
|
%
|
268
|
||||||||||
2021
|
26,000
|
2.22
|
%
|
2.97
|
%
|
195
|
||||||||||
Total / Weighted Average
|
$
|
26,000
|
1.85
|
%
|
2.88
|
%
|
$
|
937
|
($ in thousands)
|
||||||||||||||||
As of December 31, 2017
|
||||||||||||||||
Repurchase Agreement Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2018
|
$
|
60,000
|
1.90
|
%
|
1.97
|
%
|
$
|
41
|
||||||||
2019
|
60,000
|
2.32
|
%
|
2.27
|
%
|
(31
|
)
|
|||||||||
2020
|
60,000
|
2.60
|
%
|
2.36
|
%
|
(145
|
)
|
|||||||||
2021
|
60,000
|
2.80
|
%
|
2.42
|
%
|
(230
|
)
|
|||||||||
Total / Weighted Average
|
$
|
60,000
|
2.41
|
%
|
2.25
|
%
|
$
|
(365
|
)
|
($ in thousands)
|
||||||||||||||||
As of December 31, 2017
|
||||||||||||||||
Junior Subordinated Debt Funding Hedges
|
||||||||||||||||
Average
|
Weighted
|
Weighted
|
||||||||||||||
Contract
|
Average
|
Average
|
||||||||||||||
Notional
|
Entry
|
Effective
|
Open
|
|||||||||||||
Expiration Year
|
Amount
|
Rate
|
Rate
|
Equity
(1)
|
||||||||||||
2018
|
$
|
26,000
|
1.84
|
%
|
1.97
|
%
|
$
|
33
|
||||||||
2019
|
26,000
|
1.63
|
%
|
2.27
|
%
|
$
|
166
|
|||||||||
2020
|
26,000
|
1.95
|
%
|
2.36
|
%
|
$
|
107
|
|||||||||
2021
|
26,000
|
2.22
|
%
|
2.42
|
%
|
$
|
51
|
|||||||||
Total / Weighted Average
|
$
|
26,000
|
1.91
|
%
|
2.25
|
%
|
$
|
357
|
(1)
|
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.
|
($ in thousands)
|
|||||
Notional
|
Net
|
||||
Amount
|
Cost
|
Market
|
Carrying
|
||
Long (Short)
(1)
|
Basis
(2)
|
Value
(3)
|
Value
(4)
|
||
June 30, 2018
|
|||||
30-Year TBA Securities:
|
|||||
3.0%
|
$(50,000)
|
$48,063
|
$47,719
|
$(344)
|
(1)
|
Notional amount represents the par value (or principal balance) of the underlying Agency MBS.
|
(2)
|
Cost basis represents the forward price to be paid (received) for the underlying Agency MBS.
|
(3)
|
Market value represents the current market value of the TBA securities (or of the underlying Agency MBS) as of period-end.
|
(4)
|
Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities), at fair value in our consolidated balance sheets.
|
(in thousands)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2018
|
2017
|
2018
|
2017
|
|||||||||||||
Eurodollar futures contracts (short positions)
|
||||||||||||||||
Repurchase agreement funding hedges
|
$
|
1,624
|
$
|
(565
|
)
|
$
|
534
|
$
|
(580
|
)
|
||||||
Junior subordinated debt funding hedges
|
557
|
(245
|
)
|
142
|
(251
|
)
|
||||||||||
T-Note futures contracts (short positions)
|
||||||||||||||||
Repurchase agreement funding hedges
|
759
|
-
|
-
|
-
|
||||||||||||
Net TBA securities
|
(330
|
)
|
-
|
194
|
-
|
|||||||||||
Gains (losses) on derivative instruments
|
$
|
2,610
|
$
|
(810
|
)
|
$
|
870
|
$
|
(831
|
)
|
($ in thousands)
|
||||||||||||||||||||||||
June 30, 2018
|
December 31, 2017
|
|||||||||||||||||||||||
Repurchase
|
Derivative
|
Repurchase
|
Derivative
|
|||||||||||||||||||||
Assets Pledged to Counterparties
|
Agreements
|
Agreements
|
Total
|
Agreements
|
Agreements
|
Total
|
||||||||||||||||||
PT MBS - at fair value
|
$
|
182,342
|
$
|
-
|
$
|
182,342
|
$
|
207,179
|
$
|
-
|
$
|
207,179
|
||||||||||||
Structured MBS - at fair value
|
2,094
|
-
|
2,094
|
2,091
|
-
|
2,091
|
||||||||||||||||||
Accrued interest on pledged securities
|
666
|
-
|
666
|
730
|
-
|
730
|
||||||||||||||||||
Restricted cash
|
1,211
|
992
|
2,203
|
2,208
|
442
|
2,650
|
||||||||||||||||||
Total
|
$
|
186,313
|
$
|
992
|
$
|
187,305
|
$
|
212,208
|
$
|
442
|
$
|
212,650
|
($ in thousands)
|
||||||||
Assets Pledged to Bimini
|
June 30, 2018
|
December 31, 2017
|
||||||
Cash
|
$
|
270
|
$
|
-
|
||||
Total
|
$
|
270
|
$
|
-
|
(in thousands)
|
||||||||||||||||||||||||
Offsetting of Liabilities
|
||||||||||||||||||||||||
Gross Amount Not Offset in the
|
||||||||||||||||||||||||
Net Amount
|
Consolidated Balance Sheet
|
|||||||||||||||||||||||
Gross Amount
|
of Liabilities
|
Financial
|
||||||||||||||||||||||
Gross Amount
|
Offset in the
|
Presented in the
|
Instruments
|
Cash
|
||||||||||||||||||||
of Recognized
|
Consolidated
|
Consolidated
|
Posted as
|
Posted as
|
Net
|
|||||||||||||||||||
Liabilities
|
Balance Sheet
|
Balance Sheet
|
Collateral
|
Collateral
|
Amount
|
|||||||||||||||||||
June 30, 2018
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
175,422
|
$
|
-
|
$
|
175,422
|
$
|
(174,211
|
)
|
$
|
(1,211
|
)
|
$
|
-
|
||||||||||
TBA securities
|
344
|
-
|
344
|
-
|
(344
|
)
|
-
|
|||||||||||||||||
$
|
175,766
|
$
|
-
|
$
|
175,766
|
$
|
(174,211
|
)
|
$
|
(1,555
|
)
|
$
|
-
|
|||||||||||
December 31, 2017
|
||||||||||||||||||||||||
Repurchase Agreements
|
$
|
200,183
|
$
|
-
|
$
|
200,183
|
$
|
(197,975
|
)
|
$
|
(2,208
|
)
|
$
|
-
|
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
Shares Issued Related To:
|
2018
|
2017
|
2018
|
2017
|
||||||||||||
Shares sold directly to employees
|
83,332
|
-
|
-
|
-
|
||||||||||||
Total shares of Class A Common Stock issued
|
83,332
|
-
|
-
|
-
|
($ in thousands, except per share data)
|
||||||||||||||||
Six Months Ended June 30,
|
||||||||||||||||
2018
|
2017
|
|||||||||||||||
Weighted
|
Weighted
|
|||||||||||||||
Average
|
Average
|
|||||||||||||||
Grant Date
|
Grant Date
|
|||||||||||||||
Fair Value
|
Fair Value
|
|||||||||||||||
Shares
|
Per Share
|
Shares
|
Per Share
|
|||||||||||||
Unvested, beginning of period
|
41,000
|
$
|
0.84
|
70,000
|
$
|
1.23
|
||||||||||
Granted
|
-
|
-
|
-
|
-
|
||||||||||||
Vested and issued
|
-
|
-
|
-
|
-
|
||||||||||||
Unvested, end of period
|
41,000
|
$
|
0.84
|
70,000
|
$
|
1.23
|
||||||||||
Compensation expense during the period
|
$
|
6
|
$
|
14
|
||||||||||||
Unrecognized compensation expense at period end
|
$
|
5
|
$
|
25
|
||||||||||||
Weighted-average remaining vesting term (in years)
|
0.5
|
1.0
|
||||||||||||||
Intrinsic value of unvested shares at period end
|
$
|
97
|
$
|
196
|
(in thousands, except per-share information)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2018
|
2017
|
2018
|
2017
|
|||||||||||||
Basic and diluted EPS per Class A common share:
|
||||||||||||||||
(Loss) income attributable to Class A common shares:
|
||||||||||||||||
Basic and diluted
|
$
|
(3,043
|
)
|
$
|
434
|
$
|
221
|
$
|
647
|
|||||||
Weighted average common shares:
|
||||||||||||||||
Class A common shares outstanding at the balance sheet date
|
12,713
|
12,632
|
12,713
|
12,632
|
||||||||||||
Unvested dividend-eligible stock incentive plan shares
|
||||||||||||||||
outstanding at the balance sheet date
|
-
|
70
|
41
|
70
|
||||||||||||
Effect of weighting
|
17
|
-
|
16
|
-
|
||||||||||||
Weighted average shares-basic and diluted
|
12,730
|
12,702
|
12,770
|
12,702
|
||||||||||||
(Loss) income per Class A common share:
|
||||||||||||||||
Basic and diluted
|
$
|
(0.24
|
)
|
$
|
0.03
|
$
|
0.02
|
$
|
0.05
|
(in thousands, except per-share information)
|
||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||
2018
|
2017
|
2018
|
2017
|
|||||||||||||
Basic and diluted EPS per Class B common share:
|
||||||||||||||||
(Loss) income attributable to Class B common shares:
|
||||||||||||||||
Basic and diluted
|
$
|
(8
|
)
|
$
|
1
|
$
|
1
|
$
|
2
|
|||||||
Weighted average common shares:
|
||||||||||||||||
Class B common shares outstanding at the balance sheet date
|
32
|
32
|
32
|
32
|
||||||||||||
Weighted average shares-basic and diluted
|
32
|
32
|
32
|
32
|
||||||||||||
(Loss) income per Class B common share:
|
||||||||||||||||
Basic and diluted
|
$
|
(0.24
|
)
|
$
|
0.03
|
$
|
0.02
|
$
|
0.05
|
·
|
Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume),
|
·
|
Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and
|
·
|
Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company's own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.
|
(in thousands)
|
||||||||||||||||
Quoted Prices
|
||||||||||||||||
in Active
|
Significant
|
|||||||||||||||
Markets for
|
Other
|
Significant
|
||||||||||||||
Identical
|
Observable
|
Unobservable
|
||||||||||||||
Fair Value
|
Assets
|
Inputs
|
Inputs
|
|||||||||||||
Measurements
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
|||||||||||||
June 30, 2018
|
||||||||||||||||
Mortgage-backed securities
|
$
|
184,526
|
$
|
-
|
$
|
184,526
|
$
|
-
|
||||||||
Orchid Island Capital, Inc. common stock
|
11,431
|
11,431
|
-
|
-
|
||||||||||||
TBA securities
|
(344
|
)
|
-
|
(344
|
)
|
-
|
||||||||||
December 31, 2017
|
||||||||||||||||
Mortgage-backed securities
|
$
|
209,692
|
$
|
-
|
$
|
209,692
|
$
|
-
|
||||||||
Orchid Island Capital, Inc. common stock
|
14,106
|
14,106
|
-
|
-
|
||||||||||||
Retained interests in securitizations
|
653
|
-
|
-
|
653
|
(in thousands)
|
||||||||
Retained Interests in Securitizations
|
||||||||
Six Months Ended June 30,
|
||||||||
2018
|
2017
|
|||||||
Balances, January 1
|
$
|
653
|
$
|
1,114
|
||||
(Loss) gain included in earnings
|
(252
|
)
|
304
|
|||||
Collections
|
(401
|
)
|
(774
|
)
|
||||
Balances, June 30
|
$
|
-
|
$
|
644
|
(in thousands)
|
||||||||||
Asset
|
Investment
|
|||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||
2018
|
||||||||||
Advisory services, external customers
|
$
|
4,060
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
4,060
|
Advisory services, other operating segments
(1)
|
120
|
-
|
-
|
(120)
|
-
|
|||||
Interest and dividend income
|
-
|
4,962
|
-
|
-
|
4,962
|
|||||
Interest expense
|
-
|
(1,746)
|
(709)
(2)
|
-
|
(2,455)
|
|||||
Net revenues
|
4,180
|
3,216
|
(709)
|
(120)
|
6,567
|
|||||
Other
|
-
|
(7,539)
|
306
(3)
|
-
|
(7,233)
|
|||||
Operating expenses
(4)
|
(1,498)
|
(1,892)
|
-
|
-
|
(3,390)
|
|||||
Intercompany expenses
(1)
|
-
|
(120)
|
-
|
120
|
-
|
|||||
Income (loss) before income taxes
|
$
|
2,682
|
$
|
(6,335)
|
$
|
(403)
|
$
|
-
|
$
|
(4,056)
|
Asset
|
Investment
|
|||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||
2017
|
||||||||||
Advisory services, external customers
|
$
|
3,458
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
3,458
|
Advisory services, other operating segments
(1)
|
94
|
-
|
-
|
(94)
|
-
|
|||||
Interest and dividend income
|
-
|
3,803
|
1
|
-
|
3,804
|
|||||
Interest expense
|
-
|
(607)
|
(598)
(2)
|
-
|
(1,205)
|
|||||
Net revenues
|
3,552
|
3,196
|
(597)
|
(94)
|
6,057
|
|||||
Other
|
-
|
(2,355)
|
60
(3)
|
-
|
(2,295)
|
|||||
Operating expenses
(4)
|
(1,444)
|
(1,589)
|
-
|
-
|
(3,033)
|
|||||
Intercompany expenses
(1)
|
-
|
(94)
|
-
|
94
|
-
|
|||||
Income (loss) before income taxes
|
$
|
2,108
|
$
|
(842)
|
$
|
(537)
|
$
|
-
|
$
|
729
|
(1)
|
Includes fees paid by Royal Palm to Bimini Advisors for advisory services.
|
(2)
|
Includes interest on junior subordinated note.
|
(3)
|
Includes gains (losses) on Eurodollar futures contracts entered into as a hedge on junior subordinated notes and fair value adjustments on retained interests in securitizations.
|
(4)
|
Corporate expenses are allocated based on each segment's proportional share of total revenues.
|
(in thousands)
|
||||||||||||||||
Asset
|
Investment
|
|||||||||||||||
Management
|
Portfolio
|
Corporate
|
Total
|
|||||||||||||
June 30, 2018
|
$
|
1,578
|
$
|
241,110
|
$
|
14,393
|
$
|
257,081
|
||||||||
December 31, 2017
|
1,632
|
267,429
|
15,528
|
284,589
|
||||||||||||
June 30, 2017
|
2,067
|
212,752
|
20,659
|
235,478
|
• |
interest rate trends;
|
• |
the difference between Agency MBS yields and our funding and hedging costs;
|
• |
competition for investments in Agency MBS;
|
• |
actions taken by the U.S. government, including the presidential administration, the Federal Reserve (the "Fed"), the Federal Open Market Committee (the :FOMC") and the U.S. Treasury;
|
• |
prepayment rates on mortgages underlying our Agency MBS, and credit trends insofar as they affect prepayment rates; and
|
• |
the equity markets and the ability of Orchid to raise additional capital; and
|
• |
other market developments.
|
• |
our degree of leverage;
|
• |
our access to funding and borrowing capacity;
|
• |
our borrowing costs;
|
• |
our hedging activities;
|
• |
the market value of our investments;
|
• |
the requirements to qualify for a registration exemption under the Investment Company Act;
|
• |
our ability to use net operating loss carryforwards and net capital loss carryforwards to reduce our taxable income;
|
• |
the impact of possible future changes in tax laws; and
|
• |
our ability to manage the portfolio of Orchid and maintain our role as manager.
|
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||||||||||
2018
|
2017
|
Change
|
2018
|
2017
|
Change
|
|||||||||||||||||||
Advisory services revenues
|
$
|
4,060
|
$
|
3,458
|
$
|
602
|
$
|
1,967
|
$
|
1,788
|
$
|
179
|
||||||||||||
Interest and dividend income
|
4,962
|
3,804
|
1,158
|
2,411
|
1,907
|
504
|
||||||||||||||||||
Interest expense
|
(2,455
|
)
|
(1,205
|
)
|
(1,250
|
)
|
(1,310
|
)
|
(629
|
)
|
(681
|
)
|
||||||||||||
Net revenues
|
6,567
|
6,057
|
510
|
3,068
|
3,066
|
2
|
||||||||||||||||||
Other expense
|
(7,233
|
)
|
(2,295
|
)
|
(4,938
|
)
|
(1,108
|
)
|
(558
|
)
|
(550
|
)
|
||||||||||||
Expenses
|
(3,390
|
)
|
(3,033
|
)
|
(357
|
)
|
(1,651
|
)
|
(1,433
|
)
|
(218
|
)
|
||||||||||||
Net (loss) income before income tax (benefit) provision
|
(4,056
|
)
|
729
|
(4,785
|
)
|
309
|
1,075
|
(766
|
)
|
|||||||||||||||
Income tax (benefit) provision
|
(1,005
|
)
|
294
|
(1,299
|
)
|
87
|
426
|
(339
|
)
|
|||||||||||||||
Net (loss) income
|
$
|
(3,051
|
)
|
$
|
435
|
$
|
(3,486
|
)
|
$
|
222
|
$
|
649
|
$
|
(427
|
)
|
Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations (GAAP)
|
||||||||||||||||
(in thousands)
|
||||||||||||||||
Recognized in
|
||||||||||||||||
Statement of
|
TBA
|
Junior
|
||||||||||||||
Operations
|
Securities
|
Repurchase
|
Subordinated
|
|||||||||||||
Three Months Ended
|
(GAAP)
|
Income (Loss)
|
Agreements
|
Debt
|
||||||||||||
June 30, 2018
|
$
|
870
|
$
|
194
|
$
|
534
|
$
|
142
|
||||||||
March 31, 2018
|
1,741
|
(523
|
)
|
1,849
|
415
|
|||||||||||
December 31, 2017
|
783
|
-
|
546
|
237
|
||||||||||||
September 30, 2017
|
(19
|
)
|
-
|
(13
|
)
|
(6
|
)
|
|||||||||
June 30, 2017
|
(832
|
)
|
-
|
(581
|
)
|
(251
|
)
|
|||||||||
March 31, 2017
|
22
|
-
|
15
|
7
|
||||||||||||
(in thousands)
|
||||||||||||||||
Recognized in
|
||||||||||||||||
Statement of
|
TBA
|
Junior
|
||||||||||||||
Operations
|
Securities
|
Repurchase
|
Subordinated
|
|||||||||||||
Six Months Ended
|
(GAAP)
|
Income (Loss)
|
Agreements
|
Debt
|
||||||||||||
June 30, 2018
|
$
|
2,610
|
$
|
(329
|
)
|
$
|
2,383
|
$
|
557
|
|||||||
June 30, 2017
|
(810
|
)
|
-
|
(566
|
)
|
(244
|
)
|
Losses on Derivative Instruments - Attributed to Current Period (Non-GAAP)
|
||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Attributed to Current Period (Non-GAAP)
|
Attributed to Future Periods (Non-GAAP)
|
|||||||||||||||||||||||
Junior
|
Junior
|
|||||||||||||||||||||||
Repurchase
|
Subordinated
|
Repurchase
|
Subordinated
|
|||||||||||||||||||||
Three Months Ended
|
Agreements
|
Debt
|
Total
|
Agreements
|
Debt
|
Total
|
||||||||||||||||||
June 30, 2018
|
$
|
(108
|
)
|
$
|
(19
|
)
|
$
|
(127
|
)
|
$
|
642
|
$
|
161
|
$
|
803
|
|||||||||
March 31, 2018
|
(154
|
)
|
(33
|
)
|
(187
|
)
|
2,003
|
448
|
2,451
|
|||||||||||||||
December 31, 2017
|
(170
|
)
|
(42
|
)
|
(212
|
)
|
716
|
279
|
995
|
|||||||||||||||
September 30, 2017
|
(162
|
)
|
(40
|
)
|
(202
|
)
|
149
|
34
|
183
|
|||||||||||||||
June 30, 2017
|
(152
|
)
|
(37
|
)
|
(189
|
)
|
(429
|
)
|
(214
|
)
|
(643
|
)
|
||||||||||||
March 31, 2017
|
(115
|
)
|
(60
|
)
|
(175
|
)
|
130
|
67
|
197
|
|||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Junior
|
Junior
|
|||||||||||||||||||||||
Repurchase
|
Subordinated
|
Repurchase
|
Subordinated
|
|||||||||||||||||||||
Six Months Ended
|
Agreements
|
Debt
|
Total
|
Agreements
|
Debt
|
Total
|
||||||||||||||||||
June 30, 2018
|
$
|
(262
|
)
|
$
|
(52
|
)
|
$
|
(314
|
)
|
$
|
2,645
|
$
|
609
|
$
|
3,254
|
|||||||||
June 30, 2017
|
(267
|
)
|
(97
|
)
|
(364
|
)
|
(299
|
)
|
(147
|
)
|
(446
|
)
|
Economic Net Portfolio Interest Income
|
||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Interest Expense on Repurchase Agreements
|
Net Portfolio
|
|||||||||||||||||||||||
Effect of
|
Interest Income
|
|||||||||||||||||||||||
Interest
|
GAAP
|
Non-GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||
Three Months Ended
|
Income
|
Basis
|
Hedges
(1)
|
Basis
(2)
|
Basis
|
Basis
(3)
|
||||||||||||||||||
June 30, 2018
|
$
|
2,001
|
$
|
937
|
$
|
(108
|
)
|
$
|
1,045
|
$
|
1,064
|
$
|
956
|
|||||||||||
March 31, 2018
|
2,080
|
809
|
(154
|
)
|
963
|
1,271
|
1,117
|
|||||||||||||||||
December 31, 2017
|
1,978
|
685
|
(170
|
)
|
855
|
1,293
|
1,123
|
|||||||||||||||||
September 30, 2017
|
1,514
|
504
|
(162
|
)
|
666
|
1,010
|
848
|
|||||||||||||||||
June 30, 2017
|
1,269
|
324
|
(152
|
)
|
476
|
945
|
793
|
|||||||||||||||||
March 31, 2017
|
1,293
|
283
|
(115
|
)
|
398
|
1,010
|
895
|
|||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||
Interest Expense on Repurchase Agreements
|
Net Portfolio
|
|||||||||||||||||||||||
Effect of
|
Interest Income
|
|||||||||||||||||||||||
Interest
|
GAAP
|
Non-GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||
Six Months Ended
|
Income
|
Basis
|
Hedges
(1)
|
Basis
(2)
|
Basis
|
Basis
(3)
|
||||||||||||||||||
June 30, 2018
|
$
|
4,081
|
$
|
1,747
|
$
|
(262
|
)
|
$
|
2,009
|
$
|
2,334
|
$
|
2,072
|
|||||||||||
June 30, 2017
|
2,562
|
607
|
(267
|
)
|
874
|
1,955
|
1,688
|
(1)
|
Reflects the effect of derivative instrument hedges for only the period presented.
|
(2)
|
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense.
|
(3)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest income.
|
Economic Net Interest Income
|
||||||||||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||||||
Net Portfolio
|
Interest Expense on Junior Subordinated Notes
|
|||||||||||||||||||||||||||
Interest Income
|
Effect of
|
Net Interest Income
|
||||||||||||||||||||||||||
GAAP
|
Economic
|
GAAP
|
Non-GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||||||||
Three Months Ended
|
Basis
|
Basis
(1)
|
Basis
|
Hedges
(2)
|
Basis
(3)
|
Basis
|
Basis
(4)
|
|||||||||||||||||||||
June 30, 2018
|
$
|
1,064
|
$
|
956
|
$
|
372
|
$
|
(19
|
)
|
$
|
391
|
$
|
692
|
$
|
565
|
|||||||||||||
March 31, 2018
|
1,271
|
1,117
|
337
|
(33
|
)
|
370
|
934
|
747
|
||||||||||||||||||||
December 31, 2017
|
1,293
|
1,123
|
324
|
(42
|
)
|
366
|
969
|
757
|
||||||||||||||||||||
September 30, 2017
|
1,010
|
848
|
316
|
(40
|
)
|
356
|
694
|
492
|
||||||||||||||||||||
June 30, 2017
|
945
|
793
|
306
|
(37
|
)
|
343
|
639
|
450
|
||||||||||||||||||||
March 31, 2017
|
1,010
|
895
|
292
|
(60
|
)
|
352
|
718
|
543
|
||||||||||||||||||||
(in thousands)
|
||||||||||||||||||||||||||||
Net Portfolio
|
Interest Expense on Junior Subordinated Notes
|
|||||||||||||||||||||||||||
Interest Income
|
Effect of
|
Net Interest Income
|
||||||||||||||||||||||||||
GAAP
|
Economic
|
GAAP
|
Non-GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||||||||
Six Months Ended
|
Basis
|
Basis
(1)
|
Basis
|
Hedges
(2)
|
Basis
(3)
|
Basis
|
Basis
(4)
|
|||||||||||||||||||||
June 30, 2018
|
$
|
2,334
|
$
|
2,072
|
$
|
709
|
$
|
(52
|
)
|
$
|
761
|
$
|
1,625
|
$
|
1,311
|
|||||||||||||
June 30, 2017
|
1,955
|
1,688
|
598
|
(97
|
)
|
695
|
1,357
|
993
|
(1)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest income.
|
(2)
|
Reflects the effect of derivative instrument hedges for only the period presented.
|
(3)
|
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense.
|
(4)
|
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income.
|
(in thousands)
|
||||||||||
Asset
|
Investment
|
|||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||
2018
|
||||||||||
Advisory services, external customers
|
$
|
4,060
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
4,060
|
Advisory services, other operating segments
(1)
|
120
|
-
|
-
|
(120)
|
-
|
|||||
Interest and dividend income
|
-
|
4,962
|
-
|
-
|
4,962
|
|||||
Interest expense
|
-
|
(1,746)
|
(709)
(2)
|
-
|
(2,455)
|
|||||
Net revenues
|
4,180
|
3,216
|
(709)
|
(120)
|
6,567
|
|||||
Other
|
-
|
(7,539)
|
306
(3)
|
-
|
(7,233)
|
|||||
Operating expenses
(4)
|
(1,498)
|
(1,892)
|
-
|
-
|
(3,390)
|
|||||
Intercompany expenses
(1)
|
-
|
(120)
|
-
|
120
|
-
|
|||||
Income (loss) before income taxes
|
$
|
2,682
|
$
|
(6,335)
|
$
|
(403)
|
$
|
-
|
$
|
(4,056)
|
Asset
|
Investment
|
|||||||||
Management
|
Portfolio
|
Corporate
|
Eliminations
|
Total
|
||||||
2017
|
||||||||||
Advisory services, external customers
|
$
|
3,458
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
3,458
|
Advisory services, other operating segments
(1)
|
94
|
-
|
-
|
(94)
|
-
|
|||||
Interest and dividend income
|
-
|
3,803
|
1
|
-
|
3,804
|
|||||
Interest expense
|
-
|
(607)
|
(598)
(2)
|
-
|
(1,205)
|
|||||
Net revenues
|
3,552
|
3,196
|
(597)
|
(94)
|
6,057
|
|||||
Other
|
-
|
(2,355)
|
60
(3)
|
-
|
(2,295)
|
|||||
Operating expenses
(4)
|
(1,444)
|
(1,589)
|
-
|
-
|
(3,033)
|
|||||
Intercompany expenses
(1)
|
-
|
(94)
|
-
|
94
|
-
|
|||||
Income (loss) before income taxes
|
$
|
2,108
|
$
|
(842)
|
$
|
(537)
|
$
|
-
|
$
|
729
|
(1)
|
Includes advisory services revenue received by Bimini Advisors from Royal Palm.
|
(2)
|
Includes interest on junior subordinated note.
|
(3)
|
Includes gains (losses) on Eurodollar futures contracts entered into as a hedge on junior subordinated notes and fair value adjustments on retained interests in securitizations.
|
(4)
|
Corporate expenses are allocated based on each segment's proportional share of total revenues..
|
(in thousands)
|
||||||||||||||||
Asset
|
Investment
|
|||||||||||||||
Management
|
Portfolio
|
Corporate
|
Total
|
|||||||||||||
June 30, 2018
|
$
|
1,578
|
$
|
241,110
|
$
|
14,393
|
$
|
257,081
|
||||||||
December 31, 2017
|
1,632
|
267,429
|
15,528
|
284,589
|
||||||||||||
June 30, 2017
|
2,067
|
212,752
|
20,659
|
235,478
|
·
|
One-twelfth of 1.5% of the first $250 million of the Orchid's equity, as defined in the management agreement,
|
·
|
One-twelfth of 1.25% of the Orchid's equity that is greater than $250 million and less than or equal to $500 million, and
|
·
|
One-twelfth of 1.00% of the Orchid's equity that is greater than $500 million.
|
(in thousands)
|
||||||||||||||||||||
Average
|
Average
|
Advisory Services
|
||||||||||||||||||
Orchid
|
Orchid
|
Management
|
Overhead
|
|||||||||||||||||
Three Months Ended
|
MBS
|
Equity
|
Fee
|
Allocation
|
Total
|
|||||||||||||||
June 30, 2018
|
$
|
3,717,690
|
$
|
469,974
|
$
|
1,606
|
$
|
361
|
$
|
1,967
|
||||||||||
March 31, 2018
|
3,745,298
|
488,906
|
1,712
|
381
|
2,093
|
|||||||||||||||
December 31, 2017
|
3,837,575
|
459,322
|
1,625
|
408
|
2,033
|
|||||||||||||||
September 30, 2017
|
3,834,083
|
441,193
|
1,528
|
412
|
1,940
|
|||||||||||||||
June 30, 2017
|
3,499,922
|
406,395
|
1,400
|
388
|
1,788
|
|||||||||||||||
March 31, 2017
|
3,142,095
|
371,691
|
1,302
|
368
|
1,670
|
|||||||||||||||
(in thousands)
|
||||||||||||||||||||
Average
|
Average
|
Advisory Services
|
||||||||||||||||||
Orchid
|
Orchid
|
Management
|
Overhead
|
|||||||||||||||||
Six Months Ended
|
MBS
|
Equity
|
Fee
|
Allocation
|
Total
|
|||||||||||||||
June 30, 2018
|
3,731,494
|
479,440
|
3,318
|
742
|
4,060
|
|||||||||||||||
June 30, 2017
|
3,321,009
|
389,043
|
2,702
|
756
|
3,458
|
($ in thousands)
|
||||||||||||||||||||||||||||||||
Average
|
Yield on
|
Average
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||||||||||||
MBS
|
Interest
|
Average
|
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||||||||
Three Months Ended
|
Held
(1)
|
Income
(2)
|
MBS
|
Agreements
(1)
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(3)
|
||||||||||||||||||||||||
June 30, 2018
|
$
|
194,677
|
$
|
2,001
|
4.11
|
%
|
$
|
184,621
|
$
|
937
|
$
|
1,045
|
2.03
|
%
|
2.27
|
%
|
||||||||||||||||
March 31, 2018
|
207,261
|
2,080
|
4.01
|
%
|
197,001
|
809
|
963
|
1.64
|
%
|
1.96
|
%
|
|||||||||||||||||||||
December 31, 2017
|
203,841
|
1,978
|
3.88
|
%
|
193,778
|
685
|
855
|
1.41
|
%
|
1.77
|
%
|
|||||||||||||||||||||
September 30, 2017
|
170,237
|
1,514
|
3.56
|
%
|
161,003
|
504
|
666
|
1.25
|
%
|
1.66
|
%
|
|||||||||||||||||||||
June 30, 2017
|
134,188
|
1,269
|
3.78
|
%
|
126,341
|
324
|
476
|
1.02
|
%
|
1.51
|
%
|
|||||||||||||||||||||
March 31, 2017
|
128,098
|
1,293
|
4.04
|
%
|
119,938
|
283
|
398
|
0.94
|
%
|
1.33
|
%
|
|||||||||||||||||||||
($ in thousands)
|
||||||||||||||||||||||||||||||||
Average
|
Yield on
|
Average
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||||||||||||
MBS
|
Interest
|
Average
|
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||||||||||||||
Six Months Ended
|
Held
(1)
|
Income
(2)
|
MBS
|
Agreements
(1)
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(3)
|
||||||||||||||||||||||||
June 30, 2018
|
$
|
200,969
|
$
|
4,081
|
4.06
|
%
|
$
|
190,811
|
$
|
1,746
|
$
|
2,008
|
1.83
|
%
|
2.11
|
%
|
||||||||||||||||
June 30, 2017
|
131,143
|
2,562
|
3.91
|
%
|
123,140
|
607
|
874
|
0.99
|
%
|
1.42
|
%
|
($ in thousands)
|
||||||||||||||||
Net Portfolio
|
Net Portfolio
|
|||||||||||||||
Interest Income
|
Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Three Months Ended
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(4)
|
||||||||||||
June 30, 2018
|
$
|
1,064
|
$
|
956
|
2.08
|
%
|
1.84
|
%
|
||||||||
March 31, 2018
|
1,271
|
1,117
|
2.37
|
%
|
2.05
|
%
|
||||||||||
December 31, 2017
|
1,293
|
1,123
|
2.47
|
%
|
2.11
|
%
|
||||||||||
September 30, 2017
|
1,010
|
848
|
2.31
|
%
|
1.90
|
%
|
||||||||||
June 30, 2017
|
945
|
793
|
2.76
|
%
|
2.27
|
%
|
||||||||||
March 31, 2017
|
1,010
|
894
|
3.10
|
%
|
2.71
|
%
|
||||||||||
($ in thousands)
|
||||||||||||||||
Net Portfolio
|
Net Portfolio
|
|||||||||||||||
Interest Income
|
Interest Spread
|
|||||||||||||||
GAAP
|
Economic
|
GAAP
|
Economic
|
|||||||||||||
Six Months Ended
|
Basis
|
Basis
(2)
|
Basis
|
Basis
(4)
|
||||||||||||
June 30, 2018
|
$
|
2,335
|
$
|
2,073
|
2.23
|
%
|
1.95
|
%
|
||||||||
June 30, 2017
|
1,955
|
1,687
|
2.92
|
%
|
2.49
|
%
|
(1)
|
Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 34 and 35 are calculated based on the average balances of the underlying investment portfolio/repurchase agreement balances and are annualized for the periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.
|
(2)
|
Economic interest expense and economic net interest income
presented in the tables above and the tables on pages 34 and 35 include the effect of derivative instrument hedges for only the period presented.
|
(3)
|
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period related to hedging activities divided by average MBS.
|
(4)
|
Economic net interest spread is calculated by subtracting average economic cost of funds from yield on average MBS.
|
($ in thousands)
|
||||||||||||||||||||||||||||||||||||
Average MBS Held
|
Interest Income
|
Realized Yield on Average MBS
|
||||||||||||||||||||||||||||||||||
PT
|
Structured
|
PT
|
Structured
|
PT
|
Structured
|
|||||||||||||||||||||||||||||||
Three Months Ended
|
MBS
|
MBS
|
Total
|
MBS
|
MBS
|
Total
|
MBS
|
MBS
|
Total
|
|||||||||||||||||||||||||||
June 30, 2018
|
$
|
192,368
|
$
|
2,309
|
$
|
194,677
|
$
|
1,959
|
$
|
42
|
$
|
2,001
|
4.07
|
%
|
7.16
|
%
|
4.11
|
%
|
||||||||||||||||||
March 31, 2018
|
204,786
|
2,475
|
207,261
|
2,054
|
26
|
2,080
|
4.01
|
%
|
4.29
|
%
|
4.01
|
%
|
||||||||||||||||||||||||
December 31, 2017
|
201,165
|
2,676
|
203,841
|
1,955
|
23
|
1,978
|
3.89
|
%
|
3.55
|
%
|
3.88
|
%
|
||||||||||||||||||||||||
September 30, 2017
|
167,081
|
3,156
|
170,237
|
1,524
|
(10
|
)
|
1,514
|
3.65
|
%
|
(1.28
|
)%
|
3.56
|
%
|
|||||||||||||||||||||||
June 30, 2017
|
130,519
|
3,669
|
134,188
|
1,220
|
49
|
1,269
|
3.74
|
%
|
5.33
|
%
|
3.78
|
%
|
||||||||||||||||||||||||
March 31, 2017
|
123,163
|
4,935
|
128,098
|
1,210
|
83
|
1,293
|
3.93
|
%
|
6.67
|
%
|
4.04
|
%
|
||||||||||||||||||||||||
($ in thousands)
|
||||||||||||||||||||||||||||||||||||
Average MBS Held
|
Interest Income
|
Realized Yield on Average MBS
|
||||||||||||||||||||||||||||||||||
PT
|
Structured
|
PT
|
Structured
|
PT
|
Structured
|
|||||||||||||||||||||||||||||||
Six Months Ended
|
MBS
|
MBS
|
Total
|
MBS
|
MBS
|
Total
|
MBS
|
MBS
|
Total
|
|||||||||||||||||||||||||||
June 30, 2018
|
$
|
198,577
|
$
|
2,392
|
$
|
200,969
|
$
|
4,013
|
$
|
68
|
$
|
4,081
|
4.04
|
%
|
5.68
|
%
|
4.06
|
%
|
||||||||||||||||||
June 30, 2017
|
126,841
|
4,302
|
131,143
|
2,430
|
132
|
2,562
|
3.83
|
%
|
6.10
|
%
|
3.91
|
%
|
($ in thousands)
|
||||||||||||||||||||
Average
|
||||||||||||||||||||
Balance of
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||
Three Months Ended
|
Agreements
|
Basis
|
Basis
|
Basis
|
Basis
|
|||||||||||||||
June 30, 2018
|
$
|
184,621
|
$
|
937
|
$
|
1,045
|
2.03
|
%
|
2.27
|
%
|
||||||||||
March 31, 2018
|
197,001
|
809
|
963
|
1.64
|
%
|
1.96
|
%
|
|||||||||||||
December 31, 2017
|
193,778
|
685
|
855
|
1.41
|
%
|
1.77
|
%
|
|||||||||||||
September 30, 2017
|
161,003
|
504
|
666
|
1.25
|
%
|
1.66
|
%
|
|||||||||||||
June 30, 2017
|
126,341
|
324
|
476
|
1.02
|
%
|
1.51
|
%
|
|||||||||||||
March 31, 2017
|
119,938
|
283
|
398
|
0.94
|
%
|
1.33
|
%
|
|||||||||||||
($ in thousands)
|
||||||||||||||||||||
Average
|
||||||||||||||||||||
Balance of
|
Interest Expense
|
Average Cost of Funds
|
||||||||||||||||||
Repurchase
|
GAAP
|
Economic
|
GAAP
|
Economic
|
||||||||||||||||
Six Months Ended
|
Agreements
|
Basis
|
Basis
|
Basis
|
Basis
|
|||||||||||||||
June 30, 2018
|
$
|
190,811
|
$
|
1,747
|
$
|
2,008
|
1.83
|
%
|
2.11
|
%
|
||||||||||
June 30, 2017
|
123,140
|
607
|
874
|
0.99
|
%
|
1.42
|
%
|
Average GAAP Cost of Funds
|
Average Economic Cost of Funds
|
|||||||||||||||||||||||
Relative to Average
|
Relative to Average
|
|||||||||||||||||||||||
Average LIBOR
|
One-Month
|
Six-Month
|
One-Month
|
Six-Month
|
||||||||||||||||||||
Three Months Ended
|
One-Month
|
Six-Month
|
LIBOR
|
LIBOR
|
LIBOR
|
LIBOR
|
||||||||||||||||||
June 30, 2018
|
1.99
|
%
|
2.48
|
%
|
0.04
|
%
|
(0.45
|
)%
|
0.28
|
%
|
(0.21
|
)%
|
||||||||||||
March 31, 2018
|
1.69
|
%
|
2.11
|
%
|
(0.05
|
)%
|
(0.47
|
)%
|
0.27
|
%
|
(0.15
|
)%
|
||||||||||||
December 31, 2017
|
1.36
|
%
|
1.62
|
%
|
0.05
|
%
|
(0.21
|
)%
|
0.41
|
%
|
0.15
|
%
|
||||||||||||
September 30, 2017
|
1.20
|
%
|
1.45
|
%
|
0.05
|
%
|
(0.20
|
)%
|
0.46
|
%
|
0.21
|
%
|
||||||||||||
June 30, 2017
|
1.05
|
%
|
1.43
|
%
|
(0.03
|
)%
|
(0.41
|
)%
|
0.46
|
%
|
0.08
|
%
|
||||||||||||
March 31, 2017
|
0.82
|
%
|
1.37
|
%
|
0.12
|
%
|
(0.43
|
)%
|
0.51
|
%
|
(0.04
|
)%
|
||||||||||||
Average GAAP Cost of Funds
|
Average Economic Cost of Funds
|
|||||||||||||||||||||||
Relative to Average
|
Relative to Average
|
|||||||||||||||||||||||
Average LIBOR
|
One-Month
|
Six-Month
|
One-Month
|
Six-Month
|
||||||||||||||||||||
Six Months Ended
|
One-Month
|
Six-Month
|
LIBOR
|
LIBOR
|
LIBOR
|
LIBOR
|
||||||||||||||||||
June 30, 2018
|
1.84
|
%
|
2.30
|
%
|
(0.01
|
)%
|
(0.47
|
)%
|
0.27
|
%
|
(0.19
|
)%
|
||||||||||||
June 30, 2017
|
0.94
|
%
|
1.40
|
%
|
0.05
|
%
|
(0.41
|
)%
|
0.48
|
%
|
0.02
|
%
|
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||||||||||
2018
|
2017
|
Change
|
2018
|
2017
|
Change
|
|||||||||||||||||||
Realized losses on sales of MBS
|
$
|
(103
|
)
|
$
|
(1
|
)
|
$
|
(102
|
)
|
$
|
(103
|
)
|
$
|
-
|
$
|
(103
|
)
|
|||||||
Unrealized losses on MBS
|
(6,814
|
)
|
(464
|
)
|
(6,350
|
)
|
(1,934
|
)
|
(27
|
)
|
(1,907
|
)
|
||||||||||||
Total losses on MBS
|
(6,917
|
)
|
(465
|
)
|
(6,452
|
)
|
(2,037
|
)
|
(27
|
)
|
(2,010
|
)
|
||||||||||||
Gains (losses) on derivative instruments
|
2,610
|
(810
|
)
|
3,420
|
870
|
(832
|
)
|
1,702
|
||||||||||||||||
(Losses) gains on retained interests in securitizations
|
(252
|
)
|
304
|
(556
|
)
|
(169
|
)
|
498
|
(667
|
)
|
||||||||||||||
Unrealized (losses) gains on
|
||||||||||||||||||||||||
Orchid Island Capital, Inc. common stock
|
(2,675
|
)
|
(1,325
|
)
|
(1,350
|
)
|
228
|
(197
|
)
|
425
|
5 Year
|
10 Year
|
15 Year
|
30 Year
|
Three
|
||||||||||||||||
U.S. Treasury
|
U.S. Treasury
|
Fixed-Rate
|
Fixed-Rate
|
Month
|
||||||||||||||||
Rate
(1)
|
Rate
(1)
|
Mortgage Rate
(2)
|
Mortgage Rate
(2)
|
Libor
(3)
|
||||||||||||||||
June 30, 2018
|
2.73
|
%
|
2.85
|
%
|
4.04
|
%
|
4.57
|
%
|
2.34
|
%
|
||||||||||
March 31, 2018
|
2.56
|
%
|
2.74
|
%
|
3.91
|
%
|
4.44
|
%
|
2.31
|
%
|
||||||||||
December 31, 2017
|
2.21
|
%
|
2.40
|
%
|
3.39
|
%
|
3.95
|
%
|
1.61
|
%
|
||||||||||
September 30, 2017
|
1.93
|
%
|
2.33
|
%
|
3.11
|
%
|
3.81
|
%
|
1.32
|
%
|
||||||||||
June 30, 2017
|
1.88
|
%
|
2.30
|
%
|
3.17
|
%
|
3.90
|
%
|
1.26
|
%
|
||||||||||
March 31, 2017
|
1.93
|
%
|
2.40
|
%
|
3.41
|
%
|
4.20
|
%
|
1.13
|
%
|
(1)
|
Historical 5 Year and 10 Year U.S. Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.
|
(2)
|
Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac's Primary Mortgage Market Survey.
|
(3)
|
Historical LIBOR are obtained from the Intercontinental Exchange Benchmark Administration Ltd.
|
(in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
Three Months Ended June 30,
|
|||||||||||||||||||||||
2018
|
2017
|
Change
|
2018
|
2017
|
Change
|
|||||||||||||||||||
Compensation and related benefits
|
$
|
2,103
|
$
|
1,815
|
$
|
288
|
$
|
1,036
|
$
|
879
|
$
|
157
|
||||||||||||
Legal fees
|
106
|
40
|
66
|
40
|
13
|
27
|
||||||||||||||||||
Accounting, auditing and other professional fees
|
193
|
186
|
7
|
83
|
77
|
6
|
||||||||||||||||||
Directors' fees and liability insurance
|
321
|
333
|
(12
|
)
|
161
|
166
|
(5
|
)
|
||||||||||||||||
Administrative and other expenses
|
667
|
659
|
8
|
331
|
298
|
33
|
||||||||||||||||||
$
|
3,390
|
$
|
3,033
|
$
|
357
|
$
|
1,651
|
$
|
1,433
|
$
|
218
|
Structured
|
||||||||||||
PT MBS
|
MBS
|
Total
|
||||||||||
Three Months Ended
|
Portfolio (%)
|
Portfolio (%)
|
Portfolio (%)
|
|||||||||
June 30, 2018
|
13.4
|
11.6
|
13.1
|
|||||||||
March 31, 2018
|
7.2
|
16.8
|
8.6
|
|||||||||
December 31, 2017
|
7.2
|
16.9
|
8.8
|
|||||||||
September 30, 2017
|
5.2
|
18.8
|
8.3
|
|||||||||
June 30, 2017
|
5.9
|
20.4
|
9.9
|
|||||||||
March 31, 2017
|
4.8
|
18.8
|
8.8
|
($ in thousands)
|
||||||
Weighted
|
||||||
Percentage
|
Average
|
|||||
of
|
Weighted
|
Maturity
|
||||
Fair
|
Entire
|
Average
|
in
|
Longest
|
||
Asset Category
|
Value
|
Portfolio
|
Coupon
|
Months
|
Maturity
|
|
June 30, 2018
|
||||||
Fixed Rate MBS
|
$
|
182,342
|
98.8%
|
4.18%
|
314
|
1-Jan-48
|
Interest-Only MBS
|
1,407
|
0.8%
|
3.45%
|
224
|
25-Dec-39
|
|
Inverse Interest-Only MBS
|
777
|
0.4%
|
4.47%
|
272
|
25-Apr-41
|
|
Total MBS Portfolio
|
$
|
184,526
|
100.0%
|
4.18%
|
313
|
1-Jan-48
|
December 31, 2017
|
||||||
Fixed Rate MBS
|
$
|
207,179
|
98.8%
|
4.21%
|
321
|
1-Dec-47
|
Interest-Only MBS
|
1,476
|
0.7%
|
3.43%
|
229
|
25-Dec-39
|
|
Inverse Interest-Only MBS
|
1,037
|
0.5%
|
5.01%
|
278
|
25-Apr-41
|
|
Total MBS Portfolio
|
$
|
209,692
|
100.0%
|
4.21%
|
320
|
1-Dec-47
|
($ in thousands)
|
||||||||||||||||
June 30, 2018
|
December 31, 2017
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Agency
|
Fair Value
|
Entire Portfolio
|
Fair Value
|
Entire Portfolio
|
||||||||||||
Fannie Mae
|
$
|
161,197
|
87.4
|
%
|
$
|
178,581
|
85.2
|
%
|
||||||||
Freddie Mac
|
23,131
|
12.5
|
%
|
30,896
|
14.7
|
%
|
||||||||||
Ginnie Mae
|
198
|
0.1
|
%
|
215
|
0.1
|
%
|
||||||||||
Total Portfolio
|
$
|
184,526
|
100.0
|
%
|
$
|
209,692
|
100.0
|
%
|
June 30, 2018
|
December 31, 2017
|
|||||||
Weighted Average Pass-through Purchase Price
|
$
|
108.98
|
$
|
109.06
|
||||
Weighted Average Structured Purchase Price
|
$
|
6.02
|
$
|
6.02
|
||||
Weighted Average Pass-through Current Price
|
$
|
103.78
|
$
|
107.13
|
||||
Weighted Average Structured Current Price
|
$
|
7.09
|
$
|
7.06
|
||||
Effective Duration
(1)
|
4.975
|
3.832
|
(1)
|
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 4.975 indicates that an interest rate increase of 1.0% would be expected to cause a 4.975% decrease in the value of the MBS in our investment portfolio at June 30, 2018. An effective duration of 3.832 indicates that an interest rate increase of 1.0% would be expected to cause a 3.832% decrease in the value of the MBS in our investment portfolio at December 31, 2017. These figures include the structured securities in the portfolio but do include the effect of our funding cost hedges.
Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
|
($ in thousands)
|
||||||||||||||||||||||||
Six Months Ended June 30,
|
||||||||||||||||||||||||
2018
|
2017
|
|||||||||||||||||||||||
Total Cost
|
Average Price
|
Weighted Average Yield
|
Total Cost
|
Average Price
|
Weighted Average Yield
|
|||||||||||||||||||
PT MBS
|
$
|
5,081
|
$
|
106.17
|
2.65
|
%
|
$
|
19,220
|
$
|
109.62
|
2.68
|
%
|
($ in thousands)
|
||||||||||||||||||||||||||||
Fair
|
$ Change in Fair Value
|
% Change in Fair Value
|
||||||||||||||||||||||||||
MBS Portfolio
|
Value
|
-100BPS
|
+100BPS
|
+200BPS
|
-100BPS
|
+100BPS
|
+200BPS
|
|||||||||||||||||||||
Fixed Rate MBS
|
$
|
182,342
|
$
|
7,782
|
$
|
(10,462
|
)
|
$
|
(22,071
|
)
|
4.27
|
%
|
(5.74
|
)%
|
(12.10
|
)%
|
||||||||||||
Interest-Only MBS
|
1,407
|
(391
|
)
|
231
|
393
|
(27.84
|
)%
|
16.40
|
%
|
27.95
|
%
|
|||||||||||||||||
Inverse Interest-Only MBS
|
777
|
2
|
(123
|
)
|
(294
|
)
|
0.30
|
%
|
(15.82
|
)%
|
(37.80
|
)%
|
||||||||||||||||
Total MBS Portfolio
|
$
|
184,526
|
$
|
7,393
|
$
|
(10,354
|
)
|
$
|
(21,972
|
)
|
4.01
|
%
|
(5.61
|
)%
|
(11.91
|
)%
|
($ in thousands)
|
||||||||||||||||||||||||||||
Notional
|
$ Change in Fair Value
|
% Change in Fair Value
|
||||||||||||||||||||||||||
Amount
(1)
|
-100BPS
|
+100BPS
|
+200BPS
|
-100BPS
|
+100BPS
|
+200BPS
|
||||||||||||||||||||||
Eurodollar Futures Contracts
|
||||||||||||||||||||||||||||
Repurchase Agreement Hedges
|
$
|
1,360,000
|
$
|
(1,852
|
)
|
$
|
3,400
|
$
|
6,800
|
(0.56
|
)%
|
1.03
|
%
|
2.06
|
%
|
|||||||||||||
Junior Subordinated Debt Hedges
|
364,000
|
(484
|
)
|
910
|
1,820
|
(0.55
|
)%
|
1.03
|
%
|
2.06
|
%
|
|||||||||||||||||
TBA Contracts
|
50,000
|
(2,676
|
)
|
3,530
|
7,220
|
(5.71
|
)%
|
7.53
|
%
|
15.41
|
%
|
|||||||||||||||||
$
|
1,774,000
|
$
|
(5,012
|
)
|
$
|
7,840
|
$
|
15,840
|
(0.26
|
)%
|
0.40
|
%
|
0.82
|
%
|
||||||||||||||
Gross Totals
|
$
|
2,381
|
$
|
(2,514
|
)
|
$
|
(6,132
|
)
|
(1)
|
Represents the total cumulative contract/notional amount of Eurodollar futures contracts.
|
($ in thousands)
|
||||||||||||||||
Difference Between Ending
|
||||||||||||||||
Ending Balance
|
Average Balance
|
Repurchase Agreements and
|
||||||||||||||
of Repurchase
|
of Repurchase
|
Average Repurchase Agreements
|
||||||||||||||
Three Months Ended
|
Agreements
|
Agreements
|
Amount
|
Percent
|
||||||||||||
June 30, 2018
|
$
|
175,422
|
$
|
184,621
|
$
|
(9,199
|
)
|
(4.98
|
)%
|
|||||||
March 31, 2018
|
193,820
|
197,001
|
(3,181
|
)
|
(1.61
|
)%
|
||||||||||
December 31, 2017
|
200,183
|
193,778
|
6,405
|
3.31
|
%
|
|||||||||||
September 30, 2017
|
187,374
|
161,003
|
26,371
|
16.38
|
%
(1)
|
|||||||||||
June 30, 2017
|
134,633
|
126,341
|
8,292
|
6.56
|
%
|
|||||||||||
March 31, 2017
|
118,049
|
119,938
|
(1,889
|
)
|
(1.57
|
)%
|
(1)
|
The higher ending balance relative to the average balance during the quarter ended September 30, 2017 reflects the growth of the portfolio, on a leveraged basis. During the quarter ended September 30, 2017, our investment in PT MBS increased $56.1 million.
|
(in thousands)
|
||||||||||||||||||||
Obligations Maturing
|
||||||||||||||||||||
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$
|
175,422
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
175,422
|
||||||||||
Interest expense on repurchase agreements
(1)
|
726
|
-
|
-
|
-
|
726
|
|||||||||||||||
Junior subordinated notes
(2)
|
-
|
-
|
-
|
26,000
|
26,000
|
|||||||||||||||
Interest expense on junior subordinated notes
(1)
|
1,607
|
3,084
|
3,079
|
19,197
|
26,967
|
|||||||||||||||
Other
|
250
|
250
|
-
|
-
|
500
|
|||||||||||||||
Totals
|
$
|
178,005
|
$
|
3,334
|
$
|
3,079
|
$
|
45,197
|
$
|
229,615
|
(1)
|
Interest expense on repurchase agreements and junior subordinated notes are based on current interest rates as of June 30, 2018 and the remaining term of liabilities existing at that date.
|
(2)
|
We hold a common equity interest in Bimini Capital Trust II. The amount presented represents our net cash outlay.
|
Shares Purchased
|
Maximum Number
|
|||||||||||||||
Total Number
|
Weighted-Average
|
as Part of Publicly
|
of Shares That May Yet
|
|||||||||||||
of Shares
|
Price Paid
|
Announced
|
Be Repurchased Under
|
|||||||||||||
Repurchased
|
Per Share
|
Programs
|
the Authorization
(1)
|
|||||||||||||
April
|
11,000
|
$
|
2.20
|
11,000
|
489,000
|
|||||||||||
May
|
5,400
|
2.35
|
5,400
|
483,600
|
||||||||||||
June
|
14,872
|
2.45
|
14,872
|
468,728
|
||||||||||||
Totals / Weighted Average
|
31,272
|
$
|
2.35
|
31,272
|
468,728
|
(1)
|
On March 26, 2018, the Company's Board of Directors authorized the repurchase of up to 500,000 shares of the Company's Class A common stock. Unless modified or extended by the Board, the authorization expires on November 15, 2018.
|
* |
Filed herewith.
|
** |
Furnished herewith
|
*** |
Submitted electronically herewith
.
|
Date:
August 3, 2018
|
By:
|
/s/ Robert E. Cauley | ||
Robert E. Cauley
Chairman and Chief Executive Officer
|
Date:
August 3, 2018
|
By:
|
/s/ G. Hunter Haas, IV | ||
G. Hunter Haas, IV
President, Chief Financial Officer, Chief Investment Officer and Treasurer (Principal Financial Officer and Principal Accounting Officer)
|
1 Year Bimini Capital Management (QB) Chart |
1 Month Bimini Capital Management (QB) Chart |
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