Bimini Capital Management Announces First Quarter 2023 Results
- Bimini reported net income of $0.3 million for Q2 2023.
- Orchid Island Capital reported net income of $10.2 million and increased shareholders' equity.
- Bimini's MBS portfolio increased to $63.8 million.
- The Fed raised rates 25 basis points on May 3, 2023, and again on July 26, 2023, potentially impacting Bimini's operations.
- Net interest and dividend income for Bimini decreased significantly from the same quarter in 2022.
- None.
Second Quarter 2023 Highlights
-
Net income of
, or$0.3 million per common share$0.03 -
Book value per share of
$1.34 - Company to discuss results on Friday, August 11, 2023, at 10:00 AM ET
Management Commentary
Commenting on the second quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, “A few key developments drove macro-economic conditions during the second quarter of 2023. In turn, these developments drove performance in the Agency RMBS markets. The economic backdrop consisted of continued strong readings on core services inflation and a tight labor market. During May, an impasse developed between the Republican controlled House of Representatives and the Biden administration over the debt ceiling limit. As the deadline to resolve the impasse approached, risk markets suffered and the Agency RMBS market was not spared. Spread levels on the current-coupon 30-year RMBS benchmark reached the widest level of the cycle – at least to date. Once the impasse was resolved, the Agency RMBS market recovered and posted strong returns for the month of June. With the crisis averted, the market’s attention turned to the incoming economic data. Central bankers across the globe were all fighting the same battle, yet none seem to have been able to reign in inflation, including the Federal Reserve (the "Fed"). The Fed raised rates 25 basis points on May 3, 2023 and again on July 26, 2023, skipping the June meeting. Unless the incoming data presents clear evidence inflation is headed back toward the target inflation rate of
“Orchid Island Capital ("Orchid") reported second quarter 2023 net income
“With respect to the MBS portfolio at Royal Palm, we added to the MBS portfolio during the second quarter of 2023, increasing the market value from
“Mark to market gains and losses on our MBS portfolio, hedge positions and shares of Orchid netted to a net loss of
Details of Second Quarter 2023 Results of Operations
The Company reported net income of
Management of Orchid Island Capital, Inc.
Orchid is managed and advised by Bimini. As Manager, Bimini is responsible for administering Orchid’s business activities and day-to-day operations. Pursuant to the terms of the management agreement, Bimini Advisors provides Orchid with its management team, including its officers, along with appropriate support personnel. Bimini also maintains a common stock investment in Orchid which is accounted for under the fair value option, with changes in fair value recorded in the statement of operations for the current period. For the three months ended June 30, 2023, Bimini’s statement of operations included a fair value adjustment of
Book Value Per Share
The Company's Book Value Per Share at June 30, 2023 was
Capital Allocation and Return on Invested Capital
The Company allocates capital between two MBS sub-portfolios, the pass-through MBS portfolio (“PT MBS”) and the structured MBS portfolio, consisting of interest only (“IO”) and inverse interest-only (“IIO”) securities. The table below details the changes to the respective sub-portfolios during the quarter.
Portfolio Activity for the Quarter |
||||||||||||||||||||
|
|
|
|
|
Structured Security Portfolio |
|
|
|
||||||||||||
|
|
Pass-Through |
|
Interest-Only |
|
Inverse Interest |
|
|
|
|
|
|
||||||||
|
|
Portfolio |
|
Securities |
|
Only Securities |
|
Sub-total |
|
Total |
||||||||||
Market Value - March 31, 2023 |
|
$ |
42,849,182 |
|
|
$ |
2,785,378 |
|
|
$ |
5,372 |
|
|
$ |
2,790,750 |
|
|
$ |
45,639,932 |
|
Securities purchased |
|
|
20,045,750 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
20,045,750 |
|
Return of investment |
|
|
n/a |
|
|
|
(86,588 |
) |
|
|
(160 |
) |
|
|
(86,748 |
) |
|
|
(86,748 |
) |
Pay-downs |
|
|
(907,707 |
) |
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
(907,707 |
) |
Discount accreted due to pay-downs |
|
|
25,687 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
25,687 |
|
Mark to market losses |
|
|
(853,965 |
) |
|
|
(90,914 |
) |
|
|
(1,561 |
) |
|
|
(92,475 |
) |
|
|
(946,440 |
) |
Market Value - June 30, 2023 |
|
$ |
61,158,947 |
|
|
$ |
2,607,876 |
|
|
$ |
3,651 |
|
|
$ |
2,611,527 |
|
|
$ |
63,770,474 |
|
The tables below present the allocation of capital between the respective portfolios at June 30, 2023 and March 31, 2023, and the return on invested capital for each sub-portfolio for the three-month period ended June 30, 2023. Capital allocation is defined as the sum of the market value of securities held, less associated repurchase agreement borrowings, plus cash and cash equivalents and restricted cash associated with repurchase agreements. Capital allocated to non-portfolio assets is not included in the calculation.
Capital Allocation |
||||||||||||||||||||
|
|
|
|
|
Structured Security Portfolio |
|
|
|
||||||||||||
|
|
Pass-Through |
|
Interest-Only |
|
Inverse Interest |
|
|
|
|
|
|
||||||||
|
|
Portfolio |
|
Securities |
|
Only Securities |
|
Sub-total |
|
Total |
||||||||||
June 30, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Market value |
|
$ |
61,158,947 |
|
|
$ |
2,607,876 |
|
|
$ |
3,651 |
|
|
$ |
2,611,527 |
|
|
$ |
63,770,474 |
|
Cash equivalents and restricted cash |
|
|
5,567,383 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
5,567,383 |
|
Repurchase agreement obligations |
|
|
(60,694,589 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(60,694,589 |
) |
Total(1) |
|
$ |
6,031,741 |
|
|
$ |
2,607,876 |
|
|
$ |
3,651 |
|
|
$ |
2,611,527 |
|
|
$ |
8,643,268 |
|
% of Total |
|
|
69.8 |
% |
|
|
30.2 |
% |
|
|
0.0 |
% |
|
|
30.2 |
% |
|
|
100.0 |
% |
March 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Market value |
|
$ |
42,849,182 |
|
|
$ |
2,785,378 |
|
|
$ |
5,372 |
|
|
$ |
2,790,750 |
|
|
$ |
45,639,932 |
|
Cash equivalents and restricted cash |
|
|
5,088,842 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
5,088,842 |
|
Repurchase agreement obligations |
|
|
(43,091,999 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(43,091,999 |
) |
Total(1) |
|
$ |
4,846,025 |
|
|
$ |
2,785,378 |
|
|
$ |
5,372 |
|
|
$ |
2,790,750 |
|
|
$ |
7,636,775 |
|
% of Total |
|
|
63.5 |
% |
|
|
36.5 |
% |
|
|
0.1 |
% |
|
|
36.5 |
% |
|
|
100.0 |
% |
(1) |
Invested capital includes the value of the MBS portfolio and cash equivalents and restricted cash, reduced by repurchase agreement borrowings. |
The returns on invested capital in the PT MBS and structured MBS portfolios were approximately (7.6)% and (1.2)%, respectively, for the second quarter of 2023. The combined portfolio generated a return on invested capital of approximately (5.3)%.
Returns for the Quarter Ended June 30, 2023 |
||||||||||||||||||||
|
|
|
|
|
Structured Security Portfolio |
|
|
|
||||||||||||
|
|
Pass-Through |
|
Interest-Only |
|
Inverse Interest |
|
|
|
|
|
|
||||||||
|
|
Portfolio |
|
Securities |
|
Only Securities |
|
Sub-total |
|
Total |
||||||||||
Interest income (net of repo cost) |
|
$ |
(55,571 |
) |
|
$ |
57,889 |
|
|
$ |
127 |
|
|
$ |
58,016 |
|
|
$ |
2,445 |
|
Realized and unrealized losses |
|
|
(828,278 |
) |
|
|
(90,914 |
) |
|
|
(1,561 |
) |
|
|
(92,475 |
) |
|
|
(920,753 |
) |
Hedge gains |
|
|
515,547 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
515,547 |
|
Total Return |
|
$ |
(368,302 |
) |
|
$ |
(33,025 |
) |
|
$ |
(1,434 |
) |
|
$ |
(34,459 |
) |
|
$ |
(402,761 |
) |
Beginning capital allocation |
|
$ |
4,846,025 |
|
|
$ |
2,785,378 |
|
|
$ |
5,372 |
|
|
$ |
2,790,750 |
|
|
$ |
7,636,775 |
|
Return on invested capital for the quarter(1) |
|
|
(7.6 |
)% |
|
|
(1.2 |
)% |
|
|
(26.7 |
)% |
|
|
(1.2 |
)% |
|
|
(5.3 |
)% |
(1) |
Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage. |
Prepayments
For the second quarter of 2023, the Company received approximately
|
|
PT |
|
|
Structured |
|
|
|
|
|
|
MBS Sub- |
|
|
MBS Sub- |
|
|
Total |
|
Three Months Ended |
|
Portfolio |
|
|
Portfolio |
|
|
Portfolio |
|
June 30, 2023 |
|
8.0 |
|
|
13.0 |
|
|
9.6 |
|
March 31, 2023 |
|
2.4 |
|
|
10.3 |
|
|
5.0 |
|
December 31, 2022 |
|
8.2 |
|
|
8.4 |
|
|
8.3 |
|
September 30, 2022 |
|
13.1 |
|
|
7.5 |
|
|
10.8 |
|
June 30, 2022 |
|
17.2 |
|
|
22.9 |
|
|
20.0 |
|
March 31, 2022 |
|
18.5 |
|
|
25.6 |
|
|
20.9 |
|
Portfolio
The following tables summarize the MBS portfolio as of June 30, 2023 and December 31, 2022:
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|||
|
|
|
|
|
|
Percentage |
|
|
|
|
Average |
|
|
||||
|
|
|
|
|
|
of |
|
Weighted |
|
Maturity |
|
|
|||||
|
|
Fair |
|
Entire |
|
Average |
|
in |
|
Longest |
|||||||
Asset Category |
|
Value |
|
Portfolio |
|
Coupon |
|
Months |
|
Maturity |
|||||||
June 30, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Fixed Rate MBS |
|
$ |
61,159 |
|
|
|
95.9 |
% |
|
|
4.52 |
% |
|
|
335 |
|
1-May-53 |
Structured MBS |
|
|
2,611 |
|
|
|
4.1 |
% |
|
|
2.84 |
% |
|
|
293 |
|
15-May-51 |
Total MBS Portfolio |
|
$ |
63,770 |
|
|
|
100.0 |
% |
|
|
4.12 |
% |
|
|
333 |
|
1-May-53 |
December 31, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Fixed Rate MBS |
|
$ |
42,974 |
|
|
|
93.6 |
% |
|
|
4.07 |
% |
|
|
329 |
|
1-Aug-52 |
Structured MBS |
|
|
2,919 |
|
|
|
6.4 |
% |
|
|
2.84 |
% |
|
|
300 |
|
15-May-51 |
Total MBS Portfolio |
|
$ |
45,893 |
|
|
|
100.0 |
% |
|
|
3.67 |
% |
|
|
327 |
|
1-Aug-52 |
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
June 30, 2023 |
|
December 31, 2022 |
||||||||||||
|
|
|
|
|
|
Percentage of |
|
|
|
|
|
Percentage of |
||||
Agency |
|
Fair Value |
|
Entire Portfolio |
|
Fair Value |
|
|
Entire Portfolio |
|||||||
Fannie Mae |
|
$ |
32,502 |
|
|
|
51.0 |
% |
|
$ |
33,883 |
|
|
|
73.8 |
% |
Freddie Mac |
|
|
31,268 |
|
|
|
49.0 |
% |
|
|
12,010 |
|
|
|
26.2 |
% |
Total Portfolio |
|
$ |
63,770 |
|
|
|
100.0 |
% |
|
$ |
45,893 |
|
|
|
100.0 |
% |
|
|
June 30, 2023 |
|
|
December 31, 2022 |
|
||
Weighted Average Pass Through Purchase Price |
|
$ |
104.23 |
|
|
$ |
105.30 |
|
Weighted Average Structured Purchase Price |
|
$ |
4.48 |
|
|
$ |
4.48 |
|
Weighted Average Pass Through Current Price |
|
$ |
96.78 |
|
|
$ |
95.58 |
|
Weighted Average Structured Current Price |
|
$ |
13.03 |
|
|
$ |
13.37 |
|
Effective Duration (1) |
|
|
4.130 |
|
|
|
4.323 |
|
(1) |
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 4.130 indicates that an interest rate increase of |
Financing and Liquidity
As of June 30, 2023, the Company had outstanding repurchase obligations of approximately
We may pledge more of our structured MBS as part of a repurchase agreement funding, but retain cash in lieu of acquiring additional assets. In this way, we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash. Below is a list of outstanding borrowings under repurchase obligations at June 30, 2023.
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement Obligations |
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
Weighted |
|
||
|
|
Total |
|
|
|
|
|
|
Average |
|
|
|
|
|
|
Average |
|
|||
|
|
Outstanding |
|
|
% of |
|
|
Borrowing |
|
|
Amount |
|
|
Maturity |
|
|||||
Counterparty |
|
Balances |
|
|
Total |
|
|
Rate |
|
|
at Risk(1) |
|
|
(in Days) |
|
|||||
Mirae Asset Securities ( |
|
$ |
22,854 |
|
|
|
37.6 |
% |
|
|
5.36 |
% |
|
|
1,083 |
|
|
|
69 |
|
Mitsubishi UFJ Securities, Inc. |
|
|
13,751 |
|
|
|
22.7 |
% |
|
|
5.22 |
% |
|
|
926 |
|
|
|
24 |
|
Marex |
|
|
11,322 |
|
|
|
18.7 |
% |
|
|
5.22 |
% |
|
|
495 |
|
|
|
27 |
|
Citigroup Global Markets, Inc. |
|
|
9,118 |
|
|
|
15.0 |
% |
|
|
5.23 |
% |
|
|
456 |
|
|
|
24 |
|
South Street Securities, LLC |
|
|
3,649 |
|
|
|
6.0 |
% |
|
|
5.35 |
% |
|
|
141 |
|
|
|
80 |
|
|
|
$ |
60,694 |
|
|
|
100.0 |
% |
|
|
5.28 |
% |
|
$ |
3,101 |
|
|
|
45 |
|
(1) |
Equal to the fair value of securities sold (including accrued interest receivable) and cash posted as collateral, if any, minus the sum of repurchase agreement liabilities, accrued interest payable and securities posted by the counterparty (if any). |
Summarized Consolidated Financial Statements
The following is a summarized presentation of the unaudited consolidated balance sheets as of June 30, 2023, and December 31, 2022, and the unaudited consolidated statements of operations for the six and three months ended June 30, 2023 and 2022. Amounts presented are subject to change.
BIMINI CAPITAL MANAGEMENT, INC. CONSOLIDATED BALANCE SHEETS (Unaudited - Amounts Subject to Change) |
||||||||
|
|
June 30, 2023 |
|
|
December 31, 2022 |
|
||
ASSETS |
|
|
|
|
|
|
|
|
Mortgage-backed securities |
|
$ |
63,770,474 |
|
|
$ |
45,893,436 |
|
Cash equivalents and restricted cash |
|
|
5,567,383 |
|
|
|
6,773,799 |
|
Orchid Island Capital, Inc. common stock, at fair value |
|
|
5,889,885 |
|
|
|
5,975,248 |
|
Accrued interest receivable |
|
|
285,513 |
|
|
|
204,018 |
|
Deferred tax assets, net |
|
|
22,741,823 |
|
|
|
23,178,243 |
|
Other assets |
|
|
4,375,532 |
|
|
|
4,292,207 |
|
Total Assets |
|
$ |
102,630,610 |
|
|
$ |
86,316,951 |
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY |
|
|
|
|
|
|
|
|
Repurchase agreements |
|
$ |
60,694,589 |
|
|
$ |
43,817,999 |
|
Long-term debt |
|
|
27,404,399 |
|
|
|
27,416,239 |
|
Other liabilities |
|
|
1,116,563 |
|
|
|
2,958,634 |
|
Total Liabilities |
|
|
89,215,551 |
|
|
|
74,192,872 |
|
Stockholders' equity |
|
|
13,415,059 |
|
|
|
12,124,079 |
|
Total Liabilities and Stockholders' Equity |
|
$ |
102,630,610 |
|
|
$ |
86,316,951 |
|
Class A Common Shares outstanding |
|
|
10,019,888 |
|
|
|
10,019,888 |
|
Book value per share |
|
$ |
1.34 |
|
|
$ |
1.21 |
|
BIMINI CAPITAL MANAGEMENT, INC. CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited - Amounts Subject to Change) |
||||||||||||||||
|
|
Six Months Ended June 30, |
|
Three Months Ended June 30, |
||||||||||||
|
|
2023 |
|
2022 |
|
2023 |
|
2022 |
||||||||
Advisory services |
|
$ |
6,898,860 |
|
|
$ |
6,407,741 |
|
|
$ |
3,516,450 |
|
|
$ |
3,332,379 |
|
Interest and dividend income |
|
|
1,670,104 |
|
|
|
1,636,110 |
|
|
|
839,562 |
|
|
|
742,441 |
|
Interest expense |
|
|
(2,183,490 |
) |
|
|
(663,720 |
) |
|
|
(1,129,285 |
) |
|
|
(376,412 |
) |
Net revenues |
|
|
6,385,474 |
|
|
|
7,380,131 |
|
|
|
3,226,727 |
|
|
|
3,698,408 |
|
Other income (expense) |
|
|
(106,205 |
) |
|
|
(9,223,396 |
) |
|
|
(621,397 |
) |
|
|
(2,865,092 |
) |
Expenses |
|
|
4,551,869 |
|
|
|
4,138,351 |
|
|
|
2,223,012 |
|
|
|
2,112,872 |
|
Net income (loss) before income tax provision (benefit) |
|
|
1,727,400 |
|
|
|
(5,981,616 |
) |
|
|
382,318 |
|
|
|
(1,279,556 |
) |
Income tax provision (benefit) |
|
|
436,420 |
|
|
|
(1,315,458 |
) |
|
|
96,811 |
|
|
|
(92,982 |
) |
Net income (loss) |
|
$ |
1,290,980 |
|
|
$ |
(4,666,158 |
) |
|
$ |
285,507 |
|
|
$ |
(1,186,574 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Basic and Diluted Net Income (Loss) Per Share of: |
|
|
|
|
|
|
|
|
|
|
|
|
||||
CLASS A COMMON STOCK |
|
$ |
0.13 |
|
|
$ |
(0.44 |
) |
|
$ |
0.03 |
|
|
$ |
(0.11 |
) |
CLASS B COMMON STOCK |
|
$ |
0.13 |
|
|
$ |
(0.44 |
) |
|
$ |
0.03 |
|
|
$ |
(0.11 |
) |
|
|
Three Months Ended June 30, |
||||||
Key Balance Sheet Metrics |
|
2023 |
|
2022 |
||||
Average MBS(1) |
|
$ |
54,705,200 |
|
|
$ |
46,607,126 |
|
Average repurchase agreements(1) |
|
|
51,893,294 |
|
|
|
45,870,344 |
|
Average stockholders' equity(1) |
|
|
13,272,305 |
|
|
|
28,513,181 |
|
|
|
|
|
|
|
|
|
|
Key Performance Metrics |
|
|
|
|
|
|
|
|
Average yield on MBS(2) |
|
|
4.14 |
% |
|
|
3.36 |
% |
Average cost of funds(2) |
|
|
4.35 |
% |
|
|
0.63 |
% |
Average economic cost of funds(3) |
|
|
4.49 |
% |
|
|
2.25 |
% |
Average interest rate spread(4) |
|
|
(0.21 |
)% |
|
|
2.73 |
% |
Average economic interest rate spread(5) |
|
|
(0.35 |
)% |
|
|
1.11 |
% |
(1) |
Average MBS, repurchase agreements and stockholders’ equity balances are calculated using two data points, the beginning and ending balances. |
(2) |
Portfolio yields and costs of funds are calculated based on the average balances of the underlying investment portfolio/repurchase agreement balances and are annualized for the quarterly periods presented. |
(3) |
Represents interest cost of our borrowings and the effect of derivative agreements attributed to the period related to hedging activities, divided by average repurchase agreements. |
(4) |
Average interest rate spread is calculated by subtracting average cost of funds from average yield on MBS. |
(5) |
Average economic interest rate spread is calculated by subtracting average economic cost of funds from average yield on MBS. |
About Bimini Capital Management, Inc.
Bimini Capital Management, Inc. invests primarily in, but is not limited to investing in, residential mortgage-related securities issued by the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac) and the Government National Mortgage Association (Ginnie Mae). Its objective is to earn returns on the spread between the yield on its assets and its costs, including the interest expense on the funds it borrows. In addition, Bimini generates a significant portion of its revenue serving as the manager of the MBS portfolio of, and providing certain repurchase agreement trading, clearing and administrative services to, Orchid Island Capital, Inc.
Forward Looking Statements
Statements herein relating to matters that are not historical facts are forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. The reader is cautioned that such forward-looking statements are based on information available at the time and on management's good faith belief with respect to future events, and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. Important factors that could cause such differences are described in Bimini Capital Management, Inc.'s filings with the Securities and Exchange Commission, including Bimini Capital Management, Inc.'s most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q. Bimini Capital Management, Inc. assumes no obligation to update forward-looking statements to reflect subsequent results, changes in assumptions or changes in other factors affecting forward-looking statements.
Earnings Conference Call Details
An earnings conference call and live audio webcast will be hosted Friday, August 11, 2023, at 10:00 AM ET. The conference call may be accessed by dialing toll free (888) 330-2214. The conference ID is 5305210. A live audio webcast of the conference call can be accessed via the investor relations section of the Company's website at https://ir.biminicapital.com or at https://events.q4inc.com/attendee/747750119.
View source version on businesswire.com: https://www.businesswire.com/news/home/20230810810473/en/
Bimini Capital Management, Inc.
Robert E. Cauley, 772-231-1400
Chairman and Chief Executive Officer
https://ir.biminicapital.com
Source: Bimini Capital Management, Inc.
FAQ
What were Bimini Capital's Q2 2023 results?
What impact did the Fed's rate hikes have on Bimini?
How did Orchid Island Capital perform in Q2 2023?
What happened to Bimini's MBS portfolio in Q2 2023?