Bimini Capital Management Announces Fourth Quarter 2023 Results
Fourth Quarter 2023 Highlights
-
Net loss of
$4.9 million , or$0.48 per common share -
Book value per share of
$0.81 -
Company to discuss results on
Friday, March 8, 2024 , at10:00 AM ET
Management Commentary
Commenting on the fourth quarter results,
“Orchid Island Capital ("Orchid") reported fourth quarter 2023 net income of
“With respect to the MBS portfolio at Royal Palm, we added to the MBS portfolio during the third 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 gain of
“Market conditions so far in the first quarter of 2024 are less volatile than what we experienced through most of 2023, and 2022 for that matter. However, incoming economic data remains solid and public comments from various Fed officials consistently point to the need for continued diligence on the inflation front and we suspect we will not see interest rate cuts from the Fed in the near term. That being said, a continuation of current market conditions is desirable as it allows us to accumulate cash owing to our NOL’s and continue to grow our RMBS portfolio slowly over time.”
Details of Fourth Quarter 2023 Results of Operations
The Company reported net loss 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 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
Book Value Per Share
The Company's Book Value Per Share at
Capital Allocation and Return on
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 - |
|
$ |
82,302,593 |
|
|
$ |
2,553,859 |
|
|
$ |
4,709 |
|
|
$ |
2,558,568 |
|
|
$ |
84,861,161 |
|
Securities purchased |
|
|
25,649,806 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
25,649,806 |
|
Securities sold |
|
|
(18,175,322 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(18,175,322 |
) |
Losses on sales |
|
|
(19,958 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(19,958 |
) |
Return of investment |
|
|
n/a |
|
|
|
(80,158 |
) |
|
|
(214 |
) |
|
|
(80,372 |
) |
|
|
(80,372 |
) |
Pay-downs |
|
|
(2,051,685 |
) |
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
(2,051,685 |
) |
Discount accreted due to pay-downs |
|
|
62,387 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
62,387 |
|
Mark to market gains (losses) |
|
|
2,412,669 |
|
|
|
72,355 |
|
|
|
(189 |
) |
|
|
72,166 |
|
|
|
2,484,835 |
|
Market Value - |
|
$ |
90,180,490 |
|
|
$ |
2,546,056 |
|
|
$ |
4,306 |
|
|
$ |
2,550,362 |
|
|
$ |
92,730,852 |
|
The tables below present the allocation of capital between the respective portfolios at
The returns on invested capital in the PT MBS and structured MBS portfolios were approximately 11.3% and 5.0%, respectively, for the fourth quarter of 2023. The combined portfolio generated a return on invested capital of approximately 9.4%.
Capital Allocation |
|
|||||||||||||||||||
|
|
|
|
|
|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
Pass-Through |
|
|
Interest-Only |
|
|
Inverse Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Only Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value |
|
$ |
90,180,490 |
|
|
$ |
2,546,056 |
|
|
$ |
4,306 |
|
|
$ |
2,550,362 |
|
|
$ |
92,730,852 |
|
Cash equivalents and restricted cash |
|
|
4,470,286 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
4,470,286 |
|
Repurchase agreement obligations |
|
|
(86,906,999 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(86,906,999 |
) |
Total(1) |
|
$ |
7,743,777 |
|
|
$ |
2,546,056 |
|
|
$ |
4,306 |
|
|
$ |
2,550,362 |
|
|
$ |
10,294,139 |
|
% of Total |
|
|
75.2 |
% |
|
|
24.7 |
% |
|
|
0.0 |
% |
|
|
24.8 |
% |
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value |
|
$ |
82,302,593 |
|
|
$ |
2,553,859 |
|
|
$ |
4,709 |
|
|
$ |
2,558,568 |
|
|
$ |
84,861,161 |
|
Cash equivalents and restricted cash |
|
|
5,205,562 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
5,205,562 |
|
Repurchase agreement obligations |
|
|
(81,416,999 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(81,416,999 |
) |
Total(1) |
|
$ |
6,091,156 |
|
|
$ |
2,553,859 |
|
|
$ |
4,709 |
|
|
$ |
2,558,568 |
|
|
$ |
8,649,724 |
|
% of Total |
|
|
70.4 |
% |
|
|
29.5 |
% |
|
|
0.1 |
% |
|
|
29.6 |
% |
|
|
100.0 |
% |
(1) |
Invested capital includes the value of the MBS portfolio and cash equivalents and restricted cash, reduced by repurchase agreement borrowings. |
Returns for the Quarter Ended |
|
|||||||||||||||||||
|
|
|
|
|
|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
Pass-Through |
|
|
Interest-Only |
|
|
Inverse Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Only Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
Interest income (expense) (net of repo cost) |
|
$ |
116,137 |
|
|
$ |
55,415 |
|
|
$ |
(56 |
) |
|
$ |
55,359 |
|
|
$ |
171,496 |
|
Realized and unrealized gains (losses) |
|
|
2,455,098 |
|
|
|
72,355 |
|
|
|
(189 |
) |
|
|
72,166 |
|
|
|
2,527,264 |
|
Hedge losses |
|
|
(1,881,817 |
) |
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
(1,881,817 |
) |
Total Return |
|
$ |
689,418 |
|
|
$ |
127,770 |
|
|
$ |
(245 |
) |
|
$ |
127,525 |
|
|
$ |
816,943 |
|
Beginning capital allocation |
|
$ |
6,091,156 |
|
|
$ |
2,553,859 |
|
|
$ |
4,709 |
|
|
$ |
2,558,568 |
|
|
$ |
8,649,724 |
|
Return on invested capital for the quarter(1) |
|
|
11.3 |
% |
|
|
5.0 |
% |
|
|
(5.2 |
)% |
|
|
5.0 |
% |
|
|
9.4 |
% |
(1) |
Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage. |
Prepayments
For the fourth quarter of 2023, the Company received approximately
|
|
PT |
|
|
Structured |
|
|
|
|
|
||
|
|
MBS Sub- |
|
|
MBS Sub- |
|
|
Total |
|
|||
Three Months Ended |
|
Portfolio |
|
|
Portfolio |
|
|
Portfolio |
|
|||
|
|
|
8.9 |
|
|
|
4.6 |
|
|
|
8.0 |
|
|
|
|
4.3 |
|
|
|
6.6 |
|
|
|
4.8 |
|
|
|
|
8.0 |
|
|
|
13.0 |
|
|
|
9.6 |
|
|
|
|
2.4 |
|
|
|
10.3 |
|
|
|
5.0 |
|
|
|
|
8.2 |
|
|
|
8.4 |
|
|
|
8.3 |
|
|
|
|
13.1 |
|
|
|
7.5 |
|
|
|
10.8 |
|
|
|
|
17.2 |
|
|
|
22.9 |
|
|
|
20.0 |
|
|
|
|
18.5 |
|
|
|
25.6 |
|
|
|
20.9 |
|
Portfolio
The following tables summarize the MBS portfolio as of
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
|
|
|
Average |
|
|
||
|
|
|
|
|
|
of |
|
|
Weighted |
|
|
Maturity |
|
|
|||
|
|
Fair |
|
|
Entire |
|
|
Average |
|
|
in |
|
Longest |
||||
Asset Category |
|
Value |
|
|
Portfolio |
|
|
Coupon |
|
|
Months |
|
Maturity |
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate MBS |
|
$ |
90,181 |
|
|
|
97.3 |
% |
|
|
6.00 |
% |
|
|
343 |
|
|
Structured MBS |
|
|
2,550 |
|
|
|
2.7 |
% |
|
|
2.84 |
% |
|
|
290 |
|
|
Total MBS Portfolio |
|
$ |
92,731 |
|
|
|
100.0 |
% |
|
|
5.44 |
% |
|
|
341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate MBS |
|
$ |
42,974 |
|
|
|
93.6 |
% |
|
|
4.07 |
% |
|
|
329 |
|
|
Structured MBS |
|
|
2,919 |
|
|
|
6.4 |
% |
|
|
2.84 |
% |
|
|
300 |
|
|
Total MBS Portfolio |
|
$ |
45,893 |
|
|
|
100.0 |
% |
|
|
3.67 |
% |
|
|
327 |
|
|
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
Percentage of |
|
|
|
|
|
|
Percentage of |
|
||
Agency |
|
Fair Value |
|
|
Entire Portfolio |
|
|
Fair Value |
|
|
Entire Portfolio |
|
||||
Fannie Mae |
|
$ |
38,204 |
|
|
|
41.2 |
% |
|
$ |
33,883 |
|
|
|
73.8 |
% |
Freddie Mac |
|
|
54,527 |
|
|
|
58.8 |
% |
|
|
12,010 |
|
|
|
26.2 |
% |
Total Portfolio |
|
$ |
92,731 |
|
|
|
100.0 |
% |
|
$ |
45,893 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
||
Weighted Average Pass Through Purchase Price |
|
$ |
104.43 |
|
|
$ |
105.30 |
|
Weighted Average Structured Purchase Price |
|
$ |
4.48 |
|
|
$ |
4.48 |
|
Weighted Average Pass Through Current Price |
|
$ |
101.55 |
|
|
$ |
95.58 |
|
Weighted Average Structured Current Price |
|
$ |
13.46 |
|
|
$ |
13.37 |
|
Effective Duration (1) |
|
|
2.508 |
|
|
|
4.323 |
|
(1) |
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 2.508 indicates that an interest rate increase of 1.0% would be expected to cause a 2.508% decrease in the value of the MBS in the Company’s investment portfolio at |
Financing and Liquidity
As of
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
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement Obligations |
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
Weighted |
|
||
|
|
Total |
|
|
|
|
|
|
Average |
|
|
|
|
|
|
Average |
|
|||
|
|
Outstanding |
|
|
% of |
|
|
Borrowing |
|
|
Amount |
|
|
Maturity |
|
|||||
Counterparty |
|
Balances |
|
|
Total |
|
|
Rate |
|
|
at Risk(1) |
|
|
(in Days) |
|
|||||
|
|
$ |
25,290 |
|
|
|
29.1 |
% |
|
|
5.56 |
% |
|
|
1,564 |
|
|
|
18 |
|
|
|
|
17,109 |
|
|
|
19.7 |
% |
|
|
5.57 |
% |
|
|
922 |
|
|
|
52 |
|
|
|
|
13,143 |
|
|
|
15.1 |
% |
|
|
5.60 |
% |
|
|
1,128 |
|
|
|
23 |
|
|
|
|
11,023 |
|
|
|
12.7 |
% |
|
|
5.55 |
% |
|
|
1,302 |
|
|
|
26 |
|
|
|
|
10,801 |
|
|
|
12.4 |
% |
|
|
5.51 |
% |
|
|
535 |
|
|
|
4 |
|
|
|
|
9,541 |
|
|
|
11.0 |
% |
|
|
5.56 |
% |
|
|
557 |
|
|
|
60 |
|
|
|
$ |
86,907 |
|
|
|
100.0 |
% |
|
|
5.56 |
% |
|
$ |
6,008 |
|
|
|
29 |
|
(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
CONSOLIDATED BALANCE SHEETS (Unaudited - Amounts Subject to Change) |
||||||||
|
|
|
|
|
|
|
||
ASSETS |
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value |
|
$ |
92,730,852 |
|
|
$ |
45,893,436 |
|
Cash equivalents and restricted cash |
|
|
4,470,286 |
|
|
|
6,773,799 |
|
Orchid Island Capital, Inc. common stock, at fair value |
|
|
4,797,269 |
|
|
|
5,975,248 |
|
Accrued interest receivable |
|
|
488,660 |
|
|
|
204,018 |
|
Deferred tax assets, net |
|
|
19,047,680 |
|
|
|
23,178,243 |
|
Other assets |
|
|
4,063,267 |
|
|
|
4,292,207 |
|
Total Assets |
|
$ |
125,598,014 |
|
|
$ |
86,316,951 |
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY |
|
|
|
|
|
|
|
|
Repurchase agreements |
|
$ |
86,906,999 |
|
|
$ |
43,817,999 |
|
Long-term debt |
|
|
27,394,417 |
|
|
|
27,416,239 |
|
Other liabilities |
|
|
3,168,857 |
|
|
|
2,958,634 |
|
Total Liabilities |
|
|
117,470,273 |
|
|
|
74,192,872 |
|
Stockholders' equity |
|
|
8,127,741 |
|
|
|
12,124,079 |
|
Total Liabilities and Stockholders' Equity |
|
$ |
125,598,014 |
|
|
$ |
86,316,951 |
|
Class A Common Shares outstanding |
|
|
10,005,457 |
|
|
|
10,019,888 |
|
Book value per share |
|
$ |
0.81 |
|
|
$ |
1.21 |
|
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited - Amounts Subject to Change) |
||||||||||||||||
|
|
Years Ended |
|
|
Three Months Ended
|
|
||||||||||
|
|
2023 |
|
|
2022 |
|
|
2023 |
|
|
2022 |
|
||||
Advisory services |
|
$ |
13,594,907 |
|
|
$ |
12,995,504 |
|
|
$ |
3,076,045 |
|
|
$ |
3,275,801 |
|
Interest and dividend income |
|
|
4,335,843 |
|
|
|
3,155,181 |
|
|
|
1,554,080 |
|
|
|
791,370 |
|
Interest expense |
|
|
(5,418,955 |
) |
|
|
(2,131,010 |
) |
|
|
(1,794,094 |
) |
|
|
(878,610 |
) |
Net revenues |
|
|
12,511,795 |
|
|
|
14,019,675 |
|
|
|
2,836,031 |
|
|
|
3,188,561 |
|
Other (expense) income |
|
|
(1,866,834 |
) |
|
|
(12,146,005 |
) |
|
|
599,961 |
|
|
|
1,879,873 |
|
Expenses |
|
|
10,497,603 |
|
|
|
9,838,706 |
|
|
|
3,840,310 |
|
|
|
3,623,048 |
|
Net income (loss) before income tax provision |
|
|
147,358 |
|
|
|
(7,965,036 |
) |
|
|
(404,318 |
) |
|
|
1,445,386 |
|
Income tax provision |
|
|
4,130,563 |
|
|
|
11,858,069 |
|
|
|
4,451,159 |
|
|
|
13,429,145 |
|
Net loss |
|
$ |
(3,983,205 |
) |
|
$ |
(19,823,105 |
) |
|
$ |
(4,855,477 |
) |
|
$ |
(11,983,759 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic and Diluted Net Loss Per Share of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLASS A COMMON STOCK |
|
$ |
(0.40 |
) |
|
$ |
(1.90 |
) |
|
$ |
(0.48 |
) |
|
$ |
(1.17 |
) |
CLASS B COMMON STOCK |
|
$ |
(0.40 |
) |
|
$ |
(1.90 |
) |
|
$ |
(0.48 |
) |
|
$ |
(1.17 |
) |
|
|
Three Months Ended |
|
|||||
Key Balance Sheet Metrics |
|
2023 |
|
|
2022 |
|
||
Average MBS(1) |
|
$ |
88,796,005 |
|
|
$ |
45,081,481 |
|
Average repurchase agreements(1) |
|
|
84,161,999 |
|
|
|
43,655,999 |
|
Average stockholders' equity(1) |
|
|
10,555,480 |
|
|
|
18,235,967 |
|
|
|
|
|
|
|
|
|
|
Key Performance Metrics |
|
|
|
|
|
|
|
|
Average yield on MBS(2) |
|
|
6.08 |
% |
|
|
4.74 |
% |
Average cost of funds(2) |
|
|
5.60 |
% |
|
|
3.68 |
% |
Average economic cost of funds(3) |
|
|
5.70 |
% |
|
|
5.37 |
% |
Average interest rate spread(4) |
|
|
0.48 |
% |
|
|
1.06 |
% |
Average economic interest rate spread(5) |
|
|
0.38 |
% |
|
|
(0.63 |
)% |
Summarized Consolidated Financial Statements
(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
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
Earnings Conference Call Details
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View source version on businesswire.com: https://www.businesswire.com/news/home/20240307738399/en/
Chairman and Chief Executive Officer
https://ir.biminicapital.com
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