Bimini Capital Management Announces Second Quarter 2024 Results
Second Quarter 2024 Highlights
-
Net loss of
$0.3 million , or$0.03 per common share -
Book value per share of
$0.81 -
Company to discuss results on
Friday, August 2, 2024 , at10:00 AM ET
Management Commentary
Commenting on the second quarter results,
“The developments described above led risk assets to perform very well during the second quarter of 2024, with the S&P 500 returning nearly 5%. Less risky assets also generated positive returns for the quarter, although the returns were much more modest. Agency RMBS returns for the quarter were 0.2% (absolute total return) but returns versus comparable duration swaps (a proxy for hedge returns) were slightly negative, owing largely to very poor relative performance over the last week of the second quarter. When the first quarter of 2024 ended the spread of the current coupon, 30-year fixed rate Agency MBS was trading at a spread to the 5-year
“Orchid Island Capital reported a net loss for the second quarter 2024 of
“Continuing with our advisory services segment highlights, Orchid is obligated to reimburse us for direct expenses paid on its behalf and to pay to us Orchid’s pro rata share of overhead as defined in the management agreement. Such amounts are included in the
“The investment portfolio generated net interest income of
Details of Second Quarter 2024 Results of Operations
The Company reported a 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,
Book Value Per Share
The Company's Book Value Per Share on
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 |
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Structured Security Portfolio |
|
|
|
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|||||||||
|
|
|
|
|
|
|
|
Inverse |
|
|
|
|
|
|
|
|
|
|||
|
|
Pass |
|
|
Interest |
|
|
Interest |
|
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|
|
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|
|
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|||
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Through |
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Only |
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Only |
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|||
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|
Portfolio |
|
|
Securities |
|
|
Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
Market Value - |
|
$ |
86,232,385 |
|
|
$ |
2,427,367 |
|
|
$ |
3,572 |
|
|
$ |
2,430,939 |
|
|
$ |
88,663,324 |
|
Securities purchased |
|
|
48,547,475 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
48,547,475 |
|
Securities sold |
|
|
(46,252,051 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(46,252,051 |
) |
(Losses) gains on sales |
|
|
(561,604 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(561,604 |
) |
Return of investment |
|
|
n/a |
|
|
|
(82,020 |
) |
|
|
(160 |
) |
|
|
(82,180 |
) |
|
|
(82,180 |
) |
Pay-downs |
|
|
(4,305,120 |
) |
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
(4,305,120 |
) |
Discount accreted due to pay-downs |
|
|
(25,153 |
) |
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
(25,153 |
) |
Mark to market gains |
|
|
324,809 |
|
|
|
105,130 |
|
|
|
89 |
|
|
|
105,219 |
|
|
|
430,028 |
|
Market Value - |
|
$ |
83,960,741 |
|
|
$ |
2,450,477 |
|
|
$ |
3,501 |
|
|
$ |
2,453,978 |
|
|
$ |
86,414,719 |
|
The tables below present the allocation of capital between the respective portfolios at
Capital Allocation |
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|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
Inverse |
|
|
|
|
|
|
|
|
|
|||
|
|
Pass |
|
|
Interest |
|
|
Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Through |
|
|
Only |
|
|
Only |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value |
|
$ |
83,960,741 |
|
|
$ |
2,450,477 |
|
|
$ |
3,501 |
|
|
$ |
2,453,978 |
|
|
$ |
86,414,719 |
|
Cash equivalents and restricted cash |
|
|
6,223,538 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
6,223,538 |
|
Repurchase agreement obligations |
|
|
(82,875,999 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(82,875,999 |
) |
Total(1) |
|
$ |
7,308,280 |
|
|
$ |
2,450,477 |
|
|
$ |
3,501 |
|
|
$ |
2,453,978 |
|
|
$ |
9,762,258 |
|
% of Total |
|
|
74.9 |
% |
|
|
25.1 |
% |
|
|
0.0 |
% |
|
|
25.1 |
% |
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value |
|
$ |
86,232,385 |
|
|
$ |
2,427,367 |
|
|
$ |
3,572 |
|
|
$ |
2,430,939 |
|
|
$ |
88,663,324 |
|
Cash equivalents and restricted cash |
|
|
4,670,617 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
4,670,617 |
|
Repurchase agreement obligations |
|
|
(84,598,999 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(84,598,999 |
) |
Total(1) |
|
$ |
6,304,003 |
|
|
$ |
2,427,367 |
|
|
$ |
3,572 |
|
|
$ |
2,430,939 |
|
|
$ |
8,734,942 |
|
% of Total |
|
|
72.2 |
% |
|
|
27.8 |
% |
|
|
0.0 |
% |
|
|
27.8 |
% |
|
|
100.0 |
% |
The returns on invested capital in the PT MBS and structured MBS portfolios were approximately 0.6% and 6.2%, respectively, for the three months ended
Returns for the Quarter Ended |
|
|||||||||||||||||||
|
|
|
|
|
|
Structured Security Portfolio |
|
|
|
|
|
|||||||||
|
|
|
|
|
|
|
|
Inverse |
|
|
|
|
|
|
|
|
|
|||
|
|
Pass |
|
|
Interest |
|
|
Interest |
|
|
|
|
|
|
|
|
|
|||
|
|
Through |
|
|
Only |
|
|
Only |
|
|
|
|
|
|
|
|
|
|||
|
|
Portfolio |
|
|
Securities |
|
|
Securities |
|
|
Sub-total |
|
|
Total |
|
|||||
Interest income (expense) (net of repo cost) |
|
$ |
84,536 |
|
|
$ |
45,491 |
|
|
$ |
(7 |
) |
|
$ |
45,484 |
|
|
$ |
130,020 |
|
Realized and unrealized losses (gains) |
|
|
(261,948 |
) |
|
|
105,130 |
|
|
|
89 |
|
|
|
105,219 |
|
|
|
(156,729 |
) |
Hedge gains |
|
|
212,457 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
212,457 |
|
Total Return |
|
$ |
35,045 |
|
|
$ |
150,621 |
|
|
$ |
82 |
|
|
$ |
150,703 |
|
|
$ |
185,748 |
|
Beginning capital allocation |
|
$ |
6,304,003 |
|
|
$ |
2,427,367 |
|
|
$ |
3,572 |
|
|
$ |
2,430,939 |
|
|
$ |
8,734,942 |
|
Return on invested capital for the quarter(1) |
|
|
0.6 |
% |
|
|
6.2 |
% |
|
|
2.3 |
% |
|
|
6.2 |
% |
|
|
2.1 |
% |
(1) Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage. | ||||||||||||||||||||
Prepayments
For the second quarter of 2024, the Company received approximately
|
|
PT |
|
|
Structured |
|
|
|
|
|
|
MBS Sub- |
|
|
MBS Sub- |
|
|
Total |
|
Three Months Ended |
|
Portfolio |
|
|
Portfolio |
|
|
Portfolio |
|
|
|
10.9 |
|
|
5.5 |
|
|
10.0 |
|
|
|
18.0 |
|
|
9.2 |
|
|
16.5 |
|
|
|
8.9 |
|
|
4.6 |
|
|
8.0 |
|
|
|
4.3 |
|
|
6.6 |
|
|
4.8 |
|
|
|
8.0 |
|
|
13.0 |
|
|
9.6 |
|
|
|
2.4 |
|
|
10.3 |
|
|
5.0 |
|
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 |
|
$ |
83,961 |
|
|
|
97.2 |
% |
|
|
5.46 |
% |
|
|
340 |
|
|
Structured MBS |
|
|
2,454 |
|
|
|
2.8 |
% |
|
|
2.84 |
% |
|
|
286 |
|
|
Total MBS Portfolio |
|
$ |
86,415 |
|
|
|
100.0 |
% |
|
|
5.00 |
% |
|
|
339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
Percentage of |
|
|
|
|
|
|
Percentage of |
|
||
Agency |
|
Fair Value |
|
|
Entire Portfolio |
|
|
Fair Value |
|
|
Entire Portfolio |
|
||||
Fannie Mae |
|
$ |
11,405 |
|
|
|
13.2 |
% |
|
$ |
38,204 |
|
|
|
41.2 |
% |
Freddie Mac |
|
|
75,010 |
|
|
|
86.8 |
% |
|
|
54,527 |
|
|
|
58.8 |
% |
Total Portfolio |
|
$ |
86,415 |
|
|
|
100.0 |
% |
|
$ |
92,731 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
||
Weighted Average Pass Through Purchase Price |
|
$ |
103.23 |
|
|
$ |
104.43 |
|
Weighted Average Structured Purchase Price |
|
$ |
4.48 |
|
|
$ |
4.48 |
|
Weighted Average Pass Through Current Price |
|
$ |
99.09 |
|
|
$ |
101.55 |
|
Weighted Average Structured Current Price |
|
$ |
13.78 |
|
|
$ |
13.46 |
|
Effective Duration (1) |
|
|
3.486 |
|
|
|
2.508 |
|
(1) |
Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 3.486 indicates that an interest rate increase of 1.0% would be expected to cause a 3.486% 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 |
|
|
Maturity |
|
||||
Counterparty |
|
Balances |
|
|
Total |
|
|
Rate |
|
|
(in Days) |
|
||||
DV Securities, LLC Repo |
|
$ |
19,933 |
|
|
|
24.1 |
% |
|
|
5.45 |
% |
|
|
89 |
|
|
|
|
19,916 |
|
|
|
24.0 |
% |
|
|
5.47 |
% |
|
|
80 |
|
|
|
|
17,085 |
|
|
|
20.6 |
% |
|
|
5.47 |
% |
|
|
86 |
|
|
|
|
12,398 |
|
|
|
15.0 |
% |
|
|
5.51 |
% |
|
|
25 |
|
|
|
|
9,552 |
|
|
|
11.5 |
% |
|
|
5.45 |
% |
|
|
50 |
|
|
|
|
3,992 |
|
|
|
4.8 |
% |
|
|
5.45 |
% |
|
|
15 |
|
|
|
$ |
82,876 |
|
|
|
100.0 |
% |
|
|
5.47 |
% |
|
|
69 |
|
(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 |
|
$ |
86,414,719 |
|
|
$ |
92,730,852 |
|
Cash equivalents and restricted cash |
|
|
6,223,538 |
|
|
|
4,470,286 |
|
Orchid Island Capital, Inc. common stock, at fair value |
|
|
4,746,052 |
|
|
|
4,797,269 |
|
Accrued interest receivable |
|
|
427,607 |
|
|
|
488,660 |
|
Deferred tax assets, net |
|
|
18,542,508 |
|
|
|
19,047,680 |
|
Other assets |
|
|
4,084,849 |
|
|
|
4,063,267 |
|
Total Assets |
|
$ |
120,439,273 |
|
|
$ |
125,598,014 |
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY |
|
|
|
|
|
|
|
|
Repurchase agreements |
|
$ |
82,875,999 |
|
|
$ |
86,906,999 |
|
Long-term debt |
|
|
27,382,035 |
|
|
|
27,394,417 |
|
Other liabilities |
|
|
2,114,235 |
|
|
|
3,168,857 |
|
Total Liabilities |
|
|
112,372,269 |
|
|
|
117,470,273 |
|
Stockholders' equity |
|
|
8,067,004 |
|
|
|
8,127,741 |
|
Total Liabilities and Stockholders' Equity |
|
$ |
120,439,273 |
|
|
$ |
125,598,014 |
|
Class A Common Shares outstanding |
|
|
10,005,457 |
|
|
|
10,005,457 |
|
Book value per share |
|
$ |
0.81 |
|
|
$ |
0.81 |
|
|
||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS |
||||||||||||||||
(Unaudited - Amounts Subject to Change) |
||||||||||||||||
|
|
|
|
|
|
|
||||||||||
|
|
Six Months Ended |
|
|
Three Months Ended |
|
||||||||||
|
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Advisory services |
|
$ |
6,096,316 |
|
|
$ |
6,898,860 |
|
|
$ |
3,167,055 |
|
|
$ |
3,516,450 |
|
Interest and dividend income |
|
|
3,091,156 |
|
|
|
1,670,104 |
|
|
|
1,492,191 |
|
|
|
839,562 |
|
Interest expense |
|
|
(3,577,794 |
) |
|
|
(2,183,490 |
) |
|
|
(1,762,116 |
) |
|
|
(1,129,285 |
) |
Net revenues |
|
|
5,609,678 |
|
|
|
6,385,474 |
|
|
|
2,897,130 |
|
|
|
3,226,727 |
|
Other income (expense) |
|
|
646,728 |
|
|
|
(106,205 |
) |
|
|
(280,003 |
) |
|
|
(621,397 |
) |
Expenses |
|
|
5,811,971 |
|
|
|
4,551,869 |
|
|
|
2,782,576 |
|
|
|
2,223,012 |
|
Net income (loss) before income tax provision |
|
|
444,435 |
|
|
|
1,727,400 |
|
|
|
(165,449 |
) |
|
|
382,318 |
|
Income tax provision |
|
|
505,172 |
|
|
|
436,420 |
|
|
|
108,396 |
|
|
|
96,811 |
|
Net (loss) income |
|
$ |
(60,737 |
) |
|
$ |
1,290,980 |
|
|
$ |
(273,845 |
) |
|
$ |
285,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic and Diluted Net (Loss) Income Per Share of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLASS A COMMON STOCK |
|
$ |
(0.01 |
) |
|
$ |
0.13 |
|
|
$ |
(0.03 |
) |
|
$ |
0.03 |
|
CLASS B COMMON STOCK |
|
$ |
(0.01 |
) |
|
$ |
0.13 |
|
|
$ |
(0.03 |
) |
|
$ |
0.03 |
|
|
|
Three Months Ended |
|
|||||
Key Balance Sheet Metrics |
|
2024 |
|
|
2023 |
|
||
Average MBS(1) |
|
$ |
87,539,021 |
|
|
$ |
54,705,200 |
|
Average repurchase agreements(1) |
|
|
83,737,499 |
|
|
|
51,893,294 |
|
Average stockholders' equity(1) |
|
|
8,203,927 |
|
|
|
13,272,305 |
|
|
|
|
|
|
|
|
|
|
Key Performance Metrics |
|
|
|
|
|
|
|
|
Average yield on MBS(2) |
|
|
5.88 |
% |
|
|
4.14 |
% |
Average cost of funds(2) |
|
|
5.53 |
% |
|
|
4.35 |
% |
Average economic cost of funds(3) |
|
|
5.32 |
% |
|
|
4.49 |
% |
Average interest rate spread(4) |
|
|
0.35 |
% |
|
|
(0.21 |
)% |
Average economic interest rate spread(5) |
|
|
0.56 |
% |
|
|
(0.35 |
)% |
(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
An earnings conference call and live audio webcast will be hosted
View source version on businesswire.com: https://www.businesswire.com/news/home/20240801051926/en/
Chairman and Chief Executive Officer
https://ir.biminicapital.com
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