GlobeNewswire Inc | Aug 13, 2020 04:05PM EDT

August 13, 2020

VERO BEACH, Fla., Aug. 13, 2020 (GLOBE NEWSWIRE) -- Bimini Capital Management, Inc. (OTCQB:BMNM), (Bimini Capital, Bimini, or the Company), today announced results of operations for the three month period ended June 30, 2020.

Second Quarter 2020 Highlights

-- Net income of $3.5 million, or $0.30 per common share -- Book value per share of $1.82 -- Company to discuss results on Friday, August 14, 2020, at 10:00 AM ET

Impact of the COVID-19 Pandemic

Beginning in mid-March 2020, the global pandemic associated with the novel coronavirus COVID-19 (COVID-19) and related economic conditions began to impact our financial position and results of operations. As a result of the economic, health and market turmoil brought about by COVID-19, the Agency MBS market experienced severe dislocations. This resulted in falling prices of our assets and increased margin calls from our repurchase agreement lenders. Further, as interest rates declined, we faced additional margin calls related to our hedge positions. In order to maintain our leverage ratio at prudent levels, maintain sufficient cash and liquidity, reduce risk and satisfy margin calls, we sold assets at levels significantly below their carrying values and closed several of our hedge positions. We timely satisfied all margin calls. The Agency MBS market largely stabilized after the Federal Reserve announced on March 23, 2020 that it would purchase Agency MBS and U.S. Treasuries in the amounts needed to support smooth market functioning. Largely as a result of actions taken by the Fed in late March, Agency RMBS valuations have substantially increased since March 31, 2020.

Management has invoked the Companys Disaster Recovery Plan and its employees are working remotely. Prior planning resulted in the successful implementation of this plan and key operational team members maintain daily communication.

Details of Second Quarter 2020 Results of Operations

The Company reported net income of $3.5 million for the three month period ended June 30, 2020. The results for the quarter included advisory services revenue of $1.6 million, interest and dividend income of $0.9 million, interest expense of $0.3 million, net realized and unrealized gains of $4.3 million, operating expenses of $1.7 million and an income tax provision of $1.3 million.

Management of Orchid Island Capital, Inc.

Orchid is managed and advised by Bimini. As Manager, Bimini is responsible for administering Orchids 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, 2020, Biminis statement of operations included a fair value adjustment of $3.7 million and dividends of $0.4 million from its investment in Orchids common stock. Also during the three months ended June 30, 2020, Bimini recorded $1.6 million in advisory services revenue for managing Orchids portfolio consisting of $1.3 million of management fees and $0.3 million in overhead reimbursement.

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 Sub-total Total SecuritiesMarketValue - $ 53,857,760 $ 552,735 $ 31,905 $ 584,640 $ 54,442,400 March 31,2020Return of n/a (79,708 ) (2,518 ) (82,226 ) (82,226 )investmentPay-downs (2,144,793 ) n/a n/a n/a (2,144,793 )Premiumlost due (206,624 ) n/a n/a n/a (206,624 )topay-downsMark tomarket 838,754 (31,745 ) 1,751 (29,994 ) 808,760 gains(losses)MarketValue - $ 52,345,097 $ 441,282 $ 31,138 $ 472,420 $ 52,817,517 June 30,2020

The tables below present the allocation of capital between the respective portfolios at June 30, 2020 and March 31, 2020, and the return on invested capital for each sub-portfolio for the three month period ended June 30, 2020. 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.

The returns on invested capital in the PT MBS and structured MBS portfolios were approximately 13.1% and (1.5)%, respectively, for the second quarter of 2020. The combined portfolio generated a return on invested capital of approximately 12.1%.

Capital Allocation Structured Security Portfolio Pass-Through Interest-Only Inverse Interest Portfolio Securities Only Sub-total Total SecuritiesJune 30, 2020Market $ 52,345,097 $ 441,282 $ 31,138 $ 472,420 $ 52,817,517 valueCashequivalentsand 5,673,314 - - - 5,673,314 restrictedcash^(1)Repurchaseagreement (51,617,000 ) - - - (51,617,000 )obligationsTotal^(2) $ 6,401,411 $ 441,282 $ 31,138 $ 472,420 $ 6,873,831 % of Total 93.1 % 6.4 % 0.5 % 6.9 % 100.0 %March 31, 2020Market $ 53,857,760 $ 552,735 $ 31,905 $ 584,640 $ 54,442,400 valueCashequivalentsand 6,731,983 - - - 6,731,983 restrictedcash^(1)Repurchaseagreement (52,357,397 ) - - - (52,357,397 )obligationsTotal^(2) $ 8,232,346 $ 552,735 $ 31,905 $ 584,640 $ 8,816,986 % of Total 93.4 % 6.2 % 0.4 % 6.6 % 100.0 %

Amount excludes restricted cash of $1,680 and $2,775 at June 30, 2020 and(1) March 31, 2020, respectively, related to trust preferred debt funding hedges. Invested capital includes the value of the MBS portfolio and cash(2) equivalents and restricted cash, reduced by repurchase agreement borrowings.

Returns for the Quarter Ended June 30, 2020 Structured Security Portfolio Pass-Through Interest-Only Inverse Interest Portfolio Securities Only Sub-total Total SecuritiesInterestincome $ 442,391 $ 19,951 $ 1,344 $ 21,295 $ 463,686 (net ofrepo cost)Realizedandunrealized 632,130 (31,745 ) 1,751 (29,994 ) 602,136 gains(losses)Total $ 1,074,521 $ (11,794 ) $ 3,095 $ (8,699 ) $ 1,065,822 ReturnBeginningcapital $ 8,232,346 $ 552,735 $ 31,905 $ 584,640 $ 8,816,986 allocationReturn oninvestedcapital 13.1 % (2.1 )% 9.7 % (1.5 )% 12.1 %for thequarter^(1)

(1) Calculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage.

Prepayments

For the second quarter of 2020, the Company received approximately $2.2 million in scheduled and unscheduled principal repayments and prepayments, which equated to a 3-month constant prepayment rate (CPR) of approximately 15.3% for the second quarter of 2020. Prepayment rates on the two MBS sub-portfolios were as follows (in CPR):

PT Structured MBS Sub- MBS Sub- TotalThree Months Ended Portfolio Portfolio PortfolioJune 30, 2020 12.4 25.0 15.3March 31, 2020 11.6 18.1 13.7December 31, 2019 15.6 15.6 15.6September 30, 2019 9.5 16.2 10.5June 30, 2019 9.9 14.6 10.5March 31, 2019 5.7 13.4 6.8

Portfolio

The following tables summarize the MBS portfolio as of June 30, 2020 and December 31, 2019:

($ in thousands) Weighted Percentage Average of Weighted Maturity Fair Entire Average in LongestAsset Category Value Portfolio Coupon Months MaturityJune 30, 2020 Fixed Rate MBS $ 52,345 99.1 % 4.18 % 332 1-Feb-50Interest-Only MBS 442 0.8 % 3.60 % 292 15-Jul-48Inverse Interest-Only MBS 31 0.1 % 5.19 % 227 15-May-39Total MBS Portfolio $ 52,818 100.0 % 4.17 % 331 1-Feb-50December 31, 2019 Fixed Rate MBS $ 216,231 99.3 % 4.25 % 316 1-Nov-49Interest-Only MBS 1,024 0.5 % 3.65 % 281 15-Jul-48Inverse Interest-Only MBS 586 0.2 % 4.77 % 254 25-Apr-41Total MBS Portfolio $ 217,841 100.0 % 4.25 % 316 1-Nov-49

($ in thousands) June 30, 2020 December 31, 2019 Percentage of Percentage ofAgency Fair Entire Fair Entire Value Portfolio Value PortfolioFannie Mae $ 25,552 48.4 % $ 203,321 93.3 %Freddie Mac 27,263 51.6 % 14,499 6.7 %Ginnie Mae 3 0.0 % 21 0.0 %Total $ 52,818 100.0 % $ 217,841 100.0 %Portfolio

June 30, December 31, 2020 2019Weighted Average Pass Through Purchase $ 108.92 $ 107.12PriceWeighted Average Structured Purchase $ 5.38 $ 6.39PriceWeighted Average Pass Through Current $ 111.54 $ 108.77PriceWeighted Average Structured Current $ 3.34 $ 6.91PriceEffective Duration ^(1) 3.155 3.196

Effective duration is the approximate percentage change in price for a 100 basis point change in rates. An effective duration of 3.155 indicates that an interest rate increase of 1.0% would be expected to cause a 3.155% decrease in the value of the MBS in the Company?s investment portfolio at(1) June 30, 2020. An effective duration of 3.196 indicates that an interest rate increase of 1.0% would be expected to cause a 3.196% decrease in the value of the MBS in the Company?s investment portfolio at December 31, 2019. These figures include the structured securities in the portfolio but not the effect of the Company?s hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

Financing and Liquidity

As of June 30, 2020, the Company had outstanding repurchase obligations of approximately $51.6 million with a net weighted average borrowing rate of 0.28%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $53.0 million. At June 30, 2020, the Companys liquidity was approximately $4.7 million, consisting of unpledged MBS and cash and cash equivalents.

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, 2020.

($ in thousands) Repurchase Agreement Obligations Weighted Weighted Total Average Average Outstanding % of Borrowing Amount Maturity at (inCounterparty Balances Total Rate Risk^ Days) (1)Mirae AssetSecurities (USA) $ 35,318 68.4 % 0.27 % $ 1,560 11Inc.South Street 7,302 14.1 % 0.30 % 269 317Securities, LLCMitsubishi UFJSecurities (USA), 5,311 10.3 % 0.23 % 66 13Inc.JVB Financial 3,343 6.5 % 0.30 % 258 107Group, LLCCitigroup Global 343 0.7 % 1.33 % 186 7Markets, Inc. $ 51,617 100.0 % 0.28 % $ 2,339 61

Equal to the fair value of securities sold (including accrued interest(1) 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).

Hedging

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding and also its junior subordinated notes by entering into derivative financial instrument contracts.The Company has not elected hedging treatment under U.S. generally accepted accounting principles (GAAP) in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option election. As such, all gains or losses on these instruments are reflected in earnings for all periods presented. As of June 30, 2020, such instruments were comprised entirely of Eurodollar futures contracts.

The tables below present information related to outstanding Eurodollar futures contracts at June 30, 2020.

($ in thousands) As of June 30, 2020 Junior Subordinated Debt Funding Hedges Average Weighted Weighted Contract Average Average Notional Entry Effective OpenExpiration Year Amount Rate Rate Equity^(1)2021 $ 1,000 1.02 % 0.19 % $ (8 )Total / Weighted Average $ 1,000 1.02 % 0.19 % $ (8 )

(1) Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

Book Value Per Share

The Company's Book Value Per Share at June 30, 2020 was $1.82. The Company computes Book Value Per Share by dividing total stockholders' equity by the total number of shares outstanding of the Company's Class A Common Stock. At June 30, 2020, the Company's stockholders equity was $21.1 million, with 11,608,555 Class A Common shares outstanding.

Stock Repurchase Plan

On March 26, 2018, the Board of Directors of Bimini Capital Management, Inc. (the Company) approved a Stock Repurchase Plan (Repurchase Plan). Pursuant to Repurchase Plan, the Company may purchase up to 500,000 shares of its Class A Common Stock from time to time, subject to certain limitations imposed by Rule 10b-18 of the Securities Exchange Act of 1934, as amended. Share repurchases may be executed through various means, including, without limitation, open market transactions. The Repurchase Plan does not obligate the Company to purchase any shares. The Repurchase Plan was originally set to expire on November 15, 2018, but it has been extended twice by the Board of Directors, first until November 15, 2019, and then unit November 15, 2020. The authorization for the Share Repurchase Plan may be terminated, increased or decreased by the Companys Board of Directors in its discretion at any time.

Since inception of the program through June 30, 2020, the Company repurchased a total of 70,404 shares at an aggregate cost of approximately $166,945, including commissions and fees, for a weighted average price of $2.37 per share.

Management Commentary

Commenting on the second quarter, Robert E. Cauley, Chairman and Chief Executive Officer, said, After suffering through the most dramatic contraction of economic activity and financial market turmoil ever witnessed during the first quarter of 2020, the second quarter was one of recovery at least for much of the economy and markets. The financial markets are generally functioning as they did prior to the chaos that erupted this March, in large part because of the substantial intervention by the Fed and the government. Critically for us, the Fed has undertaken a quantitative easing program in which they buy U.S. Treasuries and Agency MBS securities on a regular basis each week, and are likely to continue doing so until the economy has substantially recovered. But most importantly, it was a period of recovery for Bimini.

Once the Company had fully stabilized after the turmoil of late March, as the Agency RMBS market was itself stabilizing, we were able to start the process of rebuilding the investment portfolio. Recall we had erred on the conservative side and de-levered a little more than was necessary in March to ensure we always had ample liquidity. This allowed us to start rebuilding quickly once the market stabilized. With shares of Orchid Island Capital trading at a significant discount to its reported book value at March 31, 2020, we started by adding to our position in Orchid and ultimately increased it by approximately 64%. Orchid Island Capital generated a 15.8% return for the second quarter based on dividends paid and an increase in book value.

While our portfolio was reduced materially in March, our funding costs have decreased substantially as well, and this mitigated the effect of the reduced portfolio on our net interest income. Our net interest income for the second quarter of 2020 was approximately $0.5 million, versus $0.8 million for the same quarter in 2019, when our portfolio was approximately 4 times the size of portfolio as of June 30, 2020. Since quarter end we received the balance of the funds from the securitizations that were terminated in August of 2018 - the funds were withheld for tax purposes by the trustee. The $1.4 million received was deployed into the RMBS portfolio, bringing the market value to approximately $68 million. As mentioned, Orchid Islands book value increased by over 12% during the second quarter of 2020, and this impacts advisory service revenues we receive as the external manager of Orchid. In fact, advisory service revenues were only down approximately 10% for the quarter versus the first quarter of the year.

With respect to the outlook going forward, the economy has yet to fully recover from the steep contraction during the first quarter of 2020, despite massive intervention by both the Fed and the Trump administration. There remains significant uncertainty surrounding the timing of a full recovery in economic activity and a return to life as it existed before the virus emerged. However, the current market environment, despite elevated levels of prepayments stemming from the low absolute level of rates available to borrowers, offers low to mid teen returns on levered Agency RMBS investments. We see reason for optimism on our own outlook over the balance of the year.

Summarized Consolidated Financial Statements

The following is a summarized presentation of the unaudited consolidated balance sheets as of June 30, 2020, andDecember 31, 2019, and the unaudited consolidated statements of operations for the three months ended June 30, 2020 and 2019. Amounts presented are subject to change.

BIMINI CAPITAL MANAGEMENT, INC.CONSOLIDATED BALANCE SHEETS(Unaudited - Amounts Subject To Change) June 30, December 31, 2020 2019ASSETS Mortgage-backed securities $ 52,817,517 $ 217,840,953Cash equivalents and restricted cash 5,674,994 12,385,117Orchid Island Capital, Inc. common stock, at 11,753,131 8,892,211fair valueAccrued interest receivable 194,229 750,875Deferred tax assets, net 24,601,800 33,288,536Other assets 6,264,335 6,331,256Total Assets $ 101,306,006 $ 279,488,948 LIABILITIES AND STOCKHOLDERS' EQUITY Repurchase agreements $ 51,617,000 $ 209,954,000Long-term debt 27,623,161 27,481,121Other liabilities 953,676 2,076,836Total Liabilities 80,193,837 239,511,957Stockholders' equity 21,112,169 39,976,991Total Liabilities and Stockholders' Equity $ 101,306,006 $ 279,488,948Class A Common Shares outstanding 11,608,555 11,608,555Book value per share $ 1.82 $ 3.44

BIMINI CAPITAL MANAGEMENT, INC.CONSOLIDATED STATEMENTS OF OPERATIONS(Unaudited - Amounts Subject to Change) Six Months Ended June 30, Three Months Ended June 30, 2020 2019 2020 2019 Advisory $ 3,339,680 $ 3,261,116 $ 1,615,083 $ 1,653,796 servicesInterestand 3,316,799 5,053,710 911,996 2,498,486 dividendincomeInterest (1,619,375 ) (3,459,040 ) (342,058 ) (1,739,621 )expenseNet 5,037,104 4,855,786 2,185,021 2,412,661 revenuesOther(expense) (11,823,372 ) (115,497 ) 4,254,076 (1,474,489 )incomeExpenses 3,391,046 3,218,989 1,685,088 1,597,963 Net(Loss)incomebefore (10,177,314 ) 1,521,300 4,754,009 (659,791 )incometaxprovision(benefit)Incometax 8,687,508 404,419 1,285,884 (158,069 )provision(benefit)Net(loss) $ (18,864,822 ) $ 1,116,881 $ 3,468,125 $ (501,722 )income Basic andDilutedNetIncome (Loss)Per Shareof:CLASS ACOMMON $ (1.62 ) $ 0.09 $ 0.30 $ (0.04 )STOCKCLASS BCOMMON $ (1.62 ) $ 0.09 $ 0.30 $ (0.04 )STOCK

Three Months Ended June 30,Key Balance Sheet Metrics 2020 2019 Average MBS^(1) $ 53,629,957 $ 211,405,913 Average repurchase agreements^(1) 51,987,199 199,901,000 Average stockholders' equity^(1) 19,378,107 30,320,821 Key Performance Metrics Average yield on MBS^(2) 3.90 % 4.04 %Average cost of funds^(2) 0.46 % 2.68 %Average economic cost of funds^(3) 3.97 % 3.13 %Average interest rate spread^(4) 3.44 % 1.36 %Average economic interest rate spread^(5) (0.07 )% 0.91 %

(1) Average MBS, repurchase agreements and stockholders? equity balances are calculated using two data points, the beginning and ending balances. Portfolio yields and costs of funds are calculated based on the average(2) balances of the underlying investment portfolio/repurchase agreement balances and are annualized for the quarterly periods presented. Represents interest cost of our borrowings and the effect of derivative(3) 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 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 14, 2020, at 10:00 AM ET. The conference call may be accessed by dialing toll free (877) 312-5414. International callers dial (408) 940-3877. The conference passcode is 8966666. A live audio webcast of the conference call can be accessed via the investor relations section of the Companys website at www.biminicapital.com, and an audio archive of the webcast will be available for approximately one year.

CONTACT:Bimini Capital Management, Inc.Robert E. Cauley, 772-231-1400Chairman and Chief Executive Officerwww.biminicapital.com