UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): November 30, 2004
Bimini
Mortgage Management, Inc.
(Exact Name of
Registrant as Specified in Charter)
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Maryland |
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001-32171 |
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72-1571637 |
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(State or Other Jurisdiction of Incorporation) |
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(Commission File Number) |
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(IRS Employer Identification No.) |
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3305
Flamingo Drive, Suite 100, Vero Beach, Florida 32963 |
Registrant’s telephone number, including area code (772) 231-1400
N/A
(Former Name or
Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
o Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
o Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
o Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
o Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
ITEM 7.01. REGULATION FD DISCLOSURE
On November 30, 2004, Bimini Mortgage Management, Inc. (the “Company”) prepared updated portfolio information as of November 30, 2004. A copy of this information is attached hereto as Exhibit 99.1.
The Company believes that certain statements in the information attached may constitute “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. These statements are made on the basis of management’s views and assumptions regarding future events and business performance as of the time the statements are made. Actual results may differ materially from those expressed or implied. Information concerning factors that could cause actual results to differ materially from those in forward-looking statements is contained from time to time in the Company’s filings with the U.S. Securities and Exchange Commission.
This information furnished under this “Item 7.01 Regulation FD Disclosure,” including the exhibits related hereto, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, nor shall it be deemed incorporated by reference in any disclosure document of the Company, except as shall be expressly set forth by specific reference in such document.
ITEM 9.01. FINANCIAL STATEMENTS AND EXHIBITS
(c) Exhibits
The following exhibits are filed pursuant to Item 601 of Regulation S-K:
99.1 — Updated Portfolio Information of Bimini Mortgage Management, Inc.
2
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
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Date: November 30, 2004 |
BIMINI MORTGAGE MANAGEMENT, INC |
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By: |
/s/ Jeffrey J. Zimmer |
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Jeffrey J. Zimmer |
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Chairman, Chief Executive Officer and President |
3
EXHIBIT INDEX
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Exhibit No. |
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99.1 |
— |
Updated Portfolio Information of Bimini Mortgage Management, Inc. |
4
Exhibit 99.1
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UNAUDITED as of 11/302004 |
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Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions.
Prices Used Are Internally Generated and Compiled on 11/30/04
Valuation
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As a Percent of |
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Mortgage Assets, |
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As a Percent of |
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Cash and P&I |
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Asset Category |
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Market Value |
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Mortgage Assets |
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Receivable |
|
|
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Fixed Rate Mortgage Backed Securities |
|
$ |
675,795,013 |
|
26.93 |
% |
25.80 |
% |
|
CMO Floaters (Monthly Resetting) |
|
$ |
253,075,846 |
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10.08 |
% |
9.66 |
% |
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Adjustable Rate Mortgage Backed Securities |
|
$ |
1,110,080,316 |
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44.24 |
% |
42.39 |
% |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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$ |
399,760,795 |
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15.93 |
% |
15.26 |
% |
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Balloon Maturity Mortgage Backed Securities |
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$ |
70,764,291 |
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2.82 |
% |
2.70 |
% |
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Total: Mortgage Assets |
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$ |
2,509,476,261 |
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100.00 |
% |
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|
|
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Cash (As of 11/30/2004)* |
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$ |
106,946,731 |
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4.08 |
% |
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P&I Receivables (As of 11/30/2004) |
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$ |
2,478,608 |
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0.09 |
% |
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Total: All Assets |
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$ |
2,618,901,600 |
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|
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100.00 |
% |
*Note - as of 11/30/2004 the value of securities held in the box was $11.6 million.
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Characteristics Asset Category |
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Weighted Average |
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Weighted Average Lifetime |
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Weighted Average |
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Weighted Average Coupon |
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Longest |
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Weighted Average |
|
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Fixed Rate Mortgage Backed Securities |
|
6.72 |
% |
n/a |
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n/a |
|
n/a |
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20-Oct-34 |
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296 |
|
|
CMO Floaters (Monthly Resetting) |
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2.63 |
% |
7.93 |
% |
None |
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0.50 |
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25-May-34 |
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327 |
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Adjustable Rate Mortgage Backed Securities * |
|
3.59 |
% |
10.38 |
% |
1.48 |
% |
4.40 |
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1-Dec-42 |
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354 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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4.67 |
% |
10.43 |
% |
1.38 |
% |
30.01 |
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20-Oct-34 |
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372 |
|
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Balloon Maturity Mortgage Backed Securities |
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4.07 |
% |
n/a |
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n/a |
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n/a |
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1-Feb-11 |
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61 |
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Total: Mortgage Assets |
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4.52 |
% |
— |
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— |
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— |
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1-Dec-42 |
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331 |
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* Note - 35.5% ($337.4 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Caps
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As a Percentage |
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|
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of Mortgage |
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Agency |
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Market Value |
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Assets |
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Fannie Mae |
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$ |
1,514,527,491 |
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60.38 |
% |
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Freddie Mac |
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$ |
537,196,781 |
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21.42 |
% |
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Ginnie Mae |
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$ |
456,746,918 |
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18.21 |
% |
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Total Portfolio |
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$ |
2,508,471,189 |
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100.00 |
% |
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As a Percentage |
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Qualifying |
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of Mortgage |
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Assets |
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Market Value |
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Assets |
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Whole Pool |
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$ |
1,640,115,570 |
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65.36 |
% |
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Non Whole Pool |
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$ |
869,360,691 |
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34.64 |
% |
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Total Portfolio |
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$ |
2,509,476,261 |
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100.00 |
% |
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Portfolio Price and Duration |
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Weighted Average Purchase Price |
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$ |
103.33 |
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Weighted Average Current Price |
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$ |
103.03 |
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Modeled Effective Duration as of 11/30/04 |
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0.968 |
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Prepayment Speeds
On November 4, 2004 Prepayment Speeds were released for paydowns occurring in October 2004. The numbers below reflect that data.
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Weighted Average |
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Prepayment Speeds |
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(CPR's released on |
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Asset Category |
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11/04/04) |
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Fixed Rate Mortgage Backed Securities |
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22.92 |
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CMO Floaters |
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19.62 |
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Adjustable Rate Mortgage Backed Securities |
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20.11 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
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19.60 |
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Balloon Maturity Mortgage Backed Securities |
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14.73 |
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Total: Mortgage Assets |
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20.49 |
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*Information reflects all transactions as of 11/30/2004. There are no forward settling transactions.
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11/30/2004 UNAUDITED |
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Adjustable Rate Assets |
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Internally Generated |
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% of Asset Class |
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% of Total Mortgage |
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|||||
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One Month Libor |
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$ |
38,872,074 |
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3.50 |
% |
1.55 |
% |
||||
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Moving Treasury Average |
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$ |
91,778,092 |
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8.27 |
% |
3.66 |
% |
||||
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Cost Of Funds Index |
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$ |
71,129,579 |
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6.41 |
% |
2.83 |
% |
||||
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Six Month LIBOR |
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$ |
287,583,401 |
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25.91 |
% |
11.46 |
% |
||||
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Six Month CD Rate |
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$ |
4,373,893 |
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0.39 |
% |
0.17 |
% |
||||
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One Year LIBOR |
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$ |
93,972,680 |
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8.47 |
% |
3.74 |
% |
||||
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Conventional One Year CMT |
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$ |
262,653,800 |
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23.66 |
% |
10.47 |
% |
||||
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FHA and VA One Year CMT |
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$ |
255,779,002 |
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23.04 |
% |
10.19 |
% |
||||
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National Mortgage Contract Rate |
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$ |
3,937,795 |
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0.35 |
% |
0.16 |
% |
||||
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Total ARM |
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$ |
1,110,080,316 |
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100.00 |
% |
44.24 |
% |
||||
CMO Floaters (Monthly Resetting)
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Short Stable |
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$ |
40,368,843 |
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15.95 |
% |
1.61 |
% |
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Pass-Through |
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$ |
41,683,739 |
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16.47 |
% |
1.66 |
% |
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Locked Out |
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$ |
171,023,264 |
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67.58 |
% |
6.82 |
% |
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Total CMO |
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$ |
253,075,846 |
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100.00 |
% |
10.08 |
% |
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Hybrid ARMs |
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Generic Fannie or Freddie Hybrid ARMs |
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13 - 24 Months to First Reset |
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$ |
91,110,805 |
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22.79 |
% |
3.63 |
% |
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25 - 36 Months to First Reset |
|
$ |
35,737,578 |
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8.94 |
% |
1.42 |
% |
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37 - 60 Months to First Reset |
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$ |
0 |
|
0.00 |
% |
0.00 |
% |
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Total |
|
$ |
126,848,383 |
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31.73 |
% |
5.05 |
% |
|
|
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|
|
|
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|
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Agency Alt-A Hybrid ARMs |
|
|
|
|
|
|
|
|
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13 - 24 Months to First Reset |
|
$ |
33,201,092 |
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8.31 |
% |
1.32 |
% |
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25 - 36 Months to First Reset |
|
$ |
48,081,872 |
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12.03 |
% |
1.92 |
% |
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37 - 60 Months to First Reset |
|
$ |
21,249,652 |
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5.32 |
% |
0.85 |
% |
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Total |
|
$ |
102,532,615 |
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25.65 |
% |
4.09 |
% |
|
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GNMA Hybrid ARMs |
|
|
|
|
|
|
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13 - 24 Months to First Reset |
|
$ |
0 |
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0.00 |
% |
0.00 |
% |
|
25 - 39 Months to First Reset |
|
$ |
170,379,797 |
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42.62 |
% |
6.79 |
% |
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Total |
|
$ |
170,379,797 |
|
42.62 |
% |
6.79 |
% |
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Total Hybrid |
|
$ |
399,760,795 |
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100.00 |
% |
15.93 |
% |
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Balloons |
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|
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< 4.5 Years to Balloon Date |
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$ |
13,816,944 |
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19.53 |
% |
0.55 |
% |
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4.6 - 5.5 Years to Balloon Date |
|
$ |
39,033,546 |
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55.16 |
% |
1.56 |
% |
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5.6 - 6.5 Years to Balloon Date |
|
$ |
17,913,801 |
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25.31 |
% |
0.71 |
% |
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Total Balloon |
|
$ |
70,764,291 |
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100.00 |
% |
2.82 |
% |
|
Fixed Rate Assets |
|
|
|
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|
|
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||
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|
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15year $85,000 Maximum Loan Size |
|
$ |
95,579,909 |
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50.82 |
% |
3.81 |
% |
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15year $110,000 Maximum Loan Size |
|
$ |
6,163,673 |
|
3.28 |
% |
0.25 |
% |
|
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15yr 100% Investor Property |
|
$ |
1,243,440 |
|
0.66 |
% |
0.05 |
% |
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|
15yr 100% FNMA Expanded Approval Level 3 |
|
$ |
2,312,581 |
|
1.23 |
% |
0.09 |
% |
|
|
15yr 100% Alt-A |
|
$ |
52,883,686 |
|
28.12 |
% |
2.11 |
% |
|
|
15yr Other |
|
$ |
27,705,335 |
|
14.73 |
% |
1.10 |
% |
|
|
10yr Other |
|
$ |
2,169,969 |
|
1.15 |
% |
0.09 |
% |
|
|
Total 10 and 15 Year Collateral |
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$ |
188,058,593 |
|
100.00 |
% |
7.49 |
% |
|
|
|
|
|
|
|
|
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||
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30year $85,000 Maximum Loan Size |
|
$ |
180,761,966 |
|
37.06 |
% |
7.20 |
% |
|
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30year $110,000 Maximum Loan Size |
|
$ |
44,468,975 |
|
9.12 |
% |
1.77 |
% |
|
|
30yr 100% Investor Property |
|
$ |
11,864,349 |
|
2.43 |
% |
0.47 |
% |
|
|
30yr 100% FNMA Expanded Approval Level 3 |
|
$ |
94,409,333 |
|
19.36 |
% |
3.76 |
% |
|
|
30yr 100% Alt-A |
|
$ |
100,918,979 |
|
20.69 |
% |
4.02 |
% |
|
|
20yr 100% Alt-A |
|
$ |
1,766,658 |
|
0.36 |
% |
0.07 |
% |
|
|
30yr Geography Specific (NY, FL, VT, TX) |
|
$ |
4,464,433 |
|
0.92 |
% |
0.18 |
% |
|
|
30yr 100% GNMA Builder Buydown Program |
|
$ |
4,839,441 |
|
0.99 |
% |
0.19 |
% |
|
|
30yr Other |
|
$ |
42,543,666 |
|
8.72 |
% |
1.70 |
% |
|
|
20yr Other |
|
$ |
1,698,618 |
|
0.35 |
% |
0.07 |
% |
|
|
Total 30 Year Collateral |
|
$ |
487,736,420 |
|
100.00 |
% |
19.44 |
% |
|
|
|
|
|
|
|
|
|
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||
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Total Fixed Rate Collateral |
|
$ |
675,795,013 |
|
|
|
26.93 |
% |
|
|
|
|
|
|
|
|
|
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||
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Grand Total (All Mortgage Assets) |
|
$ |
2,509,476,261 |
|
|
|
100.00 |
% |
|
Funding Information - Unaudited
|
Repurchase Agreement Counterparties |
|
Dollar |
|
Weighted |
|
Longest |
|
|
|
Nomura Securities International, Inc. |
|
$ |
437,070,000 |
|
107 |
|
10/20/2005 |
|
|
Deutsche Bank Securities, Inc. |
|
329,794,000 |
|
136 |
|
10/25/2005 |
|
|
|
Bank of America Securities, LLC |
|
309,270,000 |
|
97 |
|
7/11/2005 |
|
|
|
UBS Investment Bank, LLC |
|
300,476,000 |
|
84 |
|
7/12/2005 |
|
|
|
Lehman Brothers |
|
218,509,786 |
|
32 |
|
4/12/2005 |
|
|
|
Bear Stearns & Co. Inc. |
|
191,950,000 |
|
68 |
|
4/27/2005 |
|
|
|
Countrywide Securities Corp |
|
158,744,000 |
|
29 |
|
6/1/2005 |
|
|
|
Daiwa Securities America Inc |
|
117,277,000 |
|
36 |
|
2/18/2005 |
|
|
|
Goldman Sachs |
|
101,642,666 |
|
38 |
|
4/27/2005 |
|
|
|
Morgan Stanley |
|
90,565,000 |
|
108 |
|
4/12/2005 |
|
|
|
Merrill Lynch |
|
83,561,000 |
|
203 |
|
7/22/2005 |
|
|
|
JP Morgan Securities |
|
60,178,000 |
|
68 |
|
6/15/2005 |
|
|
|
Total |
|
$ |
2,399,037,452 |
|
88 |
|
10/25/2005 |
|
|
|
|
|
|
|
|
|
|
|
|
Asset Class |
|
Dollar |
|
Weighted |
|
Longest |
|
|
Fixed Rate |
|
706,289,579.59 |
|
71 |
|
10/25/2005 |
|
|
Adjst Rate MBS |
|
1,143,368,037.60 |
|
93 |
|
10/25/2005 |
|
|
Hybrids Adj Rate |
|
269,907,000.00 |
|
180 |
|
10/25/2005 |
|
|
CMO Floating Rate |
|
231,833,000.00 |
|
19 |
|
12/23/2004 |
|
|
Balloon Maturity |
|
47,640,000.00 |
|
57 |
|
2/18/2005 |
|
|
Total |
|
2,399,037,617.19 |
|
88 |
|
10/25/2005 |
|