UNITED
STATES


SECURITIES
AND EXCHANGE COMMISSION


Washington,
D.C. 20549





FORM
10-Q





þ           QUARTERLY REPORT PURSUANT TO SECTION
13 OR 15(d) OF


THE
SECURITIES EXCHANGE ACT OF 1934





For
the quarterly period ended March 31, 2010





 ̈           TRANSITION REPORT PURSUANT TO SECTION
13 OR 15(d) OF


THE
SECURITIES EXCHANGE ACT OF 1934





For
the transition period from __________ to ___________





Commission
File Number: 001-32171





Bimini
Capital Management, Inc.


(Exact
name of registrant as specified in its charter)





Maryland
            
            72-1571637(State
      or other jurisdiction of
              incorporation
      or organization)
            
            (I.R.S.
      Employer
              Identification
      No.)





3305
Flamingo Drive, Vero Beach, Florida 32963


(Address
of principal executive offices) (Zip Code)





(772)
231-1400


(Registrant’s
telephone number, including area code)





Indicate
by check mark whether the registrant (1) has filed all reports required to be
filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the
preceding 12 months (or for such shorter period that the registrant was required
to file such reports), and (2) has been subject to such filing requirements for
the past 90 days. YES þ     NO
 ̈





Indicate
by check mark whether the registrant has submitted electronically and posted to
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T (Section 232.405 of
this chapter) during the preceding 12 months (or for such shorter period that
the registrant was required to submit and post such files). YES  ̈     NO
 ̈





Indicate
by check mark whether the registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer, or a smaller reporting
company.  See definitions of “large accelerated filer,” “accelerated
filer,” and “smaller reporting company” in Rule 12b-2 of the Exchange
Act.





Large
accelerated filer  ̈                                                Accelerated
filer  ̈                                           Non-accelerated
filer  ̈                                           
Smaller Reporting Company ý





Indicate
by check mark whether the registrant is a shell company (as defined in Rule
12b-2 of the Exchange Act). YES  ̈     NO
þ





As of May
7, 2010, the number of shares outstanding of the registrant’s Class A Common
Stock, $0.001 par value, was 10,035,654; the number of shares outstanding of the
registrant’s Class B Common Stock, $0.001 par value, was 31,938; and the number
of shares outstanding of the registrant’s Class C Common Stock, $0.001 par
value, was 31,938.

















BIMINI
CAPITAL MANAGEMENT, INC.





INDEX











PART
      I. FINANCIAL INFORMATIONITEM
      1.     FINANCIAL STATEMENTS.
            3Consolidated
      Balance Sheets as of March 31, 2010 (unaudited) and December 31,
      2009
            3Consolidated
      Statements of Operations (unaudited) for the three months ended March 31,
      2010 and 2009
            4Consolidated
      Statement of Stockholders’ Equity (Deficit) (unaudited) for the three
      months ended March 31, 2010
            5Consolidated
      Statements of Cash Flows (unaudited) for the three months ended March 31,
      2010 and 2009
            6Notes
      to Consolidated Financial Statements (unaudited)
            7ITEM
      2.     MANAGEMENT’S DISCUSSION AND ANALYSIS OF
      FINANCIAL CONDITION
              AND
      RESULTS OF OPERATIONS.
            25ITEM
      3.     QUANTITATIVE AND QUALITATIVE DISCLOSURES
      ABOUT MARKET RISK.
            36ITEM
      4T.   CONTROLS AND PROCEDURES.
            36PART
      II. OTHER INFORMATIONITEM
      1.     LEGAL PROCEEDINGS.
            37ITEM
      1A.  RISK FACTORS.
            38ITEM
      2.  UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF
      PROCEEDS
            38ITEM
      6.     EXHIBITS.
            39














PART
I. FINANCIAL INFORMATION


ITEM
1. FINANCIAL STATEMENTS.


BIMINI
      CAPITAL MANAGEMENT, INC.CONSOLIDATED
      BALANCE SHEETS(Unaudited)March
      31, 2010
            
            
            December
      31, 2009ASSETS:Mortgage-backed
      securities – held for tradingPledged
      to counterparty, at fair value
            
            $
            79,762,923
            
            
            $
            104,875,798Unpledged,
      at fair value
            
            
            22,396,713
            
            
            
            14,792,697Total
      mortgage-backed securities
            
            
            102,159,636
            
            
            
            119,668,495Cash
      and cash equivalents
            
            
            5,158,810
            
            
            
            6,400,065Restricted
      cash
            
            
            950,000
            
            
            
            2,530,000Principal
      payments receivable
            
            
            35,736
            
            
            
            93,029Accrued
      interest receivable
            
            
            1,037,619
            
            
            
            1,075,052Property
      and equipment, net
            
            
            3,957,228
            
            
            
            3,976,546Prepaids
      and other assets
            
            
            1,202,641
            
            
            
            1,266,278Assets
      held for sale
            
            
            12,775,070
            
            
            
            14,331,850Total
      Assets
            
            $
            127,276,740
            
            
            $
            149,341,315LIABILITIES
      AND STOCKHOLDERS’ EQUITY (DEFICIT)LIABILITIES:Repurchase
      agreements
            
            $
            76,719,432
            
            
            $
            100,271,206Junior
      subordinated notes due to Bimini Capital Trust II
            
            
            26,804,440
            
            
            
            26,804,440Unsettled
      security transactions
            
            
            4,357,594
            
            
            
            -Accrued
      interest payable
            
            
            105,090
            
            
            
            131,595Dividends
      payable  in cash
            
            
            -
            
            
            
            1,877,944Dividends
      payable in Class A common stock
            
            
            -
            
            
            
            16,862,469Accounts
      payable, accrued expenses and other
            
            
            1,064,808
            
            
            
            926,678Liabilities
      related to assets held for sale
            
            
            7,687,183
            
            
            
            7,621,984Total
      Liabilities
            
            
            116,738,547
            
            
            
            154,496,316COMMITMENTS
      AND CONTINGENCIESSTOCKHOLDERS'
      EQUITY (DEFICIT):Preferred
      stock, $0.001 par value; 10,000,000 shares authorized; designated,
      1,800,000 shares as Class A Redeemable and 2,000,000 shares as Class B
      Redeemable; no shares issued and outstanding  as of March 31,
      2010 and December 31, 2009
            
            
            -
            
            
            
            -Class
      A Common Stock, $0.001 par value; 98,000,000 shares designated:
      10,035,654  shares issued and outstanding as of March 31, 2010
      and 2,763,779  shares issued and outstanding as of December 31,
      2009
            
            
            10,036
            
            
            
            2,764Class
      B Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938
      shares issued and outstanding as of March 31, 2010 and 31,939 shares
      issued and outstanding as of December 31, 2009
            
            
            32
            
            
            
            32Class
      C Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938
      shares issued and outstanding as of March 31, 2010 and 31,939 shares
      issued and outstanding as of December 31, 2009
            
            
            32
            
            
            
            32Additional
      paid-in capital
            
            
            335,886,391
            
            
            
            319,191,227Accumulated
      deficit
            
            
            (325,358,298
            )
            
            
            (324,349,056
            )Total
      Stockholders’ Equity (Deficit)
            
            
            10,538,193
            
            
            
            (5,155,001
            )Total
      Liabilities and Stockholders’ Equity (Deficit)
            
            $
            127,276,740
            
            
            $
            149,341,315See
      Notes to Consolidated Financial Statements








BIMINI
      CAPITAL MANAGEMENT, INC.CONSOLIDATED
      STATEMENTS OF OPERATIONS(Unaudited)Three
      Months Ended March 31,2010
            
            
            2009Interest
      income
            
            $
            1,898,094
            
            
            $
            3,674,403Interest
      expense
            
            
            (68,487
            )
            
            
            (253,952
            )Net
      interest income before interest on junior subordinated
    notes
            
            
            1,829,607
            
            
            
            3,420,451Interest
      expense on junior subordinated notes
            
            
            (549,981
            )
            
            
            (2,090,432
            )Net
      interest income
            
            
            1,279,626
            
            
            
            1,330,019(Losses)
      gains on trading securities
            
            
            (1,902,802
            )
            
            
            1,693,609Net
      portfolio (loss) income
            
            
            (623,176
            )
            
            
            3,023,628Direct
      REIT operating expenses
            
            
            147,187
            
            
            
            153,304General
      and administrative expenses:Compensation
      and related benefits
            
            
            418,170
            
            
            
            320,247Directors'
      fees and liability insurance
            
            
            128,260
            
            
            
            111,592Audit,
      legal and other professional fees
            
            
            559,468
            
            
            
            394,262Other
      administrative
            
            
            142,954
            
            
            
            122,385Total
      general and administrative expenses
            
            
            1,248,852
            
            
            
            948,486Total
      expenses
            
            
            1,396,039
            
            
            
            1,101,790(Loss)
      income from continuing operations
            
            
            (2,019,215
            )
            
            
            1,921,838Discontinued
      operations, net of income taxes
            
            
            1,009,973
            
            
            
            235,547Net
      (loss) income
            
            $
            (1,009,242
            )
            
            $
            2,157,385





Basic
      and Diluted Net (Loss) Income Per Share of Class A Common
      Stock:Continuing
      operations
            
            $
            (0.24
            )
            
            $
            0.72Discontinued
      operations
            
            
            0.12
            
            
            
            0.09Total
      basic net (loss) income per Class A share
            
            $
            (0.12
            )
            
            $
            0.81Basic
      and Diluted Net (Loss) Income Per Share of Class B Common
      StockContinuing
      operations
            
            $
            (0.24
            )
            
            $
            0.72Discontinued
      operations
            
            
            0.12
            
            
            
            0.09Total
      basic and diluted net (loss) income per Class B share
            
            $
            (0.12
            )
            
            $
            0.81Average
      Shares OutstandingCLASS
      A COMMON STOCK - Basic
            
            
            8,481,870
            
            
            
            2,633,163CLASS
      A COMMON STOCK - Diluted
            
            
            8,481,870
            
            
            
            2,640,865CLASS
      B COMMON STOCK – Basic and diluted
            
            
            31,938
            
            
            
            31,939See
      Notes to Consolidated Financial Statements




















BIMINI
      CAPITAL MANAGEMENT, INC.CONSOLIDATED
      STATEMENT OF STOCKHOLDERS’ EQUITY (DEFICIT)(Unaudited)Three
      Months Ended March 31, 2010Common
      Stock,
              Amounts
      at par value
            
            Additional
              Paid-in
              Capital
            
            Accumulated
              DeficitClass
      A
            
            Class
      B
            
            Class
      C
            
            TotalBalances,
      January 1, 2010
            
            $
            2,764
            
            
            $
            32
            
            
            $
            32
            
            
            $
            319,191,227
            
            
            $
            (324,349,056
            )
            
            $
            (5,155,001
            )Net
      loss
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            (1,009,242
            )
            
            
            (1,009,242
            )Dividends
      paid in shares of Class A Common Stock
            
            
            7,241
            
            
            
            -
            
            
            
            -
            
            
            
            16,647,596
            
            
            
            -
            
            
            
            16,654,837Issuance
      of Class A common shares for board compensation and equity plan share
      exercises, net
            
            
            31
            
            
            
            -
            
            
            
            -
            
            
            
            39,488
            
            
            
            -
            
            
            
            39,519Amortization
      of equity plan compensation
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            8,080
            
            
            
            -
            
            
            
            8,080Balances,
      March 31, 2010
            
            $
            10,036
            
            
            $
            32
            
            
            $
            32
            
            
            $
            335,886,391
            
            
            $
            (325,358,298
            )
            
            $
            10,538,193See
      Notes to Consolidated Financial Statements














BIMINI
      CAPITAL MANAGEMENT, INC.CONSOLIDATED
      STATEMENTS OF CASH FLOWS(Unaudited)Three
      Months Ended March 31,2010
            
            
            2009CASH
      FLOWS FROM OPERATING ACTIVITIES:Net
      (loss) income
            
            $
            (1,009,242
            )
            
            $
            2,157,385Adjustments
      to reconcile net (loss) income to net cash (used in) provided by operating
      activities:Net
      income from discontinued operations
            
            
            (1,009,973
            )
            
            
            (235,547
            )Stock
      compensation, and equity plan amortization
            
            
            47,599
            
            
            
            40,663Depreciation
      and amortization
            
            
            61,552
            
            
            
            182,088Losses
      (gains) on trading securities
            
            
            1,902,802
            
            
            
            (1,693,609
            )Changes
      in operating assets and liabilities:Accrued
      interest receivable
            
            
            37,433
            
            
            
            203,935Prepaids
      and other assets
            
            
            24,392
            
            
            
            (813
            )Accrued
      interest payable
            
            
            (26,522
            )
            
            
            (185,043
            )Accounts
      payable, accrued expenses and other
            
            
            (69,503
            )
            
            
            (201,959
            )NET
      CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES
            
            
            (41,462
            )
            
            
            267,100CASH
      FLOWS FROM INVESTING ACTIVITIES:From
      mortgage-backed securities investments:Purchases
            
            
            (44,610,199
            )
            
            
            (30,106,576
            )Sales
            
            
            57,784,680
            
            
            
            105,476,558Principal
      repayments
            
            
            6,846,463
            
            
            
            7,175,739Decrease
      in restricted cash
            
            
            1,580,000
            
            
            
            -Purchases
      of property and equipment, and other
            
            
            (2,989
            )
            
            
            (9,205
            )NET
      CASH PROVIDED BY INVESTING ACTIVITIES
            
            
            21,597,955
            
            
            
            82,536,516CASH
      FLOWS FROM FINANCING ACTIVITIES:Proceeds
      from repurchase agreements
            
            
            120,839,955
            
            
            
            926,057,181Principal
      payments on repurchase agreements
            
            
            (144,391,729
            )
            
            
            (1,000,016,476
            )Dividends
      paid in cash
            
            
            (1,877,927
            )
            
            
            -NET
      CASH USED IN FINANCING ACTIVITIES
            
            
            (25,429,701
            )
            
            
            (73,959,295
            )CASH
      FLOWS FROM DISCONTINUED OPERATIONS:Net
      cash provided by operating activities
            
            
            2,631,953
            
            
            
            5,600,146NET
      CASH PROVIDED BY DISCONTINUED OPERATIONS
            
            
            2,631,953
            
            
            
            5,600,146NET
      (DECREASE) INCREASE IN CASH AND CASH EQUIVALENTS
            
            
            (1,241,255
            )
            
            
            14,444,467CASH
      AND CASH EQUIVALENTS, beginning of the period
            
            
            6,400,065
            
            
            
            7,668,581CASH
      AND CASH EQUIVALENTS, end of the period
            
            $
            5,158,810
            
            
            $
            22,113,048





SUPPLEMENTAL
      DISCLOSURES OF CASH FLOW INFORMATION:Cash
      paid during the period for:Interest
            
            $
            605,747
            
            
            $
            2,529,427Income
      taxes
            
            $
            130,000
            
            
            $
            -SUPPLEMENTAL
      SCHEDULE OF NONCASH INVESTING AND FINANCING ACTIVITIES:Securities
      acquisitions settled in later period
            
            $
            4,357,594
            
            
            $
            -Dividends
      paid in shares of Class A Common Stock
            
            $
            16,861,973
            
            
            $
            -See
      Notes to Consolidated Financial Statements








BIMINI
CAPITAL MANAGEMENT, INC.


NOTES
TO CONSOLIDATED FINANCIAL STATEMENTS


(UNAUDITED)


March
31, 2010





NOTE
1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING
POLICIES





Bimini
Capital Management, Inc., a Maryland corporation (“Bimini Capital”), was
originally formed in September 2003 for the purpose of creating and managing a
leveraged investment portfolio consisting of residential mortgage-backed
securities (“MBS”).





Bimini
Capital has elected to be taxed as a real estate investment trust (“REIT”) under
the Internal Revenue Code of 1986, as amended (the “Code”).  As a
REIT, Bimini Capital is generally not subject to federal income tax on its REIT
taxable income provided that it distributes to its stockholders at least 90% of
its REIT taxable income on an annual basis.  In addition, a REIT must
meet other provisions of the Code to retain its special tax
status.  Bimini Capital operates in a single business
segment.





Bimini
Capital’s website is located at http://www.biminicapital.com.





Liquidity





The
financing market utilized by the Company to fund its MBS portfolio, as well as
the market for MBS securities, have stabilized after undergoing unprecedented
turmoil in 2008 and early 2009.  However, conditions in the market,
while stable, are far from the condition that existed prior to the crisis. The
Company has taken significant steps to reduce the leverage in its balance sheet
and reduce its debt service costs, and it was able to generate earnings over the
course of 2009.  The Company has also expanded its access to
repurchase agreement funding.  However, market conditions are still
constrained, especially in light of the significant actions of the Federal
Government with respect to their explicit support of the Government Sponsored
Entities (“GSE’s”) and the actions of the Federal Reserve with their direct
involvement in the agency MBS securities market – the primary market in which
the Company invests. Accordingly, the Company has expanded on the steps taken in
2008 to augment its existing leveraged MBS portfolio with its alternative
investment strategy.  The Company’s alternative investment strategy
that utilizes derivative MBS has been elevated to a core element of its
investment strategy and liquidity management. However, the Company’s ability to
utilize this element of our investment strategy is limited because such
investments do not satisfy the asset criteria to meet REIT
qualifications.  Further, if cash resources are, at any time,
insufficient to satisfy the Company’s liquidity requirements, such as when cash
flow from operations are materially negative, the Company may be required to
pledge additional assets to meet margin calls, liquidate assets, sell additional
debt or equity securities or pursue other financing alternatives.





Basis
of Presentation and Use of Estimates





The
accompanying consolidated financial statements are prepared on the accrual basis
of accounting in accordance with accounting principles generally accepted in the
United States (“GAAP”). The preparation of financial statements in conformity
with GAAP requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates.  Significant estimates affecting the
accompanying financial statements include the fair values of MBS, the prepayment
speeds used to calculate amortization and accretion of premiums and discounts on
MBS, and certain discontinued operations related items including asset valuation
allowances and fair values of retained interests.





Discontinued
Operations





On
November 3, 2005, Bimini Capital acquired Opteum Financial Services,
LLC.  Upon closing of the transaction, Opteum became a wholly-owned
taxable REIT subsidiary of Bimini Capital. This entity, which was previously
referred to as “OFS,” was renamed Orchid Island TRS, LLC (“OITRS”) effective
July 3, 2007.   Hereinafter, any historical mention, discussion or
references to Opteum Financial Services, LLC or to OFS now means
OITRS.











During
the second quarter of 2007, the Company closed OITRS’ wholesale and conduit
mortgage loan origination channels and, during the second and third quarters of
2007, sold substantially all of the operating assets of
OITRS.  Therefore, all of OITRS’s assets were considered as held for
sale, and OITRS was then reported as a discontinued operation for all periods
presented following applicable accounting standards.  At March 31,
2010, the remaining assets and liabilities are considered to be contingent and
continue to be recorded by OITRS pursuant to the terms of the disposal of the
operations, with the exception of retained interests, the disposal of which has
been delayed as a result of the turmoil in the financial markets and a
significant lack of investor interest in such securities. However, while the
market for such retained interests is temporarily inactive as a result of
continued deterioration in the underlying collateral, the Company has made every
effort to market such securities to known market participants who have been
active in the past.  Accordingly, all current and prior financial
information related to OITRS and the mortgage banking business is presented as
discontinued operations in the accompanying consolidated financial statements.
Refer to Note 11 - Discontinued Operations.





Terminology





As used
in this document, discussions related to “Bimini Capital,” the parent company,
the registrant, and to REIT qualifying activities or the general management of
Bimini Capital’s portfolio of MBS refer to “Bimini Capital Management,
Inc.”  Further, discussions related to Bimini Capital’s taxable REIT
subsidiary or non-REIT eligible assets refer to OITRS and its consolidated
subsidiaries. Discussions relating to “the Company” refer to the consolidated
entity (the combination of Bimini Capital and OITRS).





Consolidation





The
accompanying consolidated financial statements include the accounts of Bimini
Capital and its wholly-owned subsidiary, OITRS, as well as the wholly-owned
subsidiaries of OITRS.  OITRS is reported as a discontinued operation
for all periods presented.  All inter-company accounts and
transactions have been eliminated from the consolidated financial
statements.





As
further described in Note 5, Bimini Capital historically had a common share
investment in a trust used in connection with the issuance of Bimini Capital’s
junior subordinated notes.  Pursuant to the applicable accounting
guidance for variable interest entities, Bimini Capital’s common share
investment in the trust has not been consolidated in the financial statements of
Bimini Capital, and accordingly, this investment has been accounted for on the
equity method.




Statement
of Comprehensive Income (Loss)




In
accordance with FASB ASC 220, Comprehensive Income, a
statement of comprehensive income has not been included as the Company has no
items of other comprehensive income.  Comprehensive income (loss) is the
same as net income (loss) for all periods presented.




Cash
and Cash Equivalents





Cash and
cash equivalents include cash on deposit with financial institutions and highly
liquid investments with original maturities of three months or less. Restricted
cash represents cash held on deposit as collateral with the repurchase agreement
counterparty. Such amount may be used to make principal and interest payments on
the related repurchase agreements.





The
Company and its subsidiaries maintain cash balances at two
banks.  Accounts at each institution are insured by the Federal
Deposit Insurance Corporation up to $250,000.  At March 31, 2010,
uninsured deposits were approximately $4.7 million.





Mortgage-Backed
Securities





The
Company invests primarily in mortgage pass-through certificates, collateralized
mortgage obligations, and interest only securities or inverse interest only
securities representing interest in or obligations backed by pools of mortgage
loans (collectively, MBS).  MBS transactions are recorded on the trade
date.











In
accordance with FASB ASC 320, Investments - Debt and Equity Securities,
the Company classifies its investments in MBS into one of three categories:
trading, available-for-sale or held-to-maturity. All MBS securities held by
Bimini Capital are reflected in the Company's financial statements at their
estimated fair value.





The fair
value of the Company’s investments in MBS is governed by FASB ASC 820, Fair Value Measurements and
Disclosures.  The definition of fair value in FASB ASC 820 focuses
on the price that would be received to sell the asset or paid to transfer the
liability in an orderly transaction between market participants at the
measurement date.  The fair value measurement assumes that the
transaction to sell the asset or transfer the liability either occurs in the
principal market for the asset or liability, or in the absence of a principal
market, occurs in the most advantageous market for the asset or liability.
Estimated fair values for MBS are based on the average of third-party broker
quotes received and/or independent pricing sources when available.





Income on
MBS pass-through securities is based on the stated interest rate of the
security. Premiums or discounts present at the date of purchase are not
amortized.  For interest only securities, the income is accrued based
on the carrying value and the effective yield.  Cash received is first
applied to accrued interest and then to reduce the carrying value.  At
each reporting date, the effective yield is adjusted prospectively from the
reporting period based on the new estimate of prepayments and the contractual
terms of the security.  For inverse interest only securities,
effective yield and income recognition calculations also take into account the
index value applicable to the security.  Changes in fair value of MBS
during the period are recorded in earnings and reported as (losses) gains on
trading securities in the accompanying consolidated statements of
operations.





Financial
Instruments





FASB ASC
825, Financial
Instruments, requires disclosure of the fair value of financial
instruments for which it is practicable to estimate that value, either in the
body of the financial statements or in the accompanying notes. MBS are accounted
for at fair value in the consolidated balance sheets. The methods and
assumptions used to estimate fair value for these instruments are presented in
Note 10 of the financial statements.





The
estimated fair value of cash and cash equivalents, restricted cash, principal
payments receivable, accrued interest receivable, repurchase agreements, accrued
interest payable and accounts payable and other liabilities generally
approximates their carrying value as of March 31, 2010 and December 31, 2009,
due to the short-term nature of these financial instruments.





It is
impracticable to estimate the fair value of the Company’s junior subordinated
notes.  Currently, there is a limited market for these types of
instruments and it is unclear what interest rates would be available to the
Company for similar financial instruments. Information regarding carrying
amounts, effective interest rates and maturity dates for these instruments is
presented in the Note 5 to the financial statements.





Property
and Equipment, net





Property
and equipment, net, consists of computer equipment with a depreciable life of 3
years, office furniture and equipment with depreciable lives of 8 to 20 years,
land which has no depreciable life, and buildings and improvements with
depreciable lives of 30 years.  Property and equipment is recorded at
acquisition cost and depreciated using the straight-line method over the
estimated useful lives of the assets.





Bimini
Capital’s property and equipment as of March 31, 2010 and December 31, 2009, is
presented net of accumulated depreciation ofapproximately $627,000
and $604,000, respectively. Depreciation expense was approximately $22,000 and
$25,000 for the three months ended March 31, 2010 and 2009,
respectively.











Repurchase
Agreements





The
Company finances the acquisition of the majority of its MBS through the use of
repurchase agreements. Repurchase agreements are treated as collateralized
financing transactions and are carried at their contractual amounts, including
accrued interest, as specified in the respective agreements. Although structured
as a sale and repurchase obligation, a repurchase agreement operates as a
financing under which securities are pledged as collateral to secure a
short-term loan equal in value to a specified percentage (generally between 93
and 95 percent) of the market value of the pledged collateral. While used as
collateral, the borrower retains beneficial ownership of the pledged collateral,
including the right to distributions. At the maturity of a repurchase agreement,
the borrower is required to repay the loan and concurrently receive the pledged
collateral from the lender or, with the consent of the lender, renew such
agreement at the then prevailing financing rate. Margin calls, whereby a lender
requires that the Company pledge additional securities or cash as collateral to
secure borrowings under its repurchase agreements with such a lender, are
routinely experienced by the Company when the value of the MBS pledged as
collateral declines or as a result of principal amortization or due to changes
in market interest rates, spreads or other market conditions.





The
Company’s repurchase agreements typically have terms ranging from one month to
six months at inception, with some having longer terms.  Should a
counterparty decide not to renew a repurchase agreement at maturity, the Company
must either refinance elsewhere or be in a position to satisfy the
obligation.  If, during the term of a repurchase agreement, a lender
should file for bankruptcy, the Company might experience difficulty recovering
its pledged assets which could result in an unsecured claim against the lender
for the difference between the amount loaned to the Company plus interest due to
the counterparty and the fair value of the collateral pledged to such
lender.  At March 31, 2010, the Company had outstanding balances under
repurchase agreements with one lender with a maximum amount at risk (the
difference between the amount loaned to the Company, including interest payable,
and the fair value of securities pledged by the Company as collateral, including
accrued interest on such securities, of $2.8 million; see Note 4.





Share-Based
Compensation





The
Company follows the provisions of FASB ASC 718, Compensation – Stock
Compensation, to account for stock and stock-based awards. For stock and
stock-based awards issued to employees, a compensation charge is recorded
against earnings over the vesting period based on the fair value of the award.
Payments pursuant to dividend equivalent rights, which are granted along with
certain equity based awards, are charged to stockholders’ equity when
declared.  The Company applies a zero forfeiture rate for its equity
based awards, as such awards have been granted to a limited number of employees
and historical forfeitures have been minimal. Forfeitures, or an indication that
forfeitures may occur, would result in a revised forfeiture rate and are
accounted for prospectively as a change in an estimate. For transactions with
non-employees in which services are performed in exchange for the Company's
common stock or other equity instruments, the transactions are recorded on the
basis of the fair value of the service received or the fair value of the equity
instruments issued, whichever is more readily measurable at the date of
issuance.





Reverse
Stock Split





On March
12, 2010, the Company executed a one-for-ten reverse stock split of its Class A,
Class B and Class C common stock.  Prior to effecting the reverse
split, at December 31, 2009 the Company had 27,637,789 shares of Class A common
stock outstanding and 319,388 shares each of its Class B and Class C common
stock outstanding.  Further, in connection with the dividend paid on
January 19, 2010, the Company issued an additional 72,414,462 shares of Class A
common stock which brought the total shares outstanding of Class A common stock
to 100,052,251 at January 19, 2010. Upon consummation of the reverse split, as
of March 12, 2010 issued and outstanding shares of Class A, Class B and Class C
common stock were 10,052,225, 31,938 and 31,938, respectively. All references in
the accompanying financial statements to the number of common shares and
per-share amounts for all periods have been restated to reflect the reverse
stock split.





Earnings
Per Share





The
Company follows the provisions of FASB ASC 260, Earnings Per Share, which
requires companies with complex capital structures, common stock equivalents or
two (or more) classes of securities that participate in the declared dividends
to present both basic and diluted earnings per share (“EPS”) on the face of the
consolidated statement of operations. Basic EPS is calculated as income
available to common stockholders divided by the weighted average number of
common shares outstanding during the period. Diluted EPS is calculated using the
“if converted” method for common stock equivalents. However, the common stock
equivalents are not included in computing diluted EPS if the result is
anti-dilutive.







Outstanding
shares of Class B Common Stock, participating and convertible into Class A
Common Stock, are entitled to receive dividends in an amount equal to the
dividends declared on each share of Class A Common Stock if, as and when
authorized and declared by the Board of Directors. Accordingly, shares of the
Class B Common Stock are included in the computation of basic EPS using the
two-class method and, consequently, are presented separately from Class A Common
Stock.





The
shares of Class C Common Stock are not included in the basic EPS
computation as these shares do not have participation rights. The outstanding
shares of Class B and Class C Common Stock are not included in the
computation of diluted EPS for the Class A Common Stock as the conditions for
conversion into shares of Class A Common Stock were not met.





All basic
and diluted weighted average share and per-share amounts in these financial
statements have been adjusted for all periods presented to reflect the March 12,
2010 reverse stock split.





Income
Taxes





Bimini
Capital has elected to be taxed as a REIT under the Code. Bimini Capital will
generally not be subject to federal income tax on its REIT taxable income to the
extent that Bimini Capital distributes its REIT taxable income to its
stockholders and satisfies the ongoing REIT requirements, including meeting
certain asset, income and stock ownership tests. A REIT must generally
distribute at least 90% of its REIT taxable income to its stockholders, of which
85% generally must be distributed within the taxable year, in order to avoid the
imposition of an excise tax. The remaining balance may be distributed up to the
end of the following taxable year, provided the REIT elects to treat such amount
as a prior year distribution and meets certain other requirements. At March 31,
2010, management believes that the Company has complied with Code requirements
and Bimini Capital continues to qualify as a REIT. As further described in Note
11, Discontinued Operations, OITRS is a taxpaying entity for income tax purposes
and is taxed separately from Bimini Capital.   The Company files
federal and state tax returns for both the REIT and the taxable REIT
subsidiary.  Generally, returns for all periods after 2005 remain open
for examination.





Recent
Accounting Pronouncements





In
February 2010, the FASB issued Accounting Standards Update (“ASU”) No. 2010-09,
Amendments to Certain
Recognition and Disclosure Requirements, (“ASU 2010-09”) which amends ASC 855,
Subsequent Events, to address certain implementation issues related to an
entity’s requirement to perform and disclose subsequent-events procedures. 
ASU 2010-09 requires SEC filers to evaluate subsequent events through the date
the financial statements are issued and exempts SEC filers from disclosing the
date through which subsequent events have been evaluated.  The ASU was
effective immediately upon issuance.  The implementation of this new
accounting guidance did not have a material impact on the Company’s financial
statements.





In
January 2010, the FASB issued ASU No. 2010-06, Improving Disclosures about Fair
Value Measurements, which requires additional disclosures related to the
transfers in and out of the fair value hierarchy and the activity of Level 3
financial instruments. This ASU also provides clarification for the
classification of financial instruments and the discussion of inputs and
valuation techniques. The new disclosures and clarification are effective for
interim and annual reporting periods after December 15, 2009, except for
the disclosures related to the activity of Level 3 financial instruments. Those
disclosures are effective for periods beginning after December 15, 2010 and
for interim periods within those years. The implementation of this new
accounting guidance did not have any impact on the Company’s financial
statements.





In
January 2010, the FASB issued ASU No. 2010-01, Accounting for Distributions to
Shareholders with Components of Stock and Cash, a Consensus of the FASB Emerging
Issues Task Force.  The purpose of this ASU was to eliminate
diversity in practice by requiring classification of the stock portion of a
dividend payment as a share issuance if there is a limit on the cash portion of
the dividend payment.  The Company applied this new accounting
guidance as of December 31, 2009 for its dividend declared in November 2009 and
paid in January 2010.











In June
2009, the FASB issued Statement of Financial Accounting No. 167 (“FAS 167),
Amendments to FASB
Interpretation No. 46(R), Consolidation of Variable Interest
Entities,which was subsequently incorporated into ASC 810, Consolidation.  FAS
167 changes how a company determines when an entity that is insufficiently
capitalized or is not controlled through voting (or similar rights) should be
consolidated. The determination of whether a company is required to consolidate
an entity is based on, among other things, an entity’s purpose and design and a
company’s ability to direct the activities of the entity that most significantly
impact the entity’s economic performance. FAS 167 is effective for
periods  beginning after November 15, 2009. The implementation of this
new accounting guidance did not have any impact on the Company’s financial
statements.





In June
2009, the FASB issued Statement of Financial Accounting No. 166 (“FAS 166”),
Accounting for Transfers of Financial Assets, which was subsequently
incorporated into ASC 860, Transfers and Servicing,  FAS 166 is a
revision of FAS 140, Accounting for Transfers and Servicing of Financial Assets
and Extinguishments of Liabilities, and will require disclosure of more
information about transfers of financial assets, including securitization
transactions, and where companies have continuing exposure to the risks related
to transferred financial assets. FAS 166 also eliminates the concept of a
“qualifying special-purpose entity,” changes the requirements for derecognizing
financial assets and requires additional disclosures. FAS 166 is effective for
periods beginning after November 15, 2009. Earlier application was prohibited.
The Company adopted FAS 166 on January 1, 2010. The implementation of this new
accounting guidance did not have any impact on the Company’s financial
statements.





NOTE
2.   MORTGAGE-BACKED SECURITIES





The
following are the carrying values of the Company’s MBS:





(in thousands)


March
      31, 2010
            
            
            December
      31, 2009Pass-Through
      Certificates:Hybrid
      Arms
            
            $
            36,272
            
            
            $
            67,036Adjustable-rate
      Mortgages
            
            
            13,865
            
            
            
            32,598Fixed-rate
      Mortgages
            
            
            33,973
            
            
            
            5,242Total
      Pass-Through Certificates
            
            
            84,110
            
            
            
            104,876Mortgage
      Derivative Certificates:MBS
      Derivatives
            
            
            18,050
            
            
            
            14,793Totals
            
            $
            102,160
            
            
            $
            119,669





As of
March 31, 2010, investments with a carrying value of approximately $336,000 have
contractual maturities less than 24 months.  All of the remainder of
Bimini Capital's MBS investments have contractual maturities greater than 24
months. Actual maturities of MBS investments are generally shorter than stated
contractual maturities. Actual maturities of Bimini Capital's MBS investments
are affected by the contractual lives of the underlying mortgages, periodic
payments of principal, and prepayments of principal.





NOTE
3.   EARNINGS PER SHARE





Shares of
Class B Common Stock, participating and convertible into Class A
Common Stock, are entitled to receive dividends in an amount equal to the
dividends declared on each share of Class A Common Stock if, and when,
authorized and declared by the Board of Directors. Following the provisions of
FASB ASC 260, the Class B Common Stock is included in the computation of
basic EPS using the two-class method, and consequently is presented separately
from Class A Common Stock. Class B common shares are not included in the
computation of diluted Class A EPS as the conditions for conversion to
Class A shares were not met.





The
Class C common shares are not included in the basic EPS computation as
these shares do not have participation rights. The Class C common shares
are not included in the computation of diluted Class A EPS as the
conditions for conversion to Class A shares were not met.











The
Company has dividend eligible stock incentive plan shares that were outstanding
during the three months ended March 31, 2010 and 2009. For the three months
ended March 31, 2009, a weighted average of 531 of these unvested incentive plan
shares are included in the basic and diluted per share computations, as they
have dividend participation rights. The stock incentive plan shares have no
contractual obligation to share in losses. Since there is no such obligation,
the incentive plan shares are not included in the three months ended March 31,
2010 basic and diluted EPS computations, even though they are participating
securities.





The
Company has also issued stock incentive plan shares that are not dividend
eligible.  At March 31, 2009, 6,709 of such plan shares were
outstanding and are included in the diluted per share computations. There were
none of these shares outstanding during the three months ended March 31,
2010.





As
discussed in Note 6, on November 9, 2009, the Company’s Board of Directors
declared a special dividend giving stockholders the option to make an election
to receive payment of the dividend in cash or in shares of its Class A Common
Stock, subject to an aggregate cash limitation.  These shares were not
included in the calculation of basic earnings per share until January 19, 2010
because they were not yet issued.  They were not included in the
diluted per share calculation prior to issuance because their inclusion prior to
this date would have been anti-dilutive.





The table
below reconciles the numerators and denominators of the basic and diluted
EPS.





(in
thousands, except per-share information)


Three
      Months Ended March31,2010
            
            
            2009Basic
      and diluted EPS per Class A common share:Income
      (loss) available to Class A common shares:Continuing
      operations
            
            $
            (2,012
            )
            
            $
            1,899Discontinued
      operations
            
            
            1,006
            
            
            
            233$
            (1,006
            )
            
            $
            2,132Weighted
      average common shares:Class
      A common shares outstanding at the balance sheet date
            
            
            10,036
            
            
            
            2,695Unvested
      dividend-eligible stock incentive plan shares outstanding at the balance
      sheet date
            
            
            -
            
            
            
            1Effect
      of weighting
            
            
            (1,554
            )
            
            
            (63
            )Weighted
      average shares-basic
            
            
            8,482
            
            
            
            2,633Effect
      of dilutive stock incentive plan shares
            
            
            -
            
            
            
            8Weighted
      average shares-diluted
            
            
            8,482
            
            
            
            2,641Earnings
      (loss) per Class A common share – basic and diluted:Continuing
      operations
            
            $
            (0.24
            )
            
            $
            0.72Discontinued
      operations
            
            
            0.12
            
            
            
            0.09$
            (0.12
            )
            
            $
            0.81








Three
      Months Ended March31,2010
            
            
            2009Basic
      and diluted EPS per Class B common share:Income
      (loss) available to Class B common shares:Continuing
      operations
            
            $
            (7
            )
            
            $
            23Discontinued
      operations
            
            
            4
            
            
            
            2$
            (3
            )
            
            $
            25Weighted
      average common shares:Class
      B common shares outstanding at the balance sheet date
            
            
            32
            
            
            
            32Effect
      of weighting
            
            
            -
            
            
            
            -Weighted
      average shares- basic and diluted
            
            
            32
            
            
            
            32Earnings
      (loss) per Class B common share – basic and diluted:Continuing
      operations
            
            $
            (0.24
            )
            
            $
            0.72Discontinued
      operations
            
            
            0.12
            
            
            
            0.09$
            (0.12
            )
            
            $
            0.81





NOTE
4.   REPURCHASE AGREEMENTS





As of
March 31, 2010, Bimini Capital had outstanding repurchase obligations of
approximately $76.7 million with a net weighted average borrowing rate of 0.26%.
These agreements were collateralized by MBS with a fair value, including accrued
interest, of approximately $80.0 million.  As of December 31,
2009, Bimini Capital had outstanding repurchase obligations of approximately
$100.3 million with a net weighted average borrowing rate of
0.30%.  These agreements were collateralized by MBS with a fair value
of approximately $105.2 million.





As of
March 31, 2010 and December 31, 2009, Bimini Capital's repurchase agreements had
remaining maturities as summarized below:





(in
thousands)


OVERNIGHT
              (1
      DAY OR LESS)
            
            
            BETWEEN
      2 AND
              30
      DAYS
            
            
            BETWEEN
      31 AND
              90
      DAYS
            
            
            GREATER
      THAN
              90
      DAYS
            
            
            TOTALMarch
      31, 2010Agency-Backed
      Mortgage--Backed Securities:Fair
      market value of securities sold, including accrued interest
      receivable
            
            $
            -
            
            
            $
            18,643
            
            
            $
            61,389
            
            
            $
            -
            
            
            $
            80,032Repurchase
      agreement liabilities associated with these securities
            
            $
            -
            
            
            $
            18,622
            
            
            $
            58,097
            
            
            $
            -
            
            
            $
            76,719Net
      weighted average borrowing rate
            
            
            -
            
            
            
            0.27
            %
            
            
            0.26
            %
            
            
            -
            
            
            
            0.26
            %December
      31, 2009Agency-Backed
      Mortgage--Backed Securities:Fair
      market value of securities sold, including accrued interest
      receivable
            
            $
            -
            
            
            $
            67,599
            
            
            $
            37,644
            
            
            $
            -
            
            
            $
            105,243Repurchase
      agreement liabilities associated with these securities
            
            $
            -
            
            
            $
            65,120
            
            
            $
            35,151
            
            
            $
            -
            
            
            $
            100,271Net
      weighted average borrowing rate
            
            
            -
            
            
            
            0.31
            %
            
            
            0.29
            %
            
            
            -
            
            
            
            0.30
            %











Summary
information regarding the Company’s amounts at risk with individual
counterparties greater than 10% of the Company’s equity at March 31, 2010 and
December 31, 2009 is as follows:





(in
thousands)


Repurchase
      Agreement Counterparties
            
            Amount
              at
      Risk(1)
            
            
            Weighted
      Average Maturity of Repurchase Agreements in DaysMarch
      31, 2010MF
      Global, Inc.
            
            $
            2,758
            
            
            
            59December
      31, 2009MF
      Global, Inc.
            
            $
            4,929
            
            
            
            38





(1)
            Equal
      to the fair value of securities sold, plus accrued interest income, minus
      the sum of repurchase agreement liabilities, plus accrued interest
      expense.





NOTE
5.  TRUST PREFERRED SECURITIES





As of
March 31, 2010 and December 31, 2009, Bimini Capital sponsored one statutory
trust, known as Bimini Capital Trust II (“BCTII”) of which 100% of the common
equity is owned by the Bimini Capital, formed for the purpose of issuing trust
preferred capital securities to third-party investors and investing the proceeds
from the sale of such capital securities solely in junior subordinated debt
securities of Bimini Capital. The debt securities held the trust are the sole
assets of that trust.


The BCTII
trust preferred securities and Bimini Capital's BCTII Junior Subordinated Notes
have a fixed-rate of interest until December 15, 2010, of 7.8575% and
thereafter, through maturity in 2035, the rate will float at a spread of 3.50%
over the prevailing three-month LIBOR rate. The BCTII trust preferred securities
and Bimini Capital's BCTII Junior Subordinated Notes require quarterly interest
distributions and are redeemable at Bimini Capital's option, in whole or in part
and without penalty, beginning December 15, 2010. Bimini Capital's BCTII Junior
Subordinated Notes are subordinate and junior in right of payment of all present
and future senior indebtedness. As of March 31, 2010 and December 31, 2009, the
outstanding principal balance on the junior subordinated debt securities owed to
BCTII is $26.8 million.





The trust
is a variable interest entity pursuant to FASB ASC 810 because the holders of
the equity investment at risk do not have adequate decision making ability over
the trust's activities. Since Bimini Capital's investment in the trust's common
equity securities was financed directly by the applicable trust as a result of
its loan of the proceeds to Bimini Capital, that investment is not considered to
be an equity investment at risk. Since Bimini Capital's common share investments
in BCTII are not a variable interest, Bimini Capital is not the primary
beneficiary of the trusts. Therefore, Bimini Capital has not consolidated the
financial statements of BCTII into its financial statements.  The
accompanying consolidated financial statements present Bimini Capital's BCTII
Junior Subordinated Notes issued to the trust as a liability and Bimini
Capital's investment in the common equity securities of BCTII as an asset. For
financial statement purposes, Bimini Capital records payments of interest on the
Junior Subordinated Notes issued to BCTII as interest expense.





NOTE
6.  CAPITAL STOCK





Reverse
Stock Split





On March
12, 2010, the Company executed a one-for-ten reverse stock split Class A, Class
B and Class C common stock.  All references in the accompanying
financial statements to the number of common shares and per-share amounts for
all periods presented have been adjusted to reflect the reverse stock
split.





Issuances
of Common Stock





During
the three months ended March 31, 2010, the Company issued a total of 30,874
shares of its Class A Common Stock to its independent directors for the payment
of director fees.





On
January 19, 2010, the Company issued 7,241,446 shares of its Class A common
stock in connection with a special dividend described more fully
below.








There
were no issuances of the Company's Class B Common Stock and Class C Common
Stock.





Dividends





On
November 9, 2009, the Company’s Board of Directors declared a $6.50 per share
special dividend to the holders of its dividend eligible securities on the
record date of December 9, 2009.  Subject to an aggregate cash
limitation of approximately $1.9 million, stockholders had the option to make an
election to receive payment of the dividend in cash or in shares of its Class A
Common Stock.  Stockholders that elected to receive the dividend
entirely in shares received approximately 2.8 shares for each share
held.  Stockholders that elected to receive at least a portion of the
dividend in cash received approximately $0.69 in cash and 2.5 shares for each
share held.  The distribution totaling approximately $1.9 million in
cash and 7,241,446 in shares was paid on January 19, 2009.





A
liability of $18.7 million was recorded as of December 31, 2009 related to the
special dividend mentioned above.  This liability consisted of both
the cash portion of the dividend declared and the fair value of the shares of
stock to be issued.  The liability was settled in January 2010 for
$1.9 million in cash and an increase in stockholders’ equity of $16.8 million,
representing the fair value of the shares issued.





On April
1, 2010, the Company's Board of Directors declared a $0.03 per share cash
dividend to the holders of its dividend eligible securities on the record date
of April 15, 2010.  The distribution totaling approximately $314,000
was paid on April 30, 2010.





NOTE
7.    STOCK INCENTIVE PLANS





On
December 18, 2003, Bimini Capital adopted the 2003 Long Term Incentive
Compensation Plan (the “2003 Plan”) to provide Bimini with the flexibility to
use stock options and other awards as part of an overall compensation package to
provide a means of performance-based compensation to attract and retain
qualified personnel. The 2003 Plan was amended and restated in March 2004.
Key employees, directors and consultants are eligible to be granted stock
options, restricted stock, phantom shares, dividend equivalent rights and other
stock-based awards under the 2003 Plan. Subject to adjustment upon certain
corporate transactions or events, a maximum of 400,000 shares of the Class A
Common Stock (but not more than 10% of the Class A Common Stock outstanding on
the date of grant) may be subject to stock options, shares of restricted stock,
phantom shares and dividend equivalent rights under the 2003 Plan.





Phantom
share awards represent a right to receive a share of Bimini's Class A
Common Stock.These awardsdo not have an exercise
price and are valued at the fair value of Bimini Capital’s Class A Common
Stock at the date of the grant. The grant date value is being amortized to
compensation expense on a straight-line basis over the vesting period of the
respective award.  The phantom shares vest, based on the employees’
continuing employment, following a schedule as provided in the grant
agreements, for periods through December 1, 2014. The Company recognizes
compensation expense over the vesting period. Compensation expense recognized
for phantom shares during the three months ended March 31, 2010 and 2009 was
approximately, $8,000 and $12,000, respectively.Dividends paid on
unsettled awards are charged to retained earnings when declared.





A summary
of phantom share activity during the three month periods ended March 31, 2010
and 2009is
presented below:





Three
      Months Ended March 31,2010
              
              
              2009Shares
              
              
              Weighted-Average
      Grant-Date Fair Value
              
              
              Shares
              
              
              Weighted-Average
      Grant-Date Fair ValueNonvested,
      at January 1
              
              
              102,000
              
              
              $
              1.58
              
              
              
              13,237
              
              
              $
              5.79Granted
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -Vested
              
              
              -
              
              
              
              -
              
              
              
              (958
              )
              
              
              2.60Forfeited
              
              
              -
              
              
              
              -
              
              
              
              (5,040
              )
              
              
              3.24Nonvested,
      at March 31
              
              
              102,000
              
              
              $
              1.58
              
              
              
              7,239
              
              
              $
              7.99








As of
March 31, 2010, there was approximately $137,000 of unrecognized compensation
cost related to nonvested phantom share awards.  This cost is expected
to be recognized over a remaining weighted-average period of 50.9
months.  All of the remaining unvested awards at March 31, 2010 were
granted dividend participation rights.





On April
1, 2010, the Board of Directors granted 302,000 of phantom shares with a grant
date fair value of $0.97 and vesting periods of one to five years.





Bimini
Capital also has adopted the 2004 Performance Bonus Plan (the “Performance Bonus
Plan”). The Performance Bonus Plan is an annual bonus plan that permits the
issuance of the Company’s Class A Common Stock in payment of stock-based awards
made under the plan.  No stock-based awards have been made and no shares of
the Company’s stock have been issued under the Performance Bonus Plan. The
Performance Bonus Plan was terminated by the Board of Directors on April 1,
2010.





NOTE
8.  COMMITMENTS AND CONTINGENCIES





Outstanding
Litigation





The
Company is involved in various lawsuits and claims, both actual and potential,
including some that it has asserted against others, in which monetary and other
damages are sought. These lawsuits and claims relate primarily to contractual
disputes arising out of the ordinary course of the Company’s business. The
outcome of such lawsuits and claims is inherently unpredictable. However,
management believes that, in the aggregate, the outcome of all lawsuits and
claims involving the Company will not have a material effect on the Company’s
consolidated financial position or liquidity; however, any such outcome may be
material to the results of operations of any particular period in which costs,
if any, are recognized.




On
September 17, 2007, a complaint was filed in the U.S. District Court for the
Southern District of Florida by William Kornfeld against Bimini Capital, certain
of its current and former officers and directors, Flagstone Securities, LLC and
BB&T Capital Markets alleging various violations of the federal securities
laws and seeking class action certification.  On October 9, 2007, a
complaint was filed in the U.S. District Court for the Southern District of
Florida by Richard and Linda Coy against the Company, certain of its current and
former officers and directors, Flagstone Securities, LLC and BB&T Capital
Markets alleging various violations of the federal securities laws and seeking
class action certification.  The cases have been consolidated, class
certification has been granted, and lead plaintiffs’ counsel has been
appointed.  The Company filed a motion to dismiss the case on December 22,
2008, and plaintiffs have filed a response in opposition.  On September 30,
2009, the court granted a partial motion to dismiss and gave plaintiffs
until October 12, 2009 to file an amended complaint.  The partial dismissal
released defendants Flagstone Securities, LLC, BB&T Capital Markets, Bimini
Capital’s former outside directors and certain officers, as well as certain
charges contained in the original complaint.  Plaintiffs filed an amended
complaint on October 12, 2009 and on October 23, 2009 Bimini Capital filed an
answer and affirmative defenses to the amended complaint. At a mediation held on
February 12, 2010, the parties reached a tentative settlement of this matter for
$2.35 million. As of December 31, 2009, the Company had accrued approximately
$0.5 million related to the settlement.  This amount represented the
remainder of the $1.0 million retention that the Company was required to pay
under the terms of its Directors and Officers insurance policy. As of April
30, 2010, approximately $0.4 million of the accrual remains. The remainder of
the settlement and legal fees and costs associated with finalizing the
settlement in excess of the $0.4 million accrual will be paid by the insurance
carrier.  The settlement is contingent upon the parties' executing a
written stipulation of settlement, presenting the settlement to the Court for
preliminary approval, providing notice to the Class and an opportunity to opt
out of the settlement,  and receiving final approval from the Court at a
final fairness hearing.  This process is expected to be completed during
the current year.  Bimini Capital made no admission of liability in
connection with the settlement.  If the settlement is not finalized, the
class action would continue.  While Bimini Capital expects that this
settlement will be finalized and approved by the Court, there is no guarantee
that the settlement will be finalized.  The failure to finalize the
settlement could have a material adverse impact on the Bimini
Capital.











A
complaint was filed on December 23, 2009 in the Southern District of New York
against Bimini Capital, the Bank of New York Mellon ("BNYM"), and Hexagon
Securities, LLC ("Hexagon"). It alleges that plaintiff, a note-holder in
Preferred Term Securities XX ("PreTSL XX"), suffered losses as a result of
Bimini Capital’s repurchase of all outstanding fixed/floating rate capital
securities of Bimini Capital Trust II for less than par value from PreTSL XX in
December 2009. Plaintiff alleged breach of the indenture and breach of
fiduciary duties by BNYM, and tortuous interference with contract and
aiding and abetting breach of fiduciary duty by Bimini Capital and Hexagon.
Plaintiff also purported to allege derivative claims brought on behalf of
Nominal Defendant PreTSL XX.  On February 22, 2010, plaintiff filed an
amended complaint, adding derivative claims on behalf of BNYM as trustee, in
addition to the prior derivative claims asserted on behalf of PreTSL
XX.  Plaintiff has also added a claim for "unjust enrichment" against
Bimini Capital and Hexagon.  On March 26, 2010, all Defendants moved
to dismiss each count of Plaintiff's amended complaint. Bimini Capital
denies that the repurchase was improper and intends to defend the suit
vigorously.





NOTE
9.  INCOME TAXES




REIT
taxable income (loss), as generated by Bimini Capital’s qualifying REIT
activities, is computed in accordance with the Code, which is different from the
Company’s financial statement net income (loss) as computed in accordance with
GAAP. Depending on the number and size of the various items or transactions
being accounted for differently, the differences between the Company’s REIT
taxable income (loss) and the Company’s financial statement net income (loss)
can be substantial and each item can affect several years.  Bimini
Capital’s REIT taxable loss for the three-months ended March 31, 2010 is
estimated to be $0.5 million. During the three months ended March 31, 2010, a
GAAP financial statement loss on MBS sales of approximately $13,000 was
realized; for tax purposes, realized capital gains for this period was
approximately $0.05 million.  Since there are tax capital losses
available to offset the tax capital gains, the tax gains did not increase REIT
taxable income for the period ended March 31, 2010.




During
the three months ended March 31, 2010, fair value adjustments on the MBS
portfolio of approximately $(1.9) million were recorded on the GAAP financial
statements; for tax purposes, these fair value adjustments will not be taken
into account until the underlying security is sold.  Other differences
between GAAP financial statement results and REIT taxable income (loss) include
the results of the discontinued operations (which does not impact REIT taxable
income), the different tax and book accounting methods used for calculating
interest income, and depreciation and amortization.




As of
March 31, 2010, the Bimini Capital has approximately $56.8 million of remaining
capital loss carryforwards available to offset future capital gains. As of March
31, 2010, Bimini Capital has a REIT tax net operating loss carryforward of
approximately $1.2 million that is immediately available to offset future REIT
taxable income.  The capital loss carryforwards begin to expire in
2012, and the net operating loss carryforwards begin to expire in
2028.




Bimini
Capital’s REIT taxable loss for the three months ended March 31, 2009 was
estimated to be $1.4 million.  During the three months ended March 31,
2009, GAAP financial statement gains of approximately $1.1 million on MBS on the
sale of MBS were realized; for tax purposes, the realized gains were
approximately $2.7 million.  Since there are tax capital losses
available to offset these gains, the tax gains did not increase REIT taxable
income for the period ended March 31, 2009.





NOTE
10.   FAIR VALUE




The
Company measures or monitors all of its MBS on a fair value basis. Fair value is
the price that would be received to sell an asset or transfer a liability in an
orderly transaction between market participants at the measurement date. When
determining the fair value measurements for its mortgage-backed securities, the
Company considers the principal or most advantageous market in which it would
transact and considers assumptions that market participants would use when
pricing the asset. When possible, the Company looks to active and observable
markets to price identical assets.  When identical assets are not
traded in active markets, the Company looks to market observable data for
similar assets.




All of
the fair value adjustments included in the results from continuing operations
resulted from Level 2 fair value methodologies; that is, the Company is able to
value the assets based on observable market data for similar instruments. The
securities in the Company’s trading portfolio are priced via independent
providers, whether those are pricing services or quotations from market-makers
in the specific instruments. In obtaining such valuation information from third
parties, the Company has evaluated the valuation methodologies used to develop
the fair values in order to determine whether such valuations are representative
of an exit price in the Company’s principal markets.










Fair
value is used to measure the trading portfolio on a recurring
basis.  The fair values as of March 31, 2010 and December 31, 2009 are
determined as follows:





(in
thousands)


March
      31, 2010
            
            
            December
      31, 2009Quoted
      Prices in Active Markets for Identical Assets (Level 1)
            
            $
            -
            
            
            $
            -Significant
      Other Observable Inputs (Level 2)
            
            
            102,160
            
            
            
            119,668Significant
      Unobservable Inputs (Level 3)
            
            
            -
            
            
            
            -Total
      Fair Value Measurements
            
            $
            102,160
            
            
            $
            119,668





NOTE
11.   DISCONTINUED OPERATIONS





OITRS





The
results of the discontinued operations of OITRS included in the accompanying
consolidated statements of operations for the three months ended March 31, 2010
and 2009 were as follows:





(in
thousands)


Three
      Months Ended March 31,2010
            
            
            2009Net
      interest income (expense)
            
            $
            (7
            )
            
            $
            63Gain
      on discontinued mortgage banking activities:Fair
      value adjustment on retained interests
            
            
            1,384
            
            
            
            1,274Other
      discontinued mortgage banking activities
            
            
            (15
            )
            
            
            491Other
      income, net of non-recurring items
            
            
            99
            
            
            
            75Net
      servicing loss
            
            
            (2
            )
            
            
            (204
            )Other
      interest expense and loss reserves
            
            
            (47
            )
            
            
            (468
            )Revenues,
      net
            
            
            1,412
            
            
            
            1,231General
      and administrative expenses
            
            
            (402
            )
            
            
            (995
            )Total
      income from discontinued operations, net of taxes
            
            $
            1,010
            
            
            $
            236





The
assets and liabilities of OITRS included in the consolidated balance sheets as
of March 31, 2010 and December 31, 2009 were as follows:





(in
thousands)


March
      31, 2010
            
            
            December
      31, 2009AssetsCash
      and cash equivalents
            
            $
            42
            
            
            $
            70Mortgage
      loans held for sale (a)
            
            
            205
            
            
            
            207Retained
      interests, trading (b)
            
            
            5,591
            
            
            
            5,934Receivables
      (c)
            
            
            4,893
            
            
            
            6,046Prepaids
      and other assets
            
            
            2,044
            
            
            
            2,075Assets
      held for sale
            
            $
            12,775
            
            
            $
            14,332LiabilitiesAccounts
      payable, accrued expenses and other (d and e)
            
            
            7,687
            
            
            
            7,622Liabilities
      related to assets held for sale
            
            $
            7,687
            
            
            $
            7,622











(a)
- Mortgage Loans Held for Sale





Mortgage
loans held for sale consist of the following as of March 31, 2010 and December
31, 2009:





(in
thousands)


March
      31, 2010
            
            
            December
      31, 2009Mortgage
      loans held for sale,
            
            $
            2,149
            
            
            $
            2,149Valuation
      allowance
            
            
            (1,944
            )
            
            
            (1,942
            )Total
            
            $
            205
            
            
            $
            207





(b)
– Retained interest, trading





The
following table summarizes OITRS’s residual interests in securitizations as of
March 31, 2010 and December 31, 2009:





(in
thousands)


Series
            Issue
      Date
            
            March
      31, 2010
            
            
            December
      31, 2009HMAC
      2004-1
            March
      4, 2004
            
            $
            991
            
            
            $
            757HMAC
      2004-2
            May
      10, 2004
            
            
            1,237
            
            
            
            1,340HMAC
      2004-3
            June
      30, 2004
            
            
            1,297
            
            
            
            1,541HMAC
      2004-4
            August
      16, 2004
            
            
            963
            
            
            
            1,280HMAC
      2004-5
            September
      28, 2004
            
            
            771
            
            
            
            1,016HMAC
      2004-6
            November
      17, 2004
            
            
            332
            
            
            
            -OMAC
      2005-1
            January
      31, 2005
            
            
            -
            
            
            
            -OMAC
      2005-2
            April
      5, 2005
            
            
            -
            
            
            
            -OMAC
      2005-3
            June
      17, 2005
            
            
            -
            
            
            
            -OMAC
      2005-4
            August
      25, 2005
            
            
            -
            
            
            
            -OMAC
      2005-5
            November
      23, 2005
            
            
            -
            
            
            
            -OMAC
      2006-1
            March
      23, 2006
            
            
            -
            
            
            
            -OMAC
      2006-2
            June
      26, 2006
            
            
            -
            
            
            
            -Total
            
            
            $
            5,591
            
            
            $
            5,934





As of
March 31, 2010 and December 31, 2009, key economic assumptions and the
sensitivity of the current fair value of residual cash flows to the immediate
10% and 20% adverse change in those assumptions are as follows:





(in
thousands)


March
      31, 2010
            
            
            December
      31, 2009Balance
      sheet carrying value of retained interests – fair value
            
            $
            5,591
            
            
            $
            5,934Weighted
      average life (in years)
            
            
            9.27
            
            
            
            0.22Prepayment
      assumption (annual rate)
            
            
            16.58
            %
            
            
            12.65
            %Impact
      on fair value of 10% adverse change
            
            $
            (193
            )
            
            $
            (37
            )Impact
      on fair value of 20% adverse change
            
            $
            (104
            )
            
            $
            (51
            )Expected
      credit losses (% of original unpaid principal balance)
            
            
            9.57
            %
            
            
            9.08
            %Impact
      on fair value of 10% adverse change
            
            $
            (431
            )
            
            $
            (242
            )Impact
      on fair value of 20% adverse change
            
            $
            (903
            )
            
            $
            (439
            )Residual
      cash-flow discount rate
            
            
            27.50
            %
            
            
            27.50
            %Impact
      on fair value of 10% adverse change
            
            $
            (128
            )
            
            $
            (42
            )Impact
      on fair value of 20% adverse change
            
            $
            (236
            )
            
            $
            (83
            )Interest
      rates on variable and adjustable loans and bonds
            
            Forward
      LIBOR Yield Curve
            
            
            Forward
      LIBOR Yield CurveImpact
      on fair value of 10% adverse change
            
            $
            (371
            )
            
            $
            (113
            )Impact
      on fair value of 20% adverse change
            
            $
            (507
            )
            
            $
            (214
            )











These
sensitivities are hypothetical and should be used with caution. As the figures
indicate, changes in fair value based upon a 10% variation in assumptions
generally cannot be extrapolated because the relationship of the change in
assumption to the change in fair value may not be linear. Also, in this table,
the effect of the variation in a particular assumption on the fair value of the
retained interest is calculated without changing any other assumption; in
reality, changes in one factor may result in changes in another which may
magnify or counteract the sensitivities. To estimate the impact of a 10% and 20%
adverse change of the Forward LIBOR curve, a parallel shift in the Forward LIBOR
curve was assumed based on the Forward LIBOR curve as of March 31, 2010 and
December 31, 2009.





Static
pool loss percentages are calculated by using the original unpaid principal
balance of each pool of assets as the denominator. The following static pool
loss percentages are calculated based upon all OITRS securitizations that have
been completed to date:





(in
thousands)


Series
            Issue
      Date
            Original
      Unpaid Principal Balance
            As
      of March 31, 2010Actual
      Losses
            Projected
      Future Credit Losses
            Projected
      Total Credit LossesHMAC
      2004-1
            March
      4, 2004
            $
      309,710
            0.91%
            0.88%
            1.79%HMAC
      2004-2
            May
      10, 2004
            388,737
            1.32%
            1.63%
            2.95%HMAC
      2004-3
            June
      30, 2004
            417,055
            1.33%
            1.26%
            2.59%HMAC
      2004-4
            August
      16, 2004
            410,123
            1.15%
            1.09%
            2.24%HMAC
      2004-5
            September
      28, 2004
            413,875
            1.66%
            1.97%
            3.62%HMAC
      2004-6
            November
      17, 2004
            761,027
            2.26%
            1.98%
            4.24%OMAC
      2005-1
            January
      31, 2005
            802,625
            2.97%
            2.43%
            5.40%OMAC
      2005-2
            April
      5, 2005
            883,987
            3.16%
            2.86%
            6.02%OMAC
      2005-3
            June
      17, 2005
            937,117
            3.87%
            4.00%
            7.87%OMAC
      2005-4
            August
      25, 2005
            1,321,739
            5.60%
            5.50%
            11.10%OMAC
      2005-5
            November
      23, 2005
            986,277
            7.71%
            6.76%
            14.47%OMAC
      2006-1
            March
      23, 2006
            934,441
            8.95%
            8.91%
            17.86%OMAC
      2006-2
            June
      26, 2006
            491,572
            16.54%
            15.26%
            31.80%Total
            
            $9,058,285
            4.92%
            4.66%
            9.57%





The table
below summarizes certain cash flows received from and paid to securitization
trusts for the three months ended March 31, 2010 and 2009:





(in
thousands)


Three
      months Ended March 31,2010
            
            
            2009Net
      servicing fees paid
            
            $
            (2
            )
            
            $
            (1
            )Servicing
      advances and repayments
            
            
            1,140
            
            
            
            4,346Cash
      flows received on retained interests
            
            
            1,728
            
            
            
            2,321





The
following information presents quantitative information about delinquencies and
credit losses on securitized financial assets as of March 31, 2010 and December
31, 2009:





(in
thousands)


As
      of Date
            
            Total
      Principal Amount of Loans
            
            
            Principal
      Amount of Loans 60 Days or more delinquent
            
            
            Net
      Credit LossesMarch
      31, 2010
            
            $
            3,129,902
            
            
            $
            746,748
            
            
            $
            445,266December
      31, 2009
            
            
            3,250,632
            
            
            
            797,883
            
            
            
            400,920











(c)
– Receivables, net





Receivables
consist of the following as of March 31, 2010 and December 31,
2009:





(in
thousands)


March
      31, 2010
            
            
            December
      31, 2009Servicing
      advances, net of allowance for doubtful accounts of
    $256,000
            
            $
            3,561
            
            
            $
            4,957Servicing
      sales
            
            
            936
            
            
            
            936Others
            
            
            396
            
            
            
            153$
            4,893
            
            
            $
            6,046





Receivables
are carried at their estimated collectible amounts.  The Company
maintains allowances for doubtful accounts for estimated losses resulting from
the inability of its customers to make required payments. Management considers
the following factors when determining the collectability of specific customer
accounts: past transaction activity, current economic conditions and changes in
customer payment terms. Amounts that the Company determines are no longer
collectible are written off.  Collections on amounts previously
written off are included in income as received.





(d)  -
Income taxes





OITRS is
a taxpaying entity for income tax purposes and is taxed separately from Bimini
Capital.  Therefore, OITRS separately reports an income tax provision or
benefit based on its own taxable activities.  As of March 31, 2010 and
December 31, 2009, all deferred tax assets are fully provided for with a
valuation allowance.  Substantially all of the deferred tax assets are a
result of net tax losses incurred.  During the three months ended
March 31, 2010 and 2009, a portion of the deferred tax asset valuation allowance
was reversed, as the utilization of this portion of the deferred tax asset was
deemed more likely than not, due to the utilization of tax net operating losses
to offset estimated taxable income for the respective three-month periods;
therefore, there are no income tax provisions related to the results of
operations.  The income tax provision for the periods ended March 31,
2010 and 2009 differ from the amount determined by applying the statutory
Federal rate of 35% to the pre-tax income due primarily to the recording of, and
adjustments to, the deferred tax asset valuation allowances.




The
ultimate realization of deferred tax assets is dependent upon the generation of
future taxable income within OITRS.  At March 31, 2010, management
continues to believe that it is more likely than not that the Company will not
realize the full benefits of all deferred tax assets of
OITRS;  therefore, an allowance for the full amount of the deferred
tax assets has been recorded.




As of
March 31, 2010, OITRS had an estimated federal net operating loss (“NOL”)
carryforward of approximately $273 million, and estimated available state NOLs
of $68 million, which begin to expire in 2025, and are fully available to offset
future taxable income.




During
2008, OITRS re-evaluated a previous tax position with regards to the taxability
of excess inclusion income (“EII”).  OITRS holds residual interests in
various real estate mortgage investment conduits (“REMICs”), some of which
generate EII pursuant to specific provisions of the Code.  OITRS based
its previously-held tax position on advice received from tax consultants
regarding the taxability of EII, including the aggregation (or non-aggregation)
of the tax inputs from all REMICs owned for purposes of the EII tax
computation.  As a result of the re-evaluation of the tax position,
which included consulting with additional tax experts, OITRS now believes that
it is no longer more likely than not that the tax position would be fully
sustained upon examination, even though the exact computational methods and the
ultimate EII tax due (if any) are still uncertain.  Therefore, OITRS
recorded a 2008 tax provision for $1.5 million for taxes that may be due on
EII.  Interest through March 31, 2010 has been accrued in the amount
of $0.6 million.  OITRS is continuing to research all the tax issues
relating to EII and its ownership of the REMICs, and will adjust the tax and
interest accrual in future periods as the uncertainty is resolved.










(e)
– Commitments and Contingencies





Loans Sold to Investors.
Generally, OITRS was not exposed to significant credit risk on its loans sold to
investors. In the normal course of business, OITRS provided certain
representations and warranties during the sale of mortgage loans which obligated
it to repurchase loans which are subsequently unable to be sold through the
normal investor channels. The repurchased loans were secured by the related real
estate properties, and can usually be sold directly to other permanent
investors. There can be no assurance, however, that OITRS will be able to
recover the repurchased loan value either through other investor channels or
through the assumption of the secured real estate.




OITRS
recognized a liability for the estimated fair value of this obligation at the
inception of each mortgage loan sale based on the anticipated repurchase levels
and historical experience.




Changes
in this liability for the three months ended March 31, 2010 and 2009 are
presented below:




(in thousands)


Three
      Months Ended March 31,2010
            
            
            2009Balance—Beginning
      of period
            
            $
            5,149
            
            
            $
            7,303Provision
            
            
            50
            
            
            
            468Settlements
            
            
            (2
            )
            
            
            (2,622
            )Balance—End
      of period
            
            $
            5,197
            
            
            $
            5,149





Litigation Contingencies.
OITRS is involved in various lawsuits and claims, both actual and potential,
including some that it has asserted against others, in which monetary damages
and other relief is sought.  The resolution of such lawsuits and claims is
inherently unpredictable.  In accordance with GAAP, OITRS accrues for
loss contingencies only when it is both probable that a loss has actually been
incurred and the amount of such loss is reasonably estimable.  The
lawsuits and claims involving OITRS, the most significant of which are described
below, relate primarily to contractual disputes arising out of the ordinary
course of OITRS's business as previously conducted.





On June
14, 2007, a complaint was filed in the Circuit Court of the Twelfth Judicial
District in and for Manatee County, Florida by Coast Bank of Florida against
OITRS seeking monetary damages and specific performance and alleging breach of
contract for allegedly failing to repurchase approximately fifty
loans.  A mediation hearing was held on February 23,
2010.  The parties have agreed to continue mediation talks but have
yet to reach a settlement. In the event a settlement is not reached, the Company
believes that the plaintiff’s claims are without merit and it will continue to
defend the complaint vigorously.





(f)
– Fair Value





OITRS
measures or monitors many of its assets on a fair value basis. Fair value is
used on a recurring basis for certain assets in which fair value is the primary
basis of accounting. Examples of these include, loans held for sale and retained
interests. Depending on the nature of the asset or liability, OITRS uses various
valuation techniques and assumptions when estimating the instrument’s fair
value.





Fair
value is the price that would be received to sell an asset or transfer a
liability in an orderly transaction between market participants at the
measurement date. When determining the fair value measurements for assets and
liabilities required or permitted to be recorded at and/or marked to fair value,
OITRS considers the principal or most advantageous market in which it would
transact and considers assumptions that market participants would use when
pricing the asset or liability. When possible, OITRS looks to active and
observable markets to price identical assets or liabilities. If identical assets
and liabilities are not traded in active markets, OITRS would look to market
observable data for similar assets and liabilities. However, if similar assets
and liabilities are not actively traded in observable markets, then OITRS must
use alternative valuation techniques to derive a fair value
measurement.











The
following table presents financial assets measured at fair value on a recurring
basis:





(in
thousands)


Fair
      Value Measurements at March 31, 2010, UsingFair
      Value Measurements
            
            
            Quoted
      Prices
              in
      Active
              Markets
      for
              Identical
              Assets
              (Level
      1)
            
            
            Significant
              Other
              Observable
              Inputs
              (Level
      2)
            
            
            Significant
              Unobservable
              Inputs
              (Level
      3)Mortgage
      loans held for sale
            
            $
            205
            
            
            $
            -
            
            
            $
            -
            
            
            $
            205Retained
      interests, trading
            
            
            5,591
            
            
            
            -
            
            
            
            -
            
            
            
            5,591





A
reconciliation of activity for the three months ended March 31, 2010 for assets
measured at fair value based on significant unobservable (non-market)
information (Level 3) is presented in the following table:





(in
thousands)


Mortgage
      Loans Held for Sale
            
            
            Retained
      Interests, TradingBeginning
      balance
            
            $
            207
            
            
            $
            5,934Gain
      (loss) included in earnings
            
            
            (16
            )
            
            
            1,384Collections,
      losses and settlements
            
            
            14
            
            
            
            (1,727
            )Ending
      Balance
            
            $
            205
            
            
            $
            5,591





Gains and
losses included in earnings for the three months ended March 31, 2010 and 2009
are reported in income on discontinued mortgage banking activities.





NOTE
12.   SUBSEQUENT EVENTS





The
following events or transactions were not recognized in the consolidated
financial statements. The Company evaluated subsequent events through the date
these financial statements were issued.





Dividends





At a
meeting of the Board of Directors of Bimini Capital on April 1, 2010, the
members of the Board declared a common stock dividend of $0.03 per share, which
was paid in cash on April 30, 2010 to shareholders of record on April 15,
2010.  The dividend paid on April 30, 2010 totaled
$314,000.











ITEM
2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS.





FORWARD-LOOKING
STATEMENTS





When used
in this Quarterly Report on Form 10-Q, in future filings with the
Securities and Exchange Commission (the “Commission”) or in press releases or
other written or oral communications, statements which are not historical in
nature, including those containing words such as “anticipate,” “estimate,”
“should,” “expect,” “believe,” “intend” and similar expressions, are intended to
identify “forward-looking statements” within the meaning of Section 27A of
the Securities Act of 1933, as amended (the “Securities Act”), and
Section 21E of the Securities Exchange Act of 1934, as amended (the
“Exchange Act”).





These
forward-looking statements are subject to various risks and uncertainties,
including, but not limited to, those described or incorporated by reference in
Part II - Item 1A - Risk Factors of this Form 10-Q. These and other risks,
uncertainties and factors, including those described in reports that the Company
files from time to time with the Commission, could cause the Company’s actual
results to differ materially from those reflected in such forward-looking
statements. All forward-looking statements speak only as of the date they are
made and the Company does not undertake, and specifically disclaims, any
obligation to update or revise any forward-looking statements to reflect events
or circumstances occurring after the date of such statements.





The
following discussion of the financial condition and results of operations should
be read in conjunction with the Company’s consolidated financial statements and
related notes included elsewhere in this report.





Introduction





As used
in this document, references to “Bimini Capital,” the parent company, the
registrant, and to real estate investment trust (“REIT”) qualifying activities
or the general management of Bimini Capital’s portfolio of mortgage-backed
securities (“MBS”) refer to “Bimini Capital Management,
Inc.”  Further, references to Bimini Capital’s taxable REIT subsidiary
or non-REIT eligible assets refer to Orchid Island TRS, LLC and its consolidated
subsidiaries. This entity, which was previously named Opteum Financial Services,
LLC, and referred to as “OFS,” was renamed Orchid Island TRS, LLC effective July
3, 2007.   Hereinafter, any historical mention, discussion or
references to Opteum Financial Services, LLC or to OFS (such as in previously
filed documents or Exhibits) now means Orchid Island TRS, LLC or
“OITRS.”  References to the “Company” refer to the consolidated entity
(the combination of Bimini Capital and OITRS).





Bimini
Capital Management, Inc., formerly Opteum Inc. and Bimini Mortgage Management,
Inc., was formed in September 2003 to invest primarily in but not limited to,
residential mortgage related securities issued by the Federal National Mortgage
Association (more commonly known as Fannie Mae), the Federal Home Loan Mortgage
Corporation (more commonly known as Freddie Mac) and the Government National
Mortgage Association (more commonly known as Ginnie Mae). Bimini Capital will
deploy its capital into two core strategies.  The two strategies are a
levered mortgage-backed securities portfolio and an unlevered derivative
mortgage-backed securities portfolio.  The leverage applied to the
mortgage-backed securities portfolio will typically be less than twelve to
one.  Bimini Capital manages its portfolio of agency mortgage-backed
securities and derivative mortgage-backed securities to generate income derived
from the net interest margin of its mortgage-backed securities portfolio,
levered predominantly under repurchase agreement funding, net of associated
hedging costs, and the interest income derived from its unlevered portfolio of
derivative mortgage-backed securities.  Bimini Capital treats its
remaining junior subordinated notes as an equity capital equivalent. Bimini
Capital is self-managed and self-advised and has elected to be taxed as a REIT
for U.S. federal income tax purposes.





On April
18, 2007, the Board of Managers of OITRS, at the recommendation of the Board of
Directors of the Company, approved the closure of the wholesale and conduit
mortgage loan origination channels.  Both channels ceased accepting
new applications for mortgage loans on April 20, 2007.  On May 7,
2007, OITRS signed a binding agreement, later amended, to sell its retail
mortgage loan origination channel to a third party.  The transaction
closed on June 30, 2007 and OITRS has not operated a mortgage loan origination
business since that date.











DIVIDENDS
TO STOCKHOLDERS





In order
to maintain its qualification as a REIT, Bimini Capital is required (among other
provisions) to annually distribute dividends to its stockholders in an amount at
least equal to, generally, 90% of Bimini Capital’s REIT taxable income. REIT
taxable income is a term that describes Bimini Capital’s operating results
calculated in accordance with rules and regulations promulgated pursuant to the
Internal Revenue Code.





Bimini
Capital’s REIT taxable income is computed differently from net income as
computed in accordance with generally accepted accounting principles ("GAAP net
income"), as reported in the Company’s accompanying consolidated financial
statements.  Depending on the number and size of the various items or
transactions being accounted for differently, the differences between REIT
taxable income and GAAP net income can be substantial and each item can affect
several reporting periods. Generally, these items are timing or temporary
differences between years; for example, an item that may be a deduction for GAAP
net income in the current year may not be a deduction for REIT taxable income
until a later year.  The most significant difference is that the
results of the Company’s taxable REIT subsidiary do not impact REIT taxable
income.





As a
REIT, Bimini Capital may be subject to a federal excise tax if Bimini Capital
distributes less than 85% of its taxable income by the end of the calendar
year.  Accordingly, Bimini Capital’s dividends are based on its
taxable income, as determined for federal income tax purposes, as opposed to its
net income computed in accordance with GAAP (as reported in the accompanying
consolidated financial statements).





Results
of Operations





PERFORMANCE
OVERVIEW





Described
below are the Company’s results of operations for the three months ended March
31, 2010, as compared to the Company’s results of operations for the three
months ended March 31, 2009. During the year ended December 31, 2007, the
Company ceased all mortgage origination business at OITRS, and therefore the
results of those operations are reported in the financial statements as
discontinued operations.





Loss from
continuing operations for the three months ended March 31, 2010 was $2.0
million, compared to income from continuing operations of $1.9 million for the
three months ended March 31, 2009. Consolidated net loss for the three months
ended March 31, 2010 was $1.0 million, compared to a consolidated net income
of$2.2 for the
three months ended March 31, 2009. Consolidated net loss per basic and diluted
share of Class A Common Stock was $0.12, for the three months ended March
31, 2010, compared to a consolidated net income per basic and diluted share of
Class A Common Stock of $0.81, for the comparable prior period.





PERFORMANCE OF BIMINI
CAPITAL’S MBS PORTFOLIO





For the
three months ended March 31, 2010, the REIT generated $1.83 million of net
portfolio interest income, consisting of $1.90 million of interest income from
MBS assets offset by $0.07 million of interest expense on repurchase
liabilities.  For the comparable period ended March 31, 2009, the REIT
generated $3.42 million of net portfolio interest income, consisting of $3.67
million of interest income from MBS assets offset by $0.25 million of interest
expense on repurchase liabilities.  During the three months ended
March 31, 2010, average investment securities held were approximately 16% lower
than the comparable period ended March 31, 2009, and the yield on average
interest earning assets was also approximately 355 basis points
lower.  The MBS portfolio was reduced slightly near the end of the
three month period ended March 31, 2010 in order to avoid elevated prepayments
owing to Fannie Mae and Freddie Mac prepayments associated with delinquent loan
buy-outs announced during the period.  The MBS portfolio was also
reduced relative to the 2009 period in order to fund the extinguishment of
approximately 74% of the Company’s junior subordinated debt securities in the
second and third quarters of 2009.  Finally, the average yield on the
Company’s derivative MBS portfolio decreased in the 2010 period over the
comparable period in 2009, representing the bulk of the 355 basis point decline
in yield on average interest earning assets.  The combination of the
smaller portfolio size and reduced asset yield contributed to a decline in
portfolio interest income of approximately $1.78 million compared to the three
months ended March 31, 2010.  The decline in portfolio interest income
more than offset the decline in repurchase agreement interest expense of $0.19
million, which was attributable in part to a 60 basis point decline in the
Company’s average cost of funds.











Interest
expense on the Company’s junior subordinated debt securities was $0.55 million
for the three months ended March 31, 2010, compared to $2.09 million for the
comparable period in the prior year.  During 2009, the Company was
able to extinguish $76.3 million of its $103.1 million in outstanding junior
subordinated notes.





Bimini
Capital had $0.01 million in realized losses (based on security prices from the
previous quarter) from the sales of securities in the MBS portfolio during the
three months ended March 31, 2010, compared to gains of $1.14 million for the
three months ended March 31, 2009. Market value adjustments to the Company’s
investment portfolio resulted in unrealized losses of approximately $1.89
million for the three months ended March 31, 2010 compared to $0.56 million of
unrealized gains for the same period in 2009.  As a result,
(losses)/gains on trading securities were ($1.90) million and $1.69 million, for
the three months ended March 31, 2010, and March 31, 2009,
respectively.  The declines for the 2010 period were predominantly the
result of mark to market adjustments to the Company’s derivative positions,
resulting from the Fannie Mae and Freddie Mac buy-out activity described
above.





For the
three months ended March 31, 2010, Bimini Capital’s general and administrative
costs were approximately $1.25 million, compared to approximately $0.95 million
for the three months ended March 31, 2009.  Compensation and related
benefits were approximately $0.42 million for the three months ended March 31,
2010 representing an increase of approximately $0.1 million from the comparable
period in the prior year.  Audit, legal and professional fees were
$0.56 million for the three months ended March 31, 2010, representing an
increase of approximately $0.17 million. The increase in audit, legal and
professional fees was predominantly associated with legal costs.





For the
three months ended March 31, 2010, (loss)/income from continuing operations was
($2.02) million compared to $1.92 million for the period ended March 31,
2009.  The decline in interest income of $1.78 million and the
increase in general and administrative expenses of $0.32 million negated the
decline in interest expense on the Company’s junior subordinated debt of
approximately $1.54 million.  Results of continuing operations were
further negatively impacted by the $3.59 million reversal of realized and
unrealized gains on trading securities (gains/(losses) on trading securities
were ($1.90) million and $1.69 million, for the three months ended March 31,
2010, and March 31, 2009, respectively).





As of
March 31, 2010, the MBS portfolio consisted of $102.1 million of agency or
government MBS at fair value and had a weighted average coupon on assets of
4.45% and a net weighted average borrowing cost of 0.26%.  The
following tables summarize Bimini Capital’s agency and government mortgage
related securities as of March 31, 2010 and December 31, 2009:





(in
thousands)


Asset
      Category
            
            Fair
              Value
            Percentage
      of
              Entire
              Portfolio
            Weighted
              Average
              Coupon
            Weighted
              Average
              Maturity
      in
              Months
            Longest
              Maturity
            Weighted
              Average
      Coupon
              Reset
      in Months
            Weighted
              Average
              Lifetime
      Cap
            Weighted
              Average
              Periodic
      CapMarch
      31, 2010Adjustable-Rate
      MBS
            $
            13,865
            13.6%
            2.57%
            203
            1-Jan-32
            2.12
            11.66%
            27.38%Fixed-Rate
      MBS
            
            33,973
            33.3%
            5.21%
            198
            1-Oct-37
            n/a
            n/a
            n/aHybrid
      Adjustable-Rate MBS
            
            36,272
            35.4%
            3.85%
            355
            1-Dec-39
            55.03
            8.85%
            2.00%Total
      Mortgage-backed Pass-through
            
            84,110
            82.3%
            4.19%
            263
            1-Dec-39
            40.40
            9.63%
            6.86%Derivative
      MBS
            
            18,050
            17.7%
            5.65%
            247
            15-Aug-38
            n/a
            n/a
            n/aTotal
      Mortgage Assets
            $
            102,160
            100.0%
            4.45%
            263
            1-Dec-39
            40.40
            n/a
            6.86%December
      31, 2009Adjustable-Rate
      MBS
            $
            32,598
            27.2%
            3.75%
            261
            1-Oct-35
            4.87
            11.16%
            10.34%Fixed-Rate
      MBS
            
            5,242
            4.4%
            6.50%
            333
            1-Oct-37
            n/a
            n/a
            n/aHybrid
      Adjustable-Rate MBS
            
            67,036
            56.0%
            4.45%
            338
            1-Dec-39
            40.27
            9.45%
            2.00%Total
      Mortgage-backed Pass-through
            
            104,876
            87.6%
            4.33%
            305
            1-Dec-39
            28.69
            10.01%
            4.40%Derivative
      MBS
            
            14,793
            12.4%
            5.59%
            240
            25-Jan-39
            n/a
            n/a
            n/aTotal
      Mortgage Assets
            $
            119,669
            100.0%
            4.49%
            305
            1-Dec-39
            28.69
            n/a
            4.40%











(in
thousands)


March
      31, 2010
            
            
            December
      31, 2009Agency
            
            Fair
      Value
            
            
            Percentage
      of
              Entire
      Portfolio
            
            
            Fair
      Value
            
            
            Percentage
      of
              Entire
      PortfolioFannie
      Mae
            
            $
            87,037
            
            
            
            85.20
            %
            
            $
            108,775
            
            
            
            90.9
            %Freddie
      Mac
            
            
            15,123
            
            
            
            14.80
            %
            
            
            10,894
            
            
            
            9.1
            %Total
      Portfolio
            
            $
            102,160
            
            
            
            100.00
            %
            
            $
            119,669
            
            
            
            100.0
            %





Entire
      Portfolio
            
            March
      31, 2010
            
            
            December
      31, 2009Weighted
      Average Pass Through Purchase Price
            
            $
            103.66
            
            
            $
            103.13Weighted
      Average Derivative Purchase Price
            
            
            5.11
            
            
            
            4.66Weighted
      Average Pass Through Current Price
            
            $
            104.28
            
            
            $
            103.79Weighted
      Average Derivative Current Price
            
            $
            5.16
            
            
            $
            4.93Effective
      Duration (1)
            
            
            2.643
            
            
            
            1.593





(1)
Effective duration of 2.643 indicates that an interest rate increase of 1.0%
would be expected to cause a 2.643% decline in the value of the MBS in the
Company’s investment portfolio at March 31, 2010.  An effective
duration of 1.593 indicates that an interest rate increase of 1.0% would be
expected to cause a 1.593% decline in the value of the MBS in the Company’s
investment portfolio at December 31, 2009. These figures include the derivative
securities in the portfolio.





Bimini
Capital’s portfolio of pass-through MBS (“PT MBS”) will typically be comprised
of adjustable-rate MBS, fixed-rate MBS and hybrid adjustable-rate MBS. Bimini
Capital seeks to acquire low duration assets that offer high levels of
protection from mortgage prepayments. Although the duration of an individual
asset can change as a result of changes in interest rates, Bimini Capital
strives to maintain a PT MBS portfolio with an effective duration of less than
2.0. The stated contractual final maturity of the mortgage loans underlying
Bimini Capital’s portfolio of PT MBS generally ranges up to 30 years.
However, the effect of prepayments of the underlying mortgage loans tends to
shorten the resulting cash flows from Bimini Capital’s investments
substantially. Prepayments occur for various reasons, including refinancing of
underlying mortgages and loan payoffs in connection with home
sales.





The
duration of Bimini Capital’s IO and IIO portfolio will vary greatly owing to the
structural features of the securities.  While prepayment activity will
always affect the cash flows associated with the securities, the interest only
nature of IO’s may cause their durations to become extremely negative when
prepayments are high, and less negative when prepayments are low. With respect
to IIO’s, prepayments affect their durations in a similar fashion to that of
IO’s, but the floating rate nature of their coupon (which is inversely related
to the level of one month LIBOR) cause their price movements – and model
duration - to be affected by changes in both prepayments and one month LIBOR –
both current and anticipated levels.  As a result, the duration of IIO
securities will also vary greatly.





Prepayments
on the loans underlying Bimini Capital’s MBS can alter the timing of the cash
flows from the underlying loans to the Company. As a result, Bimini Capital
gauges the interest rate sensitivity of its assets by measuring their effective
duration. While modified duration measures the price sensitivity of a bond to
movements in interest rates, effective duration captures both the movement in
interest rates and the fact that cash flows to a mortgage related security are
altered when interest rates move. Accordingly, when the contract interest rate
on a mortgage loan is substantially above prevailing interest rates in the
market, the effective duration of securities collateralized by such loans can be
quite low because of expected prepayments. Although some of the fixed-rate MBS
in Bimini Capital’s portfolio are collateralized by loans with a lower
propensity to prepay when the contract rate is above prevailing rates, their
price movements track securities with like contract rates and therefore exhibit
similar effective duration.





Bimini
Capital faces the risk that the market value of its assets will increase or
decrease at different rates than that of its liabilities, including its hedging
instruments.  Accordingly, the Company assesses its interest rate risk
by estimating the duration of its assets and the duration of its liabilities.
Bimini Capital generally calculates duration using various third party
models.  However, empirical results and different third party models
may produce different duration numbers for the same securities.











The
following sensitivity analysis shows the estimated impact on the fair value of
Bimini Capital's interest rate-sensitive investments as of March 31, 2010,
assuming rates instantaneously fall 100 basis points, rise 100 basis points and
rise 200 basis points:





(in
thousands)


Interest
      Rates Fall 100 BPS
            
            
            Interest
      Rates Rise 100 BPS
            
            
            Interest
      Rates Rise 200 BPSAdjustable
      Rate MBSFair
      Value
            
            $
            13,865Change
      in Fair Value
            
            
            
            
            
            $
            112
            
            
            $
            (112
            )
            
            $
            (224
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            0.81
            %
            
            
            (0.81
            )%
            
            
            (1.62
            )%Fixed
      Rate MBSFair
      Value
            
            $
            33,973Change
      in Fair Value
            
            
            
            
            
            $
            1,199
            
            
            $
            (1,199
            )
            
            $
            (2,398
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            3.53
            %
            
            
            (3.53
            )%
            
            
            (7.06
            )%Hybrid
      Adjustable Rate MBSFair
      Value
            
            $
            36,272Change
      in Fair Value
            
            
            
            
            
            $
            1,118
            
            
            $
            (1,118
            )
            
            $
            (2,237
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            3.08
            %
            
            
            (3.08
            )%
            
            
            (6.17
            )%Derivative
      MBSFair
      Value
            
            $
            18,050Change
      in Fair Value
            
            
            
            
            
            $
            271
            
            
            $
            (271
            )
            
            $
            (541
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            1.50
            %
            
            
            (1.50
            )%
            
            
            (3.00
            )%Portfolio
      TotalFair
      Value
            
            $
            102,160Change
      in fair Value
            
            
            
            
            
            $
            2,700
            
            
            $
            (2,700
            )
            
            $
            (5,400
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            2.64
            %
            
            
            (2.64
            )%
            
            
            (5.29
            )%CashFair
      Value
            
            $
            5,159











The table
below reflects the same analysis presented above but with the figures in the
columns that indicate the estimated impact of a 100 basis point fall or rise
adjusted to reflect the impact of convexity.





(in
thousands)


Interest
      Rates Fall 100 BPS
            
            
            Interest
      Rates Rise 100 BPS
            
            
            Interest
      Rates Rise 200 BPSAdjustable
      Rate MBSFair
      Value
            
            $
            13,865Change
      in Fair Value
            
            
            
            
            
            $
            78
            
            
            $
            (133
            )
            
            $
            (319
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            0.56
            %
            
            
            (0.97
            )%
            
            
            (2.30
            )%Fixed
      Rate MBSFair
      Value
            
            $
            33,973Change
      in Fair Value
            
            
            
            
            
            $
            934
            
            
            $
            (1,335
            )
            
            $
            (2,777
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            2.75
            %
            
            
            (3.93
            )%
            
            
            (8.18
            )%Hybrid
      Adjustable Rate MBSFair
      Value
            
            $
            36,272Change
      in Fair Value
            
            
            
            
            
            $
            503
            
            
            $
            (1,405
            )
            
            $
            (3,093
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            1.39
            %
            
            
            (3.87
            )%
            
            
            (8.53
            )%Derivative
      MBSFair
      Value
            
            $
            18,050Change
      in Fair Value
            
            
            
            
            
            $
            (2,155
            )
            
            $
            928
            
            
            $
            64Change
      as a % of Fair Value
            
            
            
            
            
            
            (11.94
            )%
            
            
            5.14
            %
            
            
            0.35
            %Portfolio
      TotalFair
      Value
            
            $
            102,160Change
      in fair Value
            
            
            
            
            
            $
            (641
            )
            
            $
            (1,946
            )
            
            $
            (6,126
            )Change
      as a % of Fair Value
            
            
            
            
            
            
            (0.63
            )%
            
            
            (1.91
            )%
            
            
            (6.00
            )%CashFair
      Value
            
            $
            5,159





In
addition to changes in interest rates, other factors impact the fair value of
Bimini Capital's interest rate-sensitive investments and hedging instruments,
such as the shape of the yield curve, market expectations as to future interest
rate changes and other market conditions. Accordingly, in the event of changes
in actual interest rates, the change in the fair value of Bimini Capital's
assets would likely differ from that shown above and such difference might be
material and adverse to Bimini Capital's stockholders.











The table
below shows Bimini Capital’s average investments held, total interest income,
yield on average earning assets, average repurchase obligations outstanding,
interest expense, average cost of funds, net interest income and net interest
spread for the quarter ended March 31, 2010, and the twenty-four previous
quarters for Bimini Capital’s portfolio of MBS securities only. The data in the
table below does not include information pertaining to discontinued operations
at OITRS.





RATIOS
FOR THE QUARTERS HAVE BEEN ANNUALIZED


(in
thousands)


Quarter
      Ended
            
            Average
              Investment
              Securities
      Held
            
            
            Total
      Interest Income
            
            
            Quarterly
      Retrospective Adj.
            
            
            Premium
      Lost due to Paydowns
            
            
            Yield
      on Average Interest Earning Assets (1)
            
            
            Average
      Balance of Repurchase Agreements Outstanding
            
            
            Interest
      Expense (2)
            
            
            Average
      Cost of Funds (2)
            
            
            Net
      Interest Income
            
            
            Net
      Interest Spread
            
            
            Trust
      Preferred Interest ExpenseMarch
      31, 2010
            
            $
            110,914
            
            
            
            1,898
            
            
            
            -
            
            
            
            23
            
            
            
            6.76
            %
            
            $
            88,495
            
            
            
            68
            
            
            
            0.31
            %
            
            $
            1,830
            
            
            
            6.45
            %
            
            $
            550December
      31, 2009
            
            
            112,973
            
            
            
            1,784
            
            
            
            -
            
            
            
            1,554
            
            
            
            0.82
            %
            
            
            80,904
            
            
            
            59
            
            
            
            0.29
            %
            
            
            1,725
            
            
            
            0.52
            %
            
            
            617September
      30, 2009
            
            
            100,386
            
            
            
            2,882
            
            
            
            -
            
            
            
            1,787
            
            
            
            4.37
            %
            
            
            65,712
            
            
            
            69
            
            
            
            0.42
            %
            
            
            2,813
            
            
            
            3.95
            %
            
            
            982June
      30, 2009
            
            
            92,949
            
            
            
            2,683
            
            
            
            -
            
            
            
            627
            
            
            
            8.85
            %
            
            
            72,312
            
            
            
            105
            
            
            
            0.58
            %
            
            
            2,578
            
            
            
            8.27
            %
            
            
            1,204March
      31, 2009
            
            
            131,756
            
            
            
            3,674
            
            
            
            -
            
            
            
            277
            
            
            
            10.31
            %
            
            
            111,715
            
            
            
            254
            
            
            
            0.91
            %
            
            
            3,420
            
            
            
            9.41
            %
            
            
            1,933December
      31, 2008
            
            
            199,338
            
            
            
            3,093
            
            
            
            -
            
            
            
            458
            
            
            
            5.29
            %
            
            
            174,701
            
            
            
            1,114
            
            
            
            2.55
            %
            
            
            1,979
            
            
            
            2.74
            %
            
            
            1,933September
      30, 2008
            
            
            375,239
            
            
            
            6,149
            
            
            
            -
            
            
            
            568
            
            
            
            5.95
            %
            
            
            326,577
            
            
            
            4,193
            
            
            
            5.14
            %
            
            
            1,956
            
            
            
            0.81
            %
            
            
            1,933June
      30, 2008
            
            
            519,614
            
            
            
            6,787
            
            
            
            -
            
            
            
            415
            
            
            
            4.91
            %
            
            
            471,732
            
            
            
            5,448
            
            
            
            4.62
            %
            
            
            1,339
            
            
            
            0.29
            %
            
            
            1,933March
      31, 2008
            
            
            602,948
            
            
            
            10,112
            
            
            
            -
            
            
            
            652
            
            
            
            6.28
            %
            
            
            584,597
            
            
            
            7,590
            
            
            
            5.19
            %
            
            
            2,522
            
            
            
            1.08
            %
            
            
            1,933December
      31, 2007
            
            
            972,236
            
            
            
            11,364
            
            
            
            (345
            )
            
            
            -
            
            
            
            4.68
            %
            
            
            944,832
            
            
            
            10,531
            
            
            
            4.46
            %
            
            
            833
            
            
            
            0.22
            %
            
            
            1,933September
      30, 2007
            
            
            1,536,265
            
            
            
            24,634
            
            
            
            (404
            )
            
            
            -
            
            
            
            6.41
            %
            
            
            1,497,409
            
            
            
            20,998
            
            
            
            5.61
            %
            
            
            3,636
            
            
            
            0.81
            %
            
            
            1,933June
      30, 2007
            
            
            2,375,216
            
            
            
            26,970
            
            
            
            (6,182
            )
            
            
            -
            
            
            
            4.54
            %
            
            
            2,322,727
            
            
            
            33,444
            
            
            
            5.76
            %
            
            
            (6,475
            )
            
            
            (1.22
            %)
            
            
            1,933March
      31, 2007
            
            
            2,870,265
            
            
            
            38,634
            
            
            
            1,794
            
            
            
            -
            
            
            
            5.38
            %
            
            
            2,801,901
            
            
            
            37,405
            
            
            
            5.34
            %
            
            
            1,229
            
            
            
            0.04
            %
            
            
            1,933December
      31, 2006
            
            
            2,944,397
            
            
            
            31,841
            
            
            
            (4,013
            )
            
            
            -
            
            
            
            4.33
            %
            
            
            2,869,210
            
            
            
            39,448
            
            
            
            5.50
            %
            
            
            (7,607
            )
            
            
            (1.17
            %)
            
            
            1,933September
      30, 2006
            
            
            3,243,674
            
            
            
            43,051
            
            
            
            3,523
            
            
            
            -
            
            
            
            5.31
            %
            
            
            3,151,813
            
            
            
            42,683
            
            
            
            5.42
            %
            
            
            368
            
            
            
            (0.11
            %)
            
            
            1,933June
      30, 2006
            
            
            3,472,921
            
            
            
            54,811
            
            
            
            13,395
            
            
            
            -
            
            
            
            6.31
            %
            
            
            3,360,421
            
            
            
            41,674
            
            
            
            4.96
            %
            
            
            13,137
            
            
            
            1.35
            %
            
            
            1,933March
      31, 2006
            
            
            3,516,292
            
            
            
            40,512
            
            
            
            1,917
            
            
            
            -
            
            
            
            4.61
            %
            
            
            3,375,777
            
            
            
            36,566
            
            
            
            4.33
            %
            
            
            3,946
            
            
            
            0.28
            %
            
            
            1,933December
      31, 2005
            
            
            3,676,175
            
            
            
            43,140
            
            
            
            3,249
            
            
            
            -
            
            
            
            4.69
            %
            
            
            3,533,486
            
            
            
            35,337
            
            
            
            4.00
            %
            
            
            7,803
            
            
            
            0.69
            %
            
            
            1,858September
      30, 2005
            
            
            3,867,263
            
            
            
            43,574
            
            
            
            4,348
            
            
            
            -
            
            
            
            4.51
            %
            
            
            3,723,603
            
            
            
            32,345
            
            
            
            3.48
            %
            
            
            11,230
            
            
            
            1.03
            %
            
            
            973June 30,
      2005
            
            
            3,587,629
            
            
            
            36,749
            
            
            
            2,413
            
            
            
            -
            
            
            
            4.10
            %
            
            
            3,449,744
            
            
            
            26,080
            
            
            
            3.02
            %
            
            
            10,668
            
            
            
            1.07
            %
            
            
            454March 31,
      2005
            
            
            3,136,142
            
            
            
            31,070
            
            
            
            1,013
            
            
            
            -
            
            
            
            3.96
            %
            
            
            2,976,409
            
            
            
            19,731
            
            
            
            2.65
            %
            
            
            11,339
            
            
            
            1.31
            %
            
            
            -December 31,
      2004
            
            
            2,305,748
            
            
            
            20,463
            
            
            
            1,250
            
            
            
            -
            
            
            
            3.55
            %
            
            
            2,159,891
            
            
            
            10,796
            
            
            
            2.00
            %
            
            
            9,667
            
            
            
            1.55
            %
            
            
            -September 30,
      2004
            
            
            1,573,343
            
            
            
            11,017
            
            
            
            -
            
            
            
            -
            
            
            
            2.80
            %
            
            
            1,504,919
            
            
            
            4,253
            
            
            
            1.13
            %
            
            
            6,764
            
            
            
            1.67
            %
            
            
            -June 30,
      2004
            
            
            1,512,481
            
            
            
            10,959
            
            
            
            -
            
            
            
            -
            
            
            
            2.90
            %
            
            
            1,452,004
            
            
            
            4,344
            
            
            
            1.20
            %
            
            
            6,615
            
            
            
            1.70
            %
            
            
            -March 31,
      2004
            
            
            871,140
            
            
            
            7,194
            
            
            
            -
            
            
            
            -
            
            
            
            3.30
            %
            
            
            815,815
            
            
            
            2,736
            
            
            
            1.34
            %
            
            
            4,458
            
            
            
            1.96
            %
            
            
            -





(1)
            Adjusted
      for premium lost on paydowns


(2)
            Excludes
      Trust Preferred Interest





The net
interest figures in the table above exclude interest associated with the trust
preferred debt, which is reflected in the last column separately. The net
interest income figures reflect the quarterly retrospective adjustment, where
applicable.  As a result of the entire MBS portfolio being classified
as held for trading for the year ended December 31, 2008, there are no longer
quarterly retrospective adjustments.





PERFORMANCE OF DISCONTINUED
OPERATIONS OF OITRS





As stated
above, the Company has sold or discontinued all residential mortgage origination
activities at OITRS.  The principal business activities of OITRS were
the origination and sale of mortgage loans.  In addition, as part of
the securitization of loans sold, OITRS retained an interest in the resulting
residual interest cash flows more fully described below.  Finally,
OITRS serviced the loans securitized as well as some loans sold on a whole loan
basis.  As of March 31, 2010, there are no remaining originated
mortgage servicing rights. Mortgage loans held for sale are immaterial at March
31, 2010 and not likely to result in meaningful income or loss in the
future.  Such assets are also held for sale.











Gains
realized on the OITRS activities for the three months ended March 31, 2010, were
$1.37 million compared to $1.77 million for the three months ended March 31,
2009.  The fair value adjustment of retained interest, trading was
$1.38 million and $1.27 million for the three months ended March 31, 2010 and
2009, respectively.  The retained interests in securitizations
represent residual interests in loans originated or purchased by OITRS prior to
securitization.  The total fair value of these retained interests was
approximately $5.59 million as of March 31, 2010. Fluctuations in value of
retained interests are primarily driven by projections of future interest rates
(the forward LIBOR curve), the discount rate used to determine the present value
of the residual cash flows and prepayment and loss estimates on the underlying
mortgage loans.





The table
below provides details of OITRS’s gain on mortgage banking activities for the
three months ended March 31, 2010 and 2009.  OITRS recognized a gain
or loss on the sale of mortgages held for sale only when the loans were actually
sold.





(in thousands)


Three
      Months Ended March 31,2010
            
            
            2009Fair
      Value adjustment of retained interests, trading
            
            $
            1,384
            
            
            $
            1,274Loss
      on sales of mortgage loans and securities
            
            
            (13
            )
            
            
            (3
            )Change
      in market value of security held for sale
            
            
            -
            
            
            
            465Change
      in market value of mortgage loans held for sale
            
            
            (2
            )
            
            
            29Gain
      on mortgage banking activities
            
            $
            1,369
            
            
            $
            1,765





General
and administrative expenses of OITRS for the three months ended March 31, 2010
were $0.40 million compared to $1.00 million for the three months ended March
31, 2009.





Liquidity
and Capital Resources





Our
principal sources of cash generally consist of borrowings under repurchase
agreements, payments of principal and interest we receive on our MBS portfolio,
and cash flows received by OITRS from the residual interests and the collection
of prior servicing advances that are used to repay intercompany
debt.  Our principal uses of cash are the repayment of principal and
interest on our repurchase agreements, purchases of MBS, funding our operations
and, to the extent dividends are declared, making dividend payments on our
capital stock.





As of
March 31, 2010, Bimini Capital had repurchase agreements in place with three
counterparties and funding in place with one of those
counterparties.  The counterparty to this agreement is not an
affiliate of Bimini Capital. The agreement is secured by Bimini Capital’s MBS
and bears interest rates that are based on a spread to LIBOR.





As of
March 31, 2010, Bimini Capital had an obligation outstanding under the
repurchase agreement of approximately $76.7 million with a net weighted average
borrowing cost of 0.26%. Bimini Capital’s outstanding repurchase agreement
obligation has a weighted average maturity of 59 days.  Securing the
repurchase agreement obligation as of March 31, 2010, are MBS with an estimated
fair value, including accrued interest, of $80.0 million and a weighted average
maturity of 272 months.





As of
March 31, 2010, Bimini Capital had amounts at risk greater than 10% of the
equity of the Company with the following counterparty:





(in
thousands)


Repurchase
      Agreement Counterparties
            
            Amount
              at
      Risk(1)
            
            
            Weighted
      Average Maturity of Repurchase Agreements in DaysMF
      Global, Inc.
            
            $
            2,758
            
            
            
            59





(1)
            Equal
      to the fair value of securities sold, plus accrued interest income, minus
      the sum of repurchase agreement liabilities, plus accrued interest
      expense.











Bimini
Capital’s master repurchase agreements have no stated expiration, but can be
terminated at any time at Bimini Capital’s option or at the option of the
counterparty. However, once a definitive repurchase agreement under a master
repurchase agreement has been entered into, it generally may not be terminated
by either party.  A negotiated termination can occur, but may involve
a fee to be paid by the party seeking to terminate the repurchase agreement
transaction.





As
discussed above, increases in short-term interest rates could negatively impact
the valuation of Bimini Capital’s PT MBS portfolio.  Should this
occur, Bimini Capital’s repurchase agreement counterparties could initiate
margin calls, thus inhibiting liquidity or forcing the sale of
assets.





As a
result of losses incurred during and shortly after the period when the Company
operated its mortgage loan origination business, the Company was forced to
materially downsize its operations and was left with a depleted capital
base.  This period covered the years 2006, 2007 and 2008. One
consequence of this development was the Company had progressively less access to
funding via repurchase agreements and from fewer counterparties.  The
Company therefore opted to augment its existing leveraged MBS portfolio with
alternative sources of income.  The Company developed an alternative
investment strategy utilizing derivative mortgage-backed securities
collateralized by MBS with comparable borrower and prepayment characteristics to
the securities currently in the portfolio.  Such securities are not
funded in the repurchase market but instead are purchased directly, thus
reducing – but not eliminating - the Company’s reliance on access to repurchase
agreement funding.  The leverage inherent in the securities replaces
the leverage obtained by acquiring pass-through securities and funding them in
the repurchase market.  As described above, this strategy is now a
core element of the Company’s investment strategy.





In
addition, in October 2005, Bimini Capital completed a private offering of an
additional $51.5 million of trust preferred securities of Bimini Capital Trust
II (“BCTII”) resulting in the issuance by Bimini Capital of an additional $51.5
million of junior subordinated notes. On October 21, 2009, the Company purchased
$24 million of trust preferred capital securities issued by BCT II. The total
cost for the transaction, including fees was approximately $14.5 million. 
The Company cancelled the trust preferred capital securities and the $24.74
million of its junior subordinated notes issued to BCT II.  As of
March 31, 2010, $26.8 million of the trust preferred securities of BCT II remain
outstanding.





Bimini
Capital attempts to ensure that the income generated from available investment
opportunities, when the use of leverage is employed for the purchase of assets,
exceeds the cost of its borrowings. However, the issuance of debt at a fixed
rate for any long-term period, considering the use of leverage, could create an
interest rate mismatch if Bimini Capital is not able to invest at yields that
exceed the interest rates of the Company’s junior subordinated notes and other
borrowings.





Outlook





During
2009, the Company executed two transactions whereby $74 million of its $100
million trust preferred debt was extinguished early.  As a result, the
Company’s balance sheet is substantially less leveraged and the associated
interest charges have been reduced accordingly.  The repurchase
agreement funding markets, while still not functioning as before the financial
crisis, have returned to a level of functionality so that most firms managing
levered agency PT MBS portfolios have adequate access to funding. However,
Bimini Capital, owing to its small portfolio and limited profitable operating
history, still has limited access to repurchase agreement
funding.  While the Company’s funding sources are limited, the funding
it does obtain is at extremely low levels.  Further, the Company has
been able to offset the limited access to funding with its alternative
investment strategy.  The combination of the low funding levels and
the alternative investment strategy has enabled the Company to generate the
largest Net Interest Margin (“NIM”), in percentage terms, in its brief operating
history.





Nonetheless,
the reduced size of the portfolio in relation to the Company’s operating
expenses will constrain the earnings potential of the Company in the near
term.  Given the limited access to funding and the reduced size of its
portfolio, even with the benefit of the alternative investment strategy, no
assurance can be made of the Company’s ability to generate sufficient net
interest income to cover all of its costs.  The Company’s ability to
generate sufficient net interest income to cover its costs will also be impacted
by funding costs, which in turn will depend on how long funding rates will
remain at current levels.











Critical
Accounting Policies





The
Company’s financial statements are prepared in accordance with U.S. generally
accepted accounting principles (“GAAP”). The Company’s significant accounting
policies are described in Note1 to the Company’s
accompanying Consolidated Financial Statements.





GAAP
requires the Company’s management to make some complex and subjective decisions
and assessments. The Company’s most critical accounting policies involve
decisions and assessments which could significantly affect reported assets and
liabilities, as well as reported revenues and expenses. The Company believes
that all of the decisions and assessments upon which its financial statements
are based were reasonable at the time made based upon information available to
it at that time. Management has identified its most critical accounting policies
to be the following:





MORTGAGE-BACKED
SECURITIES





The
Company’s investments in MBS are classified as held for
trading.  Changes in fair value of securities held for trading are
recorded through the statement of operations. The Company’s MBS have fair values
determined by management based on the average of third-party broker quotes
received and/or by independent pricing sources when available. Because the price
estimates may vary to some degree between sources, management must make certain
judgments and assumptions about the appropriate price to use to calculate the
fair values for financial reporting purposes. Alternatively, management could
opt to have the value of all of its positions in MBS determined by either an
independent third-party pricing source or do so internally based on management’s
own estimates. Management believes pricing on the basis of third-party broker
quotes is the most consistent with the definition of fair value described in
Financial Accounting Standards Board (“FASB”) Accounting Standards Codification
(“ASC”) 820, Fair Value Measurements and Disclosures.





REPURCHASE
AGREEMENTS





The
Company finances the acquisition of PT MBS through the use of repurchase
agreements. Repurchase agreements are treated as collateralized financing
transactions and are carried at their contractual amounts, including accrued
interest, as specified in the respective agreements.





INCOME
RECOGNITION




All
securities are either MBS pass-through securities, interest only securities or
inverse interest only securities. Income on MBS pass-through securities is based
on the stated interest rate of the security. Premium or discount present at the
date of purchase is not amortized. For inverse interest only and interest only
securities classified as held for trading, the income is accrued based on the
carrying value and the effective yield. As cash is received it is first applied
to accrued interest and then to reduce the carrying value. At each reporting
date, the effective yield is adjusted prospectively from the reporting period
based on the new estimate of prepayments. The new effective yield is calculated
based on the carrying value at the end of the previous reporting period, the new
prepayment estimates and the contractual terms of the
security.  Changes in fair value during the period are recorded in
earnings and reported as fair value adjustment-held for trading securities in
the accompanying consolidated statement of operations.





INCOME
TAXES





Bimini
Capital has elected to be taxed as a REIT under the Code. As further described
below, Bimini Capital’s subsidiary, OITRS a taxpaying entity for income tax
purposes and is taxed separately from Bimini Capital. Bimini Capital will
generally not be subject to federal income tax on its REIT taxable income to the
extent that Bimini Capital distributes its REIT taxable income to its
stockholders and satisfies the ongoing REIT requirements, including meeting
certain asset, income and stock ownership tests. A REIT must generally
distribute at least 90% of its REIT taxable income to its stockholders, of which
85% generally must be distributed within the taxable year, in order to avoid the
imposition of an excise tax. The remaining balance may be distributed up to the
end of the following taxable year, provided the REIT elects to treat such amount
as a prior year distribution and meets certain other requirements.











OITRS and
its activities are subject to corporate income taxes and the applicable
provisions of FASB ASC 740,Income Taxes. All of the consequences of OITRS’s income tax accounting
are included in discontinued operations.  Deferred tax assets and
liabilities are recognized for the future tax consequences attributable to
differences between the financial statement carrying amounts of existing assets
and liabilities and their respective tax basis. In assessing the realizability
of deferred tax assets, management considers whether it is more likely than not
that some portion or all of the deferred tax assets will not be realized. To the
extent management believes deferred tax assets will not be fully realized in
future periods, a provision is recorded so as to reflect the net portion, if
any, of the deferred tax asset management expects to realize.





Off-Balance
Sheet Arrangements





As
discussed above, OITRS previously pooled loans that it had originated or
purchased and then sold them or securitized them to obtain long-term financing
for its assets. Securitized loans were transferred to a trust where they served
as collateral for asset-backed bonds, which the trust primarily issued to the
public. OITRS held approximately $5.6 million of retained interests from
securitizations as of March 31, 2010.  In addition, OITRS retained the
servicing related to the loans sold or securitized.  While such
servicing has since been sold and or surrendered, advances made prior to such
transactions continued to be collected as the underlying properties are
liquidated.





The cash
flows associated with OITRS’s securitization activities over the three months
ended March 31, 2010 and 2009, were as follows:








(in
thousands)


Three
      months Ended March 31,2010
            
            
            2009Net
      servicing fees (paid) received
            
            $
            (2
            )
            
            $
            (1
            )Servicing
      advances and repayments
            
            
            1,140
            
            
            
            4,346Cash
      flows received on retained interests
            
            
            1,728
            
            
            
            2,321














ITEM
3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK.





Not
Applicable.








ITEM
4T.  CONTROLS AND PROCEDURES.





Evaluation
of Disclosure Controls and Procedures





The
Company maintains disclosure controls and procedures that are designed to ensure
that information required to be disclosed in the Company’s reports under the
Securities Exchange Act of 1934, as amended, is recorded, processed, summarized
and reported within the time periods specified in the Securities and Exchange
Commission’s rules and forms and that such information is accumulated and
communicated to the Company’s management, including its Chief Executive Officer
and Chief Financial Officer, as appropriate, to allow timely decisions regarding
required disclosure.  In designing and evaluating the disclosure controls
and procedures, management recognized that any controls and procedures, no
matter how well designed and operated, can provide only reasonable assurance of
achieving the desired control objectives and management necessarily was required
to apply its judgment in evaluating the cost-benefit relationship of possible
controls and procedures.





As of the
end of the period covered by this report, the Company’s management carried out
an evaluation, under the supervision and with the participation of the Company’s
Chief Executive Officer and Chief Financial Officer, of the effectiveness of the
design and operation of the Company’s disclosure controls and procedures. 
Based on such evaluation, the Company’s Chief Executive Officer and Chief
Financial Officer concluded that the Company’s disclosure controls and
procedures were effective.





Changes
in Internal Controls over Financial Reporting





There was
no change in the Company’s internal control over financial reporting that
occurred during the Company’s most recent fiscal quarter that has materially
affected, or is reasonably likely to materially affect, the Company’s internal
control over financial reporting.














PART
II. OTHER INFORMATION





ITEM
1.  LEGAL PROCEEDINGS.





We are
involved in various lawsuits and claims, both actual and potential, including
some that we have asserted against others, in which monetary and other damages
are sought. Except as described below, these lawsuits and claims relate
primarily to contractual disputes arising out of the ordinary course of our
business. The outcome of such lawsuits and claims is inherently unpredictable.
However, we believe that, in the aggregate, the outcome of all lawsuits and
claims involving us will not have a material effect on our consolidated
financial position or liquidity; however, any such outcome may be material to
the results of operations of any particular quarterly reporting period in which
costs, if any, are recognized. See also Notes8 and 11(e) to our
accompanying consolidated financial statements.





On June
14, 2007, a complaint was filed in the Circuit Court of the Twelfth Judicial
District in and for Manatee County, Florida by Coast Bank of Florida against
OITRS seeking monetary damages and specific performance and alleging breach of
contract for allegedly failing to repurchase approximately fifty
loans.   A mediation hearing was held on February 23,
2010.  The parties have agreed to continue mediation talks but have
yet to reach a settlement.   In the event a settlement is not
reached, the Company believes the plaintiff’s claims are without merit and it
will continue to defend the complaint vigorously.





On
September 17, 2007, a complaint was filed in the U.S. District Court for the
Southern District of Florida by William Kornfeld against Bimini Capital, certain
of its current and former officers and directors, Flagstone Securities, LLC and
BB&T Capital Markets alleging various violations of the federal securities
laws and seeking class action certification.  On October 9, 2007, a
complaint was filed in the U.S. District Court for the Southern District of
Florida by Richard and Linda Coy against the Company, certain of its current and
former officers and directors, Flagstone Securities, LLC and BB&T Capital
Markets alleging various violations of the federal securities laws and seeking
class action certification.  The cases have been consolidated, class
certification has been granted, and lead plaintiffs’ counsel has been
appointed.  The Company filed a motion to dismiss the case on December 22,
2008, and plaintiffs have filed a response in opposition.  On September 30,
2009, the court granted a partial motion to dismiss and gave plaintiffs
until October 12, 2009 to file an amended complaint.  The partial dismissal
released defendants Flagstone Securities, LLC, BB&T Capital Markets, Bimini
Capital’s former outside directors and certain officers, as well as certain
charges contained in the original complaint.  Plaintiffs filed an amended
complaint on October 12, 2009 and on October 23, 2009 Bimini Capital filed an
answer and affirmative defenses to the amended complaint. At a mediation held on
February 12, 2010, the parties reached a tentative settlement of this matter for
$2.35 million. As of December 31, 2009, the Company had accrued approximately
$0.5 million related to the settlement.  This amount represented the
remainder of the $1.0 million retention that the Company was required to pay
under the terms of its Directors and Officers insurance policy. As of April
30, 2010, approximately $0.4 million of the accrual remains. The remainder of
the settlement and legal fees and costs associated with finalizing the
settlement will be paid by the insurance carrier.  The settlement is
contingent upon the parties' executing a written stipulation of settlement,
presenting the settlement to the Court for preliminary approval, providing
notice to the Class and an opportunity to opt out of the settlement,  and
receiving final approval from the Court at a final fairness hearing.  This
process is expected to be completed during the current year.  Bimini
Capital made no admission of liability in connection with the settlement. 
If the settlement is not finalized, the class action would continue.  While
Bimini Capital expects that this settlement will be finalized and approved by
the Court, there is no guarantee that the settlement will be finalized. 
The failure to finalize the settlement could have a material adverse impact
on the Bimini Capital.





A
complaint was filed on December 23, 2009 in the Southern District of New York
against Bimini Capital, the Bank of New York Mellon ("BNYM"), and Hexagon
Securities, LLC ("Hexagon"). It alleges that plaintiff, a note-holder in
Preferred Term Securities XX ("PreTSL XX"), suffered losses as a result of
Bimini Capital’s repurchase of all outstanding fixed/floating rate capital
securities of Bimini Capital Trust II for less than par value from PreTSL XX in
December 2009. Plaintiff alleged breach of the indenture and breach of
fiduciary duties by BNYM, and tortuous interference with contract and
aiding and abetting breach of fiduciary duty by Bimini Capital and Hexagon.
Plaintiff also purported to allege derivative claims brought on behalf of
Nominal Defendant PreTSL XX.  On February 22, 2010, plaintiff filed an
amended complaint, adding derivative claims on behalf of BNYM as trustee, in
addition to the prior derivative claims asserted on behalf of PreTSL
XX.  Plaintiff has also added a claim for "unjust enrichment" against
Bimini Capital and Hexagon.  On March 26, 2010, all Defendants moved
to dismiss each count of Plaintiff's amended complaint. Bimini Capital
denies that the repurchase was improper and intends to defend the suit
vigorously.











ITEM
1A.  RISK FACTORS.





In
addition to the other information set forth in this report, you should carefully
consider the factors discussed in Part I, "Item 1A. Risk Factors" in our Annual
Report on Form 10-K for the year ended December 31, 2009, which could materially
affect our business, financial condition or future results. The materialization
of any risks and uncertainties identified in our forward looking
statements  contained in this report together with those previously
disclosed in the Form 10-K or those that are presently unforeseen could result
in significant adverse  effects on
our  financial  condition,  results
of  operations  and cash flows.





ITEM
2.  UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF
PROCEEDS.





UNREGISTERED
SALES OF EQUITY SECURITIES





As of
March 31, 2010, the Company issued 22,461 and 8,413 shares of Class A Common
Stock to Robert J. Dwyer and Frank E. Jaumot, respectively, in consideration for
their service on the Company’s Board of Directors and on certain committees of
the Board of Directors.  The shares were issued pursuant to the
exemption from registration under the Securities Act of 1933, as amended,
contained in Section 4(2) thereof.





ISSUER
PURCHASES OF EQUITY SECURITIES





Except as
described below, the Company has not repurchased any shares of its equity
securities during 2010.  The following table shows shares of common
stock deemed to have been repurchased in connection with the withholding of a
portion of shares of Class A Common Stock to cover federal withholding taxes on
share dividends paid to employees on unvested phantom shares for each calendar
month during the quarter ended March 31, 2010.





Calendar
      Month
            
            Total
      Number of Shares Purchased
            
            
            Average
      Price Paid per Share
            
            
            Total
      Number of Shares Purchased as Part of Publicly Announced Plans or
      Programs
            
            
            Maximum
      Amount That May Yet Be Purchased Under the Plans or
    ProgramsJanuary
      2010
            
            
            90,059
            
            
            $
            2.30
            
            
            
            -
            
            
            
            -February
      2010
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            -March
      2010
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            -Total
            
            
            90,059
            
            
            $
            2.30
            
            
            
            -
            
            
            
            -

















ITEM
6.                        EXHIBITS.





Exhibit
No.





3.1
            Articles
      of Amendment and Restatement, incorporated by reference to Exhibit 3.1 to
      the Company’s Form S-11/A, filed with the SEC on April 29,
      20043.2
            Articles
      Supplementary, incorporated by reference to Exhibit 3.1 to the Company’s
      Current Report on Form 8-K, dated November 3, 2005, filed with the SEC on
      November 8, 20053.3
            Articles
      of Amendment, incorporated by reference to Exhibit 3.1 to the Company’s
      Current Report on Form 8-K, dated February 10, 2006, filed with the SEC on
      February 15, 20063.4
            Articles
      of Amendment, incorporated by reference to Exhibit 3.1 to the Company’s
      Current Report on Form 8-K, dated September 24, 2007, filed with the SEC
      on September 24, 20073.5
            Certificate
      of Notice, incorporated by reference to Exhibit 3.1 to the Company’s
      Current Report on Form 8-K, dated January 28, 2008, filed with the SEC on
      February 1, 20083.6
            Articles
      of Amendment, incorporated by reference to Exhibit 10.3 to the Company’s
      Current Report on Form 8-K, dated May 27, 2008, filed with the SEC on May
      29, 20083.7
            Amended
      and Restated Bylaws, incorporated by reference to Exhibit 3.2 to the
      Company’s Current Report on Form 8-K, dated September 24, 2007, filed with
      the SEC on September 24, 2007†10.1
            Bimini
      Capital Management, Inc. 2003 Long Term Incentive Compensation Plan, as
      amended September 28, 2007, incorporated by reference to Exhibit 10.3 to
      the Company’s Quarterly Report on Form 10-Q for the period ended September
      30, 2007, filed with the SEC on November 8, 2007†10.2
            Bimini
      Capital Management, Inc. 2004 Performance Bonus Plan, as amended September
      28, 2007, incorporated by reference to Exhibit 10.4 to the Company’s
      Quarterly Report on Form 10-Q for the period ended September 30, 2007,
      filed with the SEC on November 8, 2007†10.3
            Form
      of Phantom Share Award Agreement incorporated by reference to Exhibit 10.5
      to the Company’s Quarterly Report on Form 10-Q for the period ended
      September 30, 2007, filed with the SEC on November 8,
  2007†10.4
            Form
      of Restricted Stock Award Agreement incorporated by reference to Exhibit
      10.6 to the Company’s Quarterly Report on Form 10-Q for the period ended
      September 30, 2007, filed with the SEC on November 8,
  2007†10.5
            Separation
      Agreement and General Release, dated as of June 29, 2007, by and among
      Opteum Inc., Opteum Financial Services, LLC and Peter R. Norden,
      incorporated by reference to Exhibit 10.2 to the Company’s Current Report
      on Form 8-K, dated June 30, 2007, filed with the SEC on July 5,
      2007†10.6
            Separation
      Agreement and General Release by and between Bimini Capital
      Management, Inc. and Jeffrey J. Zimmer, incorporated by reference to
      Exhibit 10.1 to the Company’s Current Report on Form 8-K, dated April 14,
      2008, filed with the SEC on April 16, 2008†10.7
            Retention
      and Severance Agreement between Bimini Capital Management, Inc. and
      G. Hunter Haas, IV, incorporated by reference to Exhibit 10.1 to the
      Company’s Current Report on Form 8-K, dated April 18, 2008, filed with the
      SEC on April 18, 2008†10.8
            Retention
      and Severance Agreement between Bimini Capital Management, Inc. and
      J. Christopher Clifton, incorporated by reference to Exhibit 10.2 to the
      Company’s Current Report on Form 8-K, dated April 18, 2008, filed with the
      SEC on April 18, 2008†10.9
            Employment
      Agreement dated as of April 27, 2006, by and between Opteum Inc. and J.
      Christopher Clifton, incorporated by reference to Exhibit 10.9 to the
      Company’s Quarterly Report on Form 10-Q, dated August 11, 2008, filed with
      the SEC on August 11, 2008†10.10
            Agreement
      dated as of June 30, 2009, by and between Bimini Capital Management, Inc.
      and Robert E. Cauley, incorporated by reference to Exhibit 99.1 to the
      Company’s Current Report on Form 8-K, dated June 30, 2009, filed with the
      SEC on July 2, 2009†10.11
            Agreement
      dated as of June 30, 2009, by and between Bimini Capital Management, Inc.
      and G. Hunter Haas, incorporated by reference to Exhibit 99.2 to the
      Company’s Current Report on Form 8-K, dated June 30, 2009, filed with the
      SEC on July 2, 200910.12
            Voting
      Agreement, among certain stockholders of Bimini Mortgage Management, Inc.,
      Jeffrey J. Zimmer, Robert E. Cauley, Amber K. Luedke, George H. Haas, IV,
      Kevin L. Bespolka, Maureen A. Hendricks, W. Christopher Mortenson, Buford
      H. Ortale, Peter Norden, certain of Mr. Norden’s affiliates, Jason Kaplan,
      certain of Mr. Kaplan’s affiliates and other former owners of Opteum
      Financial Services, LLC, incorporated by reference to Exhibit 99(D) to the
      Schedule 13D, dated November 3, 2005, filed with the SEC on November 14,
      200510.13
            Membership
      Interest Purchase, Option and Investor Rights Agreement among Opteum Inc.,
      Opteum Financial Services, LLC and Citigroup Global Markets Realty Corp.
      dated as of December 21, 2006, incorporated by reference to Exhibit 10.1
      to the Company’s Current Report on Form 8-K, dated December 21, 2006,
      filed with the SEC on December 21, 200610.14
            Seventh
      Amended and Restated Limited Liability Company Agreement of Orchid Island
      TRS, LLC, dated as of July 20, 2007, made and entered into by Opteum Inc.
      and Citigroup Global Markets Realty Corp., incorporated by reference to
      Exhibit 10.12 to the Company’s Quarterly Report on Form 10-Q for the
      period ended June 30, 2007, filed with the SEC on August 14,
      200710.15
            Asset
      Purchase Agreement, dated May 7, 2007, by and among Opteum Financial
      Services, LLC, Opteum Inc. and Prospect Mortgage Company, LLC,
      incorporated by reference to Exhibit 10.1 to the Company’s Current Report
      on Form 8-K, dated May 7, 2007, filed with the SEC on May 7,
      200710.16
            First
      Amendment to Purchase Agreement, dated June 30, 2007, by and among
      Metrocities Mortgage, LLC – Opteum Division, Opteum Financial Services,
      LLC and Opteum Inc., incorporated by reference to Exhibit 10.1 to the
      Company’s Current Report on Form 8-K, dated June 30, 2007, filed with the
      SEC on July 5, 200710.17
            Membership
      Interest Purchase Agreement, dated May 27, 2008, by and among Bimini
      Capital Management, Inc., Orchid Island TRS, LLC and Citigroup Global
      Markets Realty Corp., incorporated by reference to Exhibit 10.1 to the
      Company’s Current Report on Form 8-K, dated May 27, 2008, filed with the
      SEC on May 29, 200810.18
            Eighth
      Amended and Restated Limited Liability Company of Orchid Island TRS, LLC,
      dated as of May 27, 2008, incorporated by reference to Exhibit 10.2 to the
      Company’s Current Report on Form 8-K, dated May 27, 2008, filed with the
      SEC on May 29, 200810.19
            Amended
      and Restated Junior Subordinated Indenture, dated as of September 26,
      2005, between the Company and JPMorgan Chase Bank, National Association,
      as trustee.10.20
            Second
      Amended and Restated Trust Agreement, dated as of September 26, 2005,
      among the Company, as depositor, JPMorgan Chase Bank, National
      Association, as property trustee, Chase Bank USA, National Association, as
      Delaware trustee and the Administrative Trustees named
      therein.10.21
            Indenture,
      dated as of October 5, 2005, between the Company and Wilmington Trust
      Company, as debenture trustee.10.22
            Amended
      and Restated Declaration of Trust, dated as of October 5, 2005, by and
      among Wilmington Trust Company, as Delaware trustee, Wilmington Trust
      Company, as institutional trustee, the Company, as sponsor, and Jeffrey J.
      Zimmer, Robert E. Cauley and Amber K. Luedke, as
      administrators.*31.1
            Certification
      of the Principal Executive Officer, pursuant to Rule 13a-14(a) or
      15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant to
      Section 302 of the Sarbanes-Oxley Act of 2002*31.2
            Certification
      of the Principal Financial Officer, pursuant to Rule 13a-14(a) or
      15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant to
      Section 302 of the Sarbanes-Oxley Act of 2002*32.1
            Certification
      of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350,
      as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
      2002*32.2
            Certification
      of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350,
      as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
      2002*
      Filed herewith.
              † Management
      compensatory plan or arrangement required to be filed by Item 601 of
      Regulation S-K.























Signatures
 
 Pursuant
to the requirements of Section 13 or 15(d) of the Securities Exchange Act of
1934, as amended, the registrant has duly caused this report to be signed on its
behalf by the undersigned, thereunto duly authorized.
 
 BIMINI
CAPITAL MANAGEMENT, INC.
 
 
 Date:                      May
      7, 2010
              
              By:
              /s/ Robert E. CauleyRobert
      E. Cauley
                Chairman
      and Chief Executive Officer
 
 
 
 Date:                      May
      7, 2010
              
              By:
              /s/ G. Hunter HaasG.
      Hunter Haas IV
                President,
      Chief Financial Officer, Chief Investment Officer and Treasurer (Principal
      Financial Officer and Principal Accounting
  Officer)