10-Q - BMNM - Equibles

bmnm10q20220930p1i0

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM

10-Q

☑

QUARTERLY

REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended

September 30, 2022

☐

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)

Securities registered pursuant to Section 12(b) of the Act: None.

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

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

☐

Indicate by check

mark whether the registrant

has submitted electronically every

Interactive Data File required

to be submitted pursuant

to Rule 405

of Regulation S-T (§232.405 of this chapter) during the preceding 12

months (or for such shorter period that the registrant was

required to submit such

files).

Yes

☐

Indicate by check mark whether the registrant is

a large accelerated filer,

an accelerated filer, a non-accelerated filer,

a smaller reporting company,

an emerging growth company. See the definitions of "large accelerated filer,"

"accelerated filer", "smaller reporting company", and "emerging growth

company" in Rule 12b-2 of the Exchange Act. Check one:

Large accelerated filer

☐

Accelerated filer

☐

Non-accelerated filer

☐

(Do not check if a smaller reporting company)

Smaller reporting company

☒

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any

new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).

Yes

☐

Indicate the number of shares outstanding of each of the Registrant’s classes of common stock, as of the latest practicable date:

Title of each Class

Latest Practicable Date

Shares Outstanding

Class A Common Stock, $0.001 par value

November 14, 2022

10,246,809

Class B Common Stock, $0.001 par value

November 14, 2022

31,938

Class C Common Stock, $0.001 par value

November 14, 2022

31,938

BIMINI CAPITAL MANAGEMENT, INC.

TABLE OF CONTENTS

Page

PART I. FINANCIAL

INFORMATION

ITEM 1. Financial

Statements

Condensed

Consolidated

Balance Sheets

(unaudited)

Condensed

Consolidated

Statements

of Operations

(unaudited)

Condensed

Consolidated

Statement

of Stockholders’

Equity (unaudited)

Condensed

Consolidated

Statements

of Cash Flows

(unaudited)

Notes to

Condensed

Consolidated

Financial

Statements

(unaudited)

ITEM 2. Management’s

Discussion

and Analysis

of Financial

Condition

and Results

of Operations

ITEM 3. Quantitative

and Qualitative

Disclosures

About Market

Risk

ITEM 4. Controls

and Procedures

PART II. OTHER INFORMATION

ITEM 1. Legal

Proceedings

ITEM 1A.

Risk Factors

ITEM 2. Unregistered

Sales of Equity

Securities

and Use of

Proceeds

ITEM 3. Defaults

Upon Senior

Securities

ITEM 4. Mine

Safety Disclosures

ITEM 5. Other

Information

ITEM 6. Exhibits

SIGNATURES

PART I. FINANCIAL

INFORMATION

ITEM 1. FINANCIAL STATEMENTS

BIMINI CAPITAL MANAGEMENT,

INC.

CONDENSED CONSOLIDATED

BALANCE SHEETS

(Unaudited)

September 30, 2022

December 31, 2021

ASSETS:

Mortgage-backed securities, at fair value:

Pledged to counterparties

44,078,712

60,788,129

Unpledged

190,815

15,015

Total mortgage

-backed securities

44,269,527

60,803,144

Cash and cash equivalents

5,861,597

8,421,410

Restricted cash

1,537,500

1,391,000

Orchid Island Capital, Inc. common stock, at fair value

4,256,384

11,679,107

Accrued interest receivable

200,104

229,942

Property and equipment, net

2,016,436

2,024,190

Deferred tax assets

36,607,388

35,036,312

Due from affiliates

1,075,189

1,062,155

Other assets

1,045,417

1,437,381

Total Assets

96,869,542

122,084,641

LIABILITIES AND STOCKHOLDERS' EQUITY

LIABILITIES:

Repurchase agreements

43,493,999

58,877,999

Long-term debt

27,422,050

27,438,976

Accrued interest payable

134,738

55,610

Other liabilities

1,470,900

2,712,206

Total Liabilities

72,521,687

89,084,791

COMMITMENTS AND CONTINGENCIES (Note 9)

STOCKHOLDERS' EQUITY:

Preferred stock, $

0.001

par value;

10,000,000

shares authorized;

100,000

designated Series A Junior Preferred Stock,

9,900,000

shares undesignated;

no shares issued and outstanding as of September 30, 2022 and December

31, 2021

Class A Common stock, $

0.001

par value;

98,000,000

shares designated:

10,246,809

and

10,702,194

shares issued and outstanding as of September 30, 2022

and December 31, 2021, respectively.

10,247

10,702

Class B Common stock, $

0.001

par value;

1,000,000

shares designated,

31,938

issued and outstanding as of September 30, 2022 and December 31, 2021

Class C Common stock, $

0.001

par value;

1,000,000

shares designated,

31,938

issued and outstanding as of September 30, 2022 and December 31, 2021

Additional paid-in capital

330,068,058

330,880,252

Accumulated deficit

(305,730,514)

(297,891,168)

Stockholders’ Equity

24,347,855

32,999,850

Total Liabilities

and Stockholders' Equity

96,869,542

122,084,641

See Notes to Condensed Consolidated Financial Statements

BIMINI CAPITAL MANAGEMENT,

INC.

CONDENSED CONSOLIDATED

STATEMENTS

OF OPERATIONS

(Unaudited)

For the Nine and Three Months Ended September 30, 2022 and 2021

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

2022

2021

Revenues:

Advisory services

9,719,703

6,757,799

3,311,962

2,546,578

Interest income

1,328,264

1,726,268

444,808

537,200

Dividend income from Orchid Island Capital, Inc. common stock

1,035,547

1,518,284

282,893

506,095

Total revenues

12,083,514

10,002,351

4,039,663

3,589,873

Interest expense

Repurchase agreements

(313,843)

(94,926)

(209,928)

(23,729)

Long-term debt

(938,557)

(747,577)

(378,752)

(248,465)

Net revenues

10,831,114

9,159,848

3,450,983

3,317,679

Other income (expense):

Unrealized losses on mortgage-backed securities

(6,605,850)

(2,221,521)

(2,572,296)

(323,659)

Realized (losses) gains on mortgage-backed securities

(858,001)

69,498

Unrealized losses on Orchid Island Capital, Inc. common stock

(7,422,723)

(856,468)

(3,140,383)

(778,607)

Gains (losses) on derivative instruments

794,500

(280)

844,188

(147)

Gains on retained interests in securitizations

65,928

Other income

268

154,122

149

Total other expense

(14,025,878)

(2,854,649)

(4,802,482)

(1,032,766)

Expenses:

Compensation and related benefits

3,835,763

3,219,685

1,230,113

1,029,465

Directors' fees and liability insurance

587,566

568,087

194,519

190,453

Audit, legal and other professional fees

370,323

405,828

103,090

133,925

Administrative and other expenses

1,422,006

939,966

549,585

298,719

Total expenses

6,215,658

5,133,566

2,077,307

1,652,562

Net (loss) income before income tax (benefit) provision

(9,410,422)

1,171,633

(3,428,806)

632,351

Income tax (benefit) provision

(1,571,076)

336,389

(255,618)

167,751

Net (loss) income

(7,839,346)

835,244

(3,173,188)

464,600

Basic and Diluted Net (loss) income Per Share of:

CLASS A COMMON STOCK

Basic and Diluted

(0.75)

0.07

(0.31)

0.04

CLASS B COMMON STOCK

Basic and Diluted

(0.75)

0.07

(0.31)

0.04

Weighted Average Shares Outstanding:

CLASS A COMMON STOCK

Basic and Diluted

10,467,091

11,358,346

10,288,785

10,866,087

CLASS B COMMON STOCK

Basic and Diluted

31,938

See Notes to Condensed Consolidated Financial Statements

BIMINI CAPITAL MANAGEMENT,

INC.

CONDENSED CONSOLIDATED

STATEMENTS

OF STOCKHOLDERS' EQUITY

(Unaudited)

For the Nine and Three Months Ended September 30, 2022 and 2021

Stockholders' Equity

Common Stock

Additional

Accumulated

Par Value

Paid-in Capital

Deficit

Total

Balances, January 1, 2022

10,766,070

10,766

330,880,252

(297,891,168)

32,999,850

Net loss

(3,479,584)

Class A common shares repurchased and retired

(188,280)

(188)

(377,110)

(377,298)

Balances, March 31, 2022

10,577,790

10,578

330,503,142

(301,370,752)

29,142,968

Net loss

(1,186,574)

Class A common shares repurchased and retired

(41,135)

(41)

(72,958)

(72,999)

Balances, June 30, 2022

10,536,655

10,537

330,430,184

(302,557,326)

27,883,395

Net loss

(3,173,188)

Class A common shares repurchased and retired

(225,970)

(226)

(362,126)

(362,352)

Balances, September 30, 2022

10,310,685

10,311

330,068,058

(305,730,514)

24,347,855

Balances, January 1, 2021

11,672,431

11,673

332,642,758

(298,166,582)

34,487,849

Net income

1,290,430

Balances, March 31, 2021

11,672,431

11,673

332,642,758

(296,876,152)

35,778,279

Net loss

(919,786)

Balances, June 30, 2021

11,672,431

11,673

332,642,758

(297,795,938)

34,858,493

Net income

464,600

Class A common shares repurchases and retired

(814,074)

(815)

(1,569,694)

(1,570,509)

Balances, September 30, 2021

10,858,357

10,858

331,073,064

(297,331,338)

33,752,584

See Notes to Condensed Consolidated Financial Statements

BIMINI CAPITAL MANAGEMENT,

INC.

CONDENSED CONSOLIDATED

STATEMENTS

OF CASH FLOWS

(Unaudited)

For the Nine Months Ended September 30, 2022 and 2021

2022

2021

CASH FLOWS FROM OPERATING

ACTIVITIES:

Net (loss) income

(7,839,346)

835,244

Adjustments to reconcile net (loss) income to net cash provided by operating

activities:

Depreciation

53,930

51,937

Deferred income tax (benefit) provision

(1,571,076)

336,389

Unrealized losses on mortgage-backed securities

6,605,850

2,221,521

Realized losses on mortgage-backed securities

858,001

(69,498)

Gains on retained interests in securitizations

(65,928)

PPP loan forgiveness

(153,724)

Unrealized losses on Orchid Island Capital, Inc. common stock

7,422,723

856,468

Changes in operating assets and liabilities:

Accrued interest receivable

29,838

(45,524)

Due from affiliates

(13,034)

(302,326)

Other assets

391,964

(84,426)

Accrued interest payable

79,128

(51,990)

Other liabilities

(1,241,306)

(98,625)

NET CASH PROVIDED BY OPERATING

ACTIVITIES

4,710,744

3,495,446

CASH FLOWS FROM INVESTING ACTIVITIES:

From mortgage-backed securities investments:

Purchases

(21,009,391)

(26,189,505)

Sales

23,096,853

13,063,248

Principal repayments

6,982,304

11,762,188

Payments received on retained interests in securitizations

65,928

Purchases of property and equipment

(46,176)

NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES

9,089,518

(1,364,069)

CASH FLOWS FROM FINANCING ACTIVITIES:

Proceeds from repurchase agreements

268,710,690

195,962,000

Principal repayments on repurchase agreements

(284,094,690)

(197,873,114)

Principal repayments on long-term debt

(16,926)

(16,108)

Class A common shares repurchased and retired

(812,649)

(1,570,509)

NET CASH USED IN FINANCING ACTIVITIES

(16,213,575)

(3,497,731)

NET DECREASE IN CASH, CASH EQUIVALENTS

AND RESTRICTED CASH

(2,413,313)

(1,366,354)

CASH, CASH EQUIVALENTS

AND RESTRICTED CASH, beginning of the period

9,812,410

10,911,357

CASH, CASH EQUIVALENTS

AND RESTRICTED CASH, end of the period

7,399,097

9,545,003

SUPPLEMENTAL DISCLOSURES OF CASH

FLOW INFORMATION:

Cash paid during the period for:

Interest expense

1,173,272

896,052

See Notes to Condensed Consolidated Financial Statements

BIMINI CAPITAL

MANAGEMENT, INC.

NOTES TO CONDENSED

CONSOLIDATED FINANCIAL

STATEMENTS

(Unaudited)

September

30, 2022

NOTE 1.

ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Business

Description

Bimini Capital Management, Inc., a Maryland corporation (“Bimini Capital” or the “Company”)

formed in September 2003, is a

holding company.

The Company operates in two business segments through its principal wholly-owned

operating subsidiary, Royal

Palm Capital LLC, which includes its wholly-owned subsidiary, Bimini Advisors Holdings, LLC.

Bimini Advisors Holdings, LLC and its wholly-owned subsidiary, Bimini Advisors, LLC (an investment advisor registered

with the

Securities and Exchange Commission), are collectively referred to as

"Bimini Advisors."

Bimini Advisors manages a residential

mortgage-backed securities (“MBS”) portfolio for Orchid Island Capital, Inc.

("Orchid") and receives fees for providing these services.

Effective April 1, 2022, Bimini Advisors started providing certain repurchase agreement

trading, clearing and administrative services to

Orchid that were previously provided by a third party. Bimini Advisors also manages the MBS portfolio of Royal Palm Capital,

LLC.

Royal Palm Capital, LLC maintains an investment portfolio, consisting primarily

of MBS investments and shares of Orchid common

stock, for its own benefit. Royal Palm Capital, LLC and its wholly-owned subsidiaries

are collectively referred to as "Royal Palm."

Segment Reporting

The Company’s operations are classified into two principal reportable segments: the asset

management segment and the

investment portfolio segment. These segments are evaluated by management in deciding

how to allocate resources and in assessing

performance.

The accounting policies of the operating segments are the same as the

Company’s accounting policies with the

exception that inter-segment revenues and expenses are included in the presentation

of segment results.

For further information see

Note 13.

Consolidation

The accompanying consolidated financial statements include the accounts of Bimini

Capital, Bimini Advisors and Royal Palm.

All

inter-company accounts and transactions have been eliminated from the consolidated

financial statements.

Basis of

Presentation

The accompanying unaudited condensed consolidated financial statements

have been prepared in accordance with accounting

principles generally accepted in the United States (“GAAP”) for interim financial

information and with the instructions to Form 10-Q and

Article 8 of Regulation S-X.

Accordingly, they may not include all of the information and footnotes required by GAAP for complete

financial statements.

In the opinion of management, all adjustments (consisting of normal recurring

accruals) considered necessary for

a fair presentation have been included.

Operating results for the nine and three-month periods ended September 30,

2022 are not

necessarily indicative of the results that may be expected for the year ending December

31, 2022.

The consolidated balance sheet at December 31, 2021 has been derived from the

audited financial statements at that date but

does not include all of the information and footnotes required by GAAP for

complete consolidated financial statements.

For further

information, refer to the financial statements and footnotes thereto included in the

Company’s Annual Report on Form 10-K for the year

ended December 31, 2021.

Use of Estimates

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 consolidated

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 consolidated financial statements include

determining the fair

values of MBS and derivatives, the value of Orchid Common Stock, determining

the amounts of asset valuation allowances, and the

computation of the income tax provision or benefit and the deferred tax asset allowances

recorded for each accounting period.

Variable Interest Entities (“VIEs”)

A variable interest entity ("VIE") is consolidated by an enterprise if it is deemed the

primary beneficiary of the VIE. Bimini Capital

has a common share investment in a trust used in connection with the issuance

of Bimini Capital's junior subordinated notes. See Note

7 for a description of the accounting used for this VIE.

The Company obtains interests in VIEs through its investments in mortgage-backed

securities.

The interests in these VIEs are

passive in nature and are not expected to result in the Company obtaining a controlling

financial interest in these VIEs in the future.

a result, the Company does not consolidate these VIEs and accounts for the interest

in these VIEs as mortgage-backed securities.

See Note 3 for additional information regarding the Company’s investments in mortgage-backed securities.

The maximum exposure to

loss for these VIEs is the carrying value of the mortgage-backed securities.

Cash and Cash Equivalents and Restricted Cash

Cash and

cash equivalents

include

cash on deposit

with financial

institutions

and highly

liquid investments

with original

maturities

three months

or less at

the time

of purchase.

Restricted

cash includes

cash pledged

as collateral

for repurchase

agreements

and

derivative

instruments.

The following

table presents

the Company’s

cash, cash

equivalents

and restricted

cash as of

September

30, 2022

and December

31, 2021.

September 30, 2022

December 31, 2021

Cash and cash equivalents

5,861,597

8,421,410

Restricted cash

1,537,500

1,391,000

Total cash, cash equivalents

and restricted cash

7,399,097

9,812,410

The Company

maintains

cash balances

at several

banks and

excess margin

with an exchange

clearing member.

At times,

balances

may exceed

federally

insured

limits. The

Company has

not experienced

any losses

related to

these balances.

The Federal

Deposit

Insurance Corporation

insures eligible

accounts up

to $250,000

per depositor

at each financial

institution.

Restricted

cash balances

are

uninsured,

but are held

in separate

accounts that

are segregated

from the

general funds

of the counterparty.

The Company

limits

uninsured

balances to

only large,

well-known

banks

and exchange

clearing members

and believes

that it is

not exposed

to significant

credit risk

on cash and

cash equivalents

or restricted

cash balances.

Advisory Services

Orchid is

externally

managed and

advised by

Bimini Advisors

pursuant

to the terms

of a management

agreement.

Under the

terms of

the management

agreement,

Orchid is

obligated

to pay Bimini

Advisors a

monthly management

fee and a

pro rata

portion of

certain

overhead

costs and

to reimburse

the Company

for any direct

expenses incurred

on its behalf.

Revenues

from management

fees are

recognized

over the

period of

time in which

the service

is performed.

Mortgage-Backed

Securities

The Company invests primarily in mortgage pass-through (“PT”) mortgage-backed

securities issued by Freddie Mac, Fannie Mae

or Ginnie Mae (“MBS”), collateralized mortgage obligations (“CMOs”), interest-only

(“IO”) securities and inverse interest-only (“IIO”)

securities representing interest in or obligations backed by pools of mortgage-backed

loans. The Company refers to MBS and CMOs

as PT MBS. The Company refers

to IO and IIO securities as structured MBS. The Company has elected to

account for its investment in

MBS under the fair value option.

Electing the fair value option requires the Company to record changes

in fair value in the consolidated

statement of operations, which, in management’s view, more appropriately reflects the results of the Company’s operations for a

particular reporting period and is consistent with the underlying economics and

how the portfolio is managed.

The Company records MBS transactions on the trade date.

Security purchases that have not settled as of the balance sheet date

are included in the MBS balance with an offsetting liability recorded, whereas securities sold

that have not settled as of the balance

sheet date are removed from the MBS balance with an offsetting receivable recorded.

Fair value is defined as 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 independent pricing sources and/or

third-party broker quotes, when available.

Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase

are

not amortized.

Premium lost and discount accretion resulting from monthly principal repayments

are reflected in unrealized gains and

losses on MBS in the consolidated statements of operations.

For IO securities,

the income

is accrued

based on

the carrying

value and

the effective

yield. The

difference

between income

accrued and

the interest

received on

the security

is characterized

as a return

investment

and serves

to reduce

the asset’s

carrying value.

At each reporting date, the effective yield is adjusted prospectively for future

reporting periods based on the new estimate of prepayments and the contractual

terms of the security.

For IIO 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 each reporting period are recorded in earnings and reported as

unrealized gains or losses on mortgage-backed securities

in the accompanying consolidated statements of operations.

The amount reported as unrealized gains or losses on mortgage-backed

securities thus captures the net effect of changes in the fair market value of securities caused by market

developments and any

premium or discount lost as a result of principal repayments during the period.

Orchid Island Capital, Inc. Common Stock

The Company

accounts for

its investment

in Orchid

common shares

at fair value.

The change

in the fair

value and

dividends

received

on this investment

are reflected

in the consolidated

statements

of operations.

We estimate

the fair

value of Orchid’s

common shares

on a

market approach

using “Level

1” inputs

based on

the quoted

market price

of Orchid’s

common stock

on a national

stock exchange.

Retained

Interests

in Securitizations

The Company

holds retained

interests

in the subordinated

tranches

of securities

created in

securitization

transactions.

These retained

interests

currently

have a recorded

fair value

of zero,

as the prospect

of future

cash flows

being received

is uncertain.

Any cash

received

from the

retained

interests

is reflected

as a gain

in the consolidated

statements

of operations.

Derivative

Financial

Instruments

The Company

has historically

used derivative

instruments

to manage

interest

rate risk,

facilitate

asset/liability

strategies

and manage

other exposures,

and it may

continue

to do so

in the future.

The principal

instruments

that the

Company has

used are

Treasury Note

(“T-

Note”) and

Eurodollar

futures contracts,

and “to-be-announced”

(“TBA”) securities

transactions.

The Company

accounts for

TBA securities

as derivative

instruments.

Other types

of derivative

instruments

may be used

in the future.

Gains and

losses associated

with derivative

transactions

are reported

in gain (loss)

on derivative

instruments

in the accompanying

consolidated

statements

of operations.

During the

nine and

three months

ended September

30, 2022,

the Company

only held

T-Note futures

contracts.

The Company

recorded

income of

approximately

0.8

million on

these instruments

during both

the nine

and three

months ended

September

30, 2022.

Losses recorded

during the

nine and

three months

ended September

30, 2021

were negligible.

Derivative

instruments

are carried

at fair value,

and changes

in fair

value are

recorded

in the consolidated

operations

for each

period.

The Company’s

derivative

financial

instruments

are not designated

as hedge

accounting

relationships,

but rather

are used

as economic

hedges of

its portfolio

assets and

liabilities.

Gains and

losses on

derivatives,

except those

that result

in cash receipts

or payments,

are

included in

operating

activities

on the statements

of cash flows.

Cash payments

and cash receipts

from settlement

of derivatives,

including

current period

net cash settlements

on interest

rate swaps,

are classified

as an investing

activity

on the statements

of cash flows.

Holding derivatives

creates exposure

to credit

risk related

to the potential

for failure

by counterparties

to honor

their commitments.

the event

of default

by a counterparty,

the Company

may have difficulty

recovering

its collateral

and may not

receive payments

provided

for under

the terms

of the agreement.

The Company’s

derivative

agreements

require it

to post or

receive collateral

to mitigate

such risk.

addition,

the Company

uses only

registered

central clearing

exchanges

and well-established

commercial

banks as

counterparties,

monitors positions

with individual

counterparties

and adjusts

posted collateral

as required.

Financial

Instruments

The fair value of financial instruments for which it is practicable to estimate that

value is disclosed, either in the body of the

consolidated financial statements or in the accompanying notes. MBS,

Orchid common stock and derivative assets and liabilities 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 12 of the consolidated financial statements.

The estimated fair value of cash and cash equivalents, restricted cash, accrued

interest receivable, other assets, repurchase

agreements, accrued interest payable and other liabilities generally approximates

their carrying value as of September 30, 2022 and

December 31, 2021, due to the short-term nature of these financial instruments.

It is impractical to estimate the fair value of the Company’s junior subordinated notes.

Currently, there is a limited market for these

types of instruments and the Company is unable to ascertain what interest rates would

be available to the Company for similar financial

instruments. Further information regarding these instruments is presented in

Note 7 to the consolidated 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 our building and

its improvements with depreciable lives of

30 years.

Property and equipment is recorded at acquisition cost and depreciated to

their respective salvage values using the straight-

line method over the estimated useful lives of the assets. Depreciation is included

in administrative and other expenses in the

consolidated statement of operations.

Repurchase

Agreements

The Company

finances the

acquisition

of the majority

of its PT

MBS through

the use of

repurchase

agreements

under master

repurchase

agreements.

Repurchase

agreements

are accounted

for as collateralized

financing

transactions,

which are

carried at

their

contractual

amounts,

including

accrued interest,

as specified

in the respective

agreements.

Earnings

Per Share

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 treasury stock or two-class

method, as applicable 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, if any, on each share of Class A Common Stock.

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.

Income Taxes

Income taxes are provided for using the asset and liability method. Deferred tax

assets and liabilities represent the differences

between the financial statement and income tax bases of assets and liabilities using enacted

tax rates. The measurement of net

deferred tax assets is adjusted by a valuation allowance if, based on the Company’s evaluation, it

is more likely than not that they will

not be realized.

The Company’s U.S. federal income tax returns for years ended on or after December 31,

2018 remain open for examination.

Although management believes its calculations for tax returns are correct and the positions

taken thereon are reasonable, the final

outcome of tax audits could be materially different from the tax returns filed by the Company, and those differences could result in

significant costs or benefits to the Company. For tax filing purposes, Bimini Capital and its includable subsidiaries, and Royal Palm

and

its includable subsidiaries, file as separate tax paying entities.

The Company assesses the likelihood, based on their technical merit, that uncertain

tax positions will be sustained upon

examination based on the facts, circumstances and information available at the

end of each period.

The measurement of uncertain tax

positions is adjusted when new information is available, or when an event occurs

that requires a change. The Company recognizes tax

positions in the consolidated financial statements only when it is more likely than

not that the position will be sustained upon

examination by the relevant taxing authority based on the technical merits

of the position. A position that meets this standard is

measured at the largest amount of benefit that will more likely than not be realized upon

settlement. The difference between the benefit

recognized and the tax benefit claimed on a tax return is referred to as an unrecognized

tax benefit and is recorded as a liability in the

consolidated balance sheets. The Company records income tax-related interest and penalties,

if applicable, within the income tax

provision.

10 -

Recent Accounting

Pronouncements

In March 2020, the FASB issued Accounting Standards Update (“ASU”) 2020-04 “Reference Rate Reform (Topic 848):

Facilitation

of the Effects of Reference Rate Reform on Financial Reporting

.”

ASU 2020-04 provides optional expedients and exceptions to GAAP

requirements for modifications on debt instruments, leases, derivatives, and other

contracts, related to the expected market transition

from the London Interbank Offered Rate (“LIBOR,”),

and certain other floating rate benchmark indices, or collectively, IBORs, to

alternative reference rates. ASU 2020-04 generally considers contract modifications

related to reference rate reform to be an event that

does not require contract remeasurement at the modification date nor a reassessment

of a previous accounting determination. The

guidance in ASU 2020-04 is optional and may be elected over time, through December

31, 2022, as reference rate reform activities

occur. The Company does not believe the adoption of this ASU will have a material impact on its consolidated

financial statements.

In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848)”. ASU 2021-01 expands the scope of ASC

848 to include all affected derivatives and give market participants the ability to apply

certain aspects of the contract modification and

hedge accounting expedients to derivative contracts affected by the discounting transition. In addition,

ASU 2021-01 adds

implementation guidance to permit a company to apply certain optional expedients

to modifications of interest rate indexes used for

margining, discounting or contract price alignment of certain derivatives as a result

of reference rate reform initiatives and extends

optional expedients to account for a derivative contract modified as a continuation

of the existing contract and to continue hedge

accounting when certain critical terms of a hedging relationship change to

modifications made as part of the discounting transition. The

guidance in ASU 2021-01 is effective immediately and available generally through December

31, 2022, as reference rate reform

activities occur. The Company does not believe the adoption of this ASU will have a material impact on its consolidated

financial

statements.

NOTE 2. ADVISORY SERVICES

Bimini Advisors serves as the manager and advisor for Orchid pursuant to the

terms of a management agreement.

As Manager,

Bimini Advisors is responsible for administering Orchid's business activities and

day-to-day operations. Pursuant to the terms of the

management agreement, Bimini Advisors provides Orchid with its management

team, including its officers, along with appropriate

support personnel. Bimini Advisors is at all times subject to the supervision

and oversight of Orchid's board of directors and has only

such functions and authority as delegated to it. Bimini Advisors receives a monthly

management fee in the amount of:

●

One-twelfth of 1.50% of the first $250 million of Orchid’s month-end equity, as defined in the management agreement,

●

One-twelfth of 1.25% of Orchid’s month-end equity that is greater than $250 million

and less than or equal to $500 million, and

●

One-twelfth of 1.00% of Orchid’s month-end equity that is greater than $500 million.

On April 1, 2022, pursuant to the third amendment to the management agreement

entered into on November 16, 2021, the

Company began providing certain repurchase agreement trading, clearing and

administrative services to Orchid that had been

previously provided by AVM, L.P.

under an agreement terminated on March 31, 2022.

In consideration for such services, Orchid will

pay the following fees to the Company:

●

A daily fee equal to the outstanding principal balance of repurchase agreement funding

in place as of the end of such day

multiplied by 1.5 basis points for the amount of aggregate outstanding principal balance

less than or equal to $5 billion, and

multiplied by 1.0 basis point for any amount of aggregate outstanding principal

balance in excess of $5 billion, and

●

A fee for the clearing and operational services provided by personnel

of the Manager equal to $10,000 per month.

11 -

Orchid is obligated to reimburse Bimini Advisors for any direct expenses incurred

on its behalf and to pay to Bimini Advisors an

amount equal to Orchid's pro rata portion of certain overhead costs set forth in the

management agreement. The management

agreement has been renewed through February 20, 2023

and provides for automatic one-year extension options thereafter. Should

Orchid terminate the management agreement without cause, it will be obligated

to pay Bimini Advisors a termination fee equal to three

times the average annual management fee, as defined in the management agreement,

before or on the last day of the automatic

renewal term.

The following table summarizes the advisory services revenue from

Orchid for the nine and three months ended September 30,

2022 and 2021.

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

2022

2021

Management fee

7,881

5,569

2,616

2,157

Allocated overhead

1,482

1,189

522

390

Repurchase, Clearing and Administrative Fee

357

174

Total

9,720

6,758

3,312

2,547

At September 30, 2022 and December 31, 2021, the net amount due from

Orchid was approximately $

1.1

million and $

1.1

million,

respectively.

NOTE 3.

MORTGAGE-BACKED SECURITIES

The following

table presents

the Company’s

MBS portfolio

as of September

30, 2022

and December

31, 2021:

(in thousands)

September 30, 2022

December 31, 2021

Fixed-rate MBS

41,276

58,029

Structured MBS

2,994

2,774

Total

44,270

60,803

The following table is a summary of the Company’s net gain (loss) from the sale of MBS during the nine months ended

September 30, 2022 and 2021.

(in thousands)

2022

2021

Proceeds from sales of MBS

23,097

13,063

Carrying value of MBS sold

(23,955)

(12,994)

Net (loss) gain on sales of MBS

(858)

Gross gain on sales of MBS

Gross loss on sales of MBS

(858)

Net (loss) gain on sales of MBS

(858)

12 -

NOTE 4.

REPURCHASE AGREEMENTS

The Company

pledges certain

of its MBS

as collateral

under repurchase

agreements

with financial

institutions.

Interest

rates are

generally

fixed based

on prevailing

rates corresponding

to the terms

of the borrowings,

and interest

is generally

paid at the

termination

of a

borrowing.

If the fair

value of the

pledged securities

declines,

lenders

will typically

require the

Company to

post additional

collateral

or pay

down borrowings

to re-establish

agreed upon

collateral

requirements,

referred

to as "margin

calls." Similarly,

if the fair

value of

the pledged

securities

increases,

lenders

may release

collateral

back to the

Company. As of

September

30, 2022,

the Company

had met all

margin call

requirements.

As of September

30, 2022

and December

31, 2021,

the Company’s

repurchase

agreements

had remaining

maturities

as summarized

below:

($ in thousands)

OVERNIGHT

BETWEEN 2

BETWEEN 31

GREATER

(1 DAY OR

AND

THAN

LESS)

30 DAYS

90 DAYS

TOTAL

September 30, 2022

Fair value of securities pledged, including accrued

interest receivable

40,788

3,487

44,275

Repurchase agreement liabilities associated with

these securities

40,223

3,271

43,494

Net weighted average borrowing rate

2.97%

3.14%

2.98%

December 31, 2021

Fair value of securities pledged, including accrued

interest receivable

60,859

159

61,018

Repurchase agreement liabilities associated with

these securities

58,793

58,878

Net weighted average borrowing rate

0.14%

0.70%

0.14%

In addition,

cash pledged

to counterparties

for repurchase

agreements

was approximately

1.2

million and

1.4

million as

September

30, 2022

and December

31, 2021,

respectively.

If, during

the term

of a repurchase

agreement,

a lender

files

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,

including the accrued interest receivable,

and cash posted by the Company as collateral, if any.

At September

30, 2022

and December

31, 2021,

the Company

had an aggregate

amount at

risk (the

difference

between the

amount loaned

to the Company,

including

interest

payable, and

the fair

value of securities

and

cash pledged

(if any),

including

accrued interest

on such securities)

with all

counterparties

of approximately

2.0

million and

3.5

million,

respectively.

As of September

30, 2022

and December

31, 2021,

the Company

did not have

an amount

at risk with

any individual

counterparty

greater than

10% of the

Company’s equity.

13 -

NOTE 5. PLEDGED ASSETS

Assets Pledged

to Counterparties

The table

below summarizes

Bimini’s assets

pledged

as collateral

under its

repurchase

agreements

and derivative

agreements

as of

September

30, 2022

and December

31, 2021.

($ in thousands)

September 30, 2022

December 31, 2021

Repurchase

Derivative

Repurchase

Derivative

Agreements

Total

Agreements

Total

PT MBS - at fair value

41,276

58,029

Structured MBS - at fair value

2,803

2,759

Accrued interest on pledged securities

196

230

Restricted cash

1,244

294

1,538

1,391

Total

45,519

294

45,813

62,409

Assets Pledged

from Counterparties

The table

below summarizes

cash pledged

to Bimini

from counterparties

under repurchase

agreements

as of September

30, 2022

and December

31, 2021.

Cash received

as margin

is recognized

in cash and

cash equivalents

with a corresponding

amount recognized

an increase

in repurchase

agreements

in the consolidated

balance sheets.

($ in thousands)

Assets Pledged to Bimini

September 30, 2022

December 31, 2021

Cash

148

106

Total

148

106

NOTE 6. OFFSETTING ASSETS AND LIABILITIES

The Company’s

derivatives

and repurchase

agreements

are subject

to underlying

agreements

with master

netting or

similar

arrangements,

which provide

for the right

of offset in

the event

of default

or in the

event of

bankruptcy

of either

party to the

transactions.

The Company

reports its

assets and

liabilities

subject to

these arrangements

on a gross

basis.

The following

tables present

information

regarding

those assets

and liabilities

subject to

such arrangements

as if the

Company had

presented

them on a

net basis as

of September

30, 2022

and December

31, 2021.

(in thousands)

Offsetting of Liabilities

Gross Amount Not Offset in the

Net Amount

Consolidated Balance Sheet

Gross Amount

of Liabilities

Financial

Gross Amount

Offset in the

Presented in the

Instruments

Cash

of Recognized

Consolidated

Posted as

Net

Liabilities

Balance Sheet

Collateral

Amount

September 30, 2022

Repurchase Agreements

43,494

(42,250)

(1,244)

43,494

(42,250)

(1,244)

December 31, 2021

Repurchase Agreements

58,878

(57,487)

(1,391)

58,878

(57,487)

(1,391)

14 -

The amounts

disclosed

for collateral

received by

or posted

to the same

counterparty

are limited

to the amount

sufficient

to reduce

the

asset or

liability

presented

in the consolidated

balance sheet

to zero.

The fair

value of the

actual collateral

received by

or posted

to the

same counterparty

typically

exceeds the

amounts presented.

See Note

5 for a discussion

of collateral

posted for, or

received against,

repurchase

obligations

and derivative

instruments.

NOTE 7.

LONG-TERM DEBT

Long-term

debt at September

30, 2022 and

December

31, 2021

is summarized

as follows:

(in thousands)

September 30, 2022

December 31, 2021

Junior subordinated debt

26,804

Secured note payable

618

635

Total

27,422

27,439

Junior Subordinated Debt

During 2005,

Bimini Capital

sponsored

the formation

of a statutory

trust, known

as Bimini

Capital Trust

II (“BCTII”)

of which 100%

the common

equity is owned

by Bimini

Capital.

It was 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 by BCTII

are the sole

assets of

BCTII.

As of September

30, 2022

and December

31, 2021,

the outstanding

principal

balance on

the junior

subordinated

debt securities

owed

to BCTII

was $

26.8

million.

The BCTII

trust preferred

securities

and Bimini

Capital's

BCTII Junior

Subordinated

Notes have

a rate of

interest

that floats

at a spread

3.50

% over the

prevailing

three-month

LIBOR rate.

As of September

30, 2022,

the interest

rate was

6.79

%. 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.

Bimini Capital's

BCTII Junior

Subordinated

Notes

are subordinate

and junior

in right

of payment

to all present

and future

senior indebtedness.

BCTII is

a VIE because

the holders

of the equity

investment

at risk do

not have

substantive

decision-making

ability over

BCTII’s

activities.

Since Bimini

Capital's

investment

in BCTII’s

common equity

securities

was financed

directly by

BCTII 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

investment

in BCTII

is not a variable

interest,

Bimini Capital

is not the

primary beneficiary

of BCTII.

Therefore,

Bimini Capital

has not

consolidated

the financial

statements

of BCTII

into its consolidated

financial

statements,

and this

investment

is accounted

for on the

equity

method.

The accompanying

consolidated

financial

statements

present

Bimini Capital's

BCTII Junior

Subordinated

Notes issued

to BCTII

as a

liability

and Bimini

Capital's

investment

in the common

equity securities

of BCTII

as an asset

(included

in other

assets).

For financial

statement

purposes,

Bimini Capital

records payments

of interest

on the Junior

Subordinated

Notes issued

to BCTII

as interest

expense.

Secured

Note Payable

On October

30, 2019,

the Company

borrowed

680,000

from a bank.

The note

is payable

in equal

monthly principal

and interest

installments

of approximately

5,000

through October

30, 2039.

Interest

accrues at

4.89% through

October 30,

Thereafter,

interest

accrues based

on the weekly

average

yield to the

United States

Treasury securities

adjusted to

a constant

maturity of

5 years,

plus

3.25

The note

is secured

by a mortgage

on the Company’s

office building.

15 -

The table

below presents

the future

scheduled

principal

payments

on the Company’s

long-term

debt.

(in thousands)

Last three months of 2022

For the years ended:

2023

2024

2025

2026

After 2026

27,314

Total

27,422

NOTE 8.

COMMON STOCK

There were

no issuances

of Bimini

Capital's Class

A Common

Stock, Class

B Common

Stock or Class

C Common

Stock during

the

nine months

ended September

30, 2022

and 2021.

Stock Repurchase

Plans

On March 26,

2018, the

Board of

Directors

of the Company

(the “Board”)

approved

a Stock Repurchase

Plan (the

“2018 Repurchase

Plan”).

Pursuant

to the 2018

Repurchase

Plan, the

Company could

purchase

up to

500,000

shares of

its Class

A Common

Stock from

time to time,

subject to

certain limitations

imposed by

Rule 10b-18

of the Securities

Exchange Act

of 1934.

The 2018

Repurchase

Plan

was terminated

on September

16, 2021.

On September

16, 2021,

the Board

authorized

a share repurchase

plan pursuant

to Rule 10b5-1

of the Securities

Exchange

Act of

1934 (the

“2021 Repurchase

Plan”). Pursuant

to the 2021

Repurchase

Plan, the

Company may

purchase

shares of

its Class

A Common

Stock from

time to time

for an aggregate

purchase

price not

to exceed

2.5

million. Share

repurchases

may be executed

through various

means, including,

without limitation,

open market

transactions.

The 2021 Repurchase

Plan does

not obligate

the Company

to purchase

any shares,

and it expires

on September

16, 2023.

The authorization

for the 2021

Repurchase

Plan may

be terminated,

increased

decreased

by the Company’s

Board of

Directors

in its discretion

at any time.

During the

nine months

ended September

30, 2022,

the Company

repurchased

a total of

455,385

shares under

the 2021

Repurchase

Plan at an

aggregate

cost of approximately

0.8

million, including

commissions

and fees,

for a weighted

average price

of $

1.78

per share.

From the

inception

of the 2021

Repurchase

Plan through

September

30, 2022,

the Company

repurchased

a total of

547,672

shares at

aggregate

cost of approximately

1.0

million, including

commissions

and fees,

for a weighted

average price

of $

1.84

per share.

NOTE 9.

COMMITMENTS AND CONTINGENCIES

From time to time, the Company may become involved in various

claims and legal actions arising in the ordinary course of

business.

April 22, 2020

, the Company received a demand for payment from Citigroup, Inc. in the

amount of $

33.1

million related to the

indemnification provisions of various mortgage loan purchase agreements (“MLPA’s”) entered into between Citigroup Global Markets

Realty Corp and Royal Palm Capital, LLC (f/k/a Opteum Financial Services,

LLC) prior to the date Royal Palm’s mortgage origination

operations ceased in 2007. In November 2021, Citigroup notified the Company

of additional indemnity claims totaling $

0.2

million. The

demands are based on Royal Palm’s alleged breaches of certain representations and warranties

in the related MLPA’s.

The Company

believes the demands are without merit and intends to defend against the demands

vigorously.

No provision or accrual has been

recorded related to the Citigroup demands.

16 -

Management is not aware of any other significant reported or unreported contingencies

at September 30, 2022.

NOTE 10.

INCOME TAXES

The total income tax (benefit) provision recorded for the nine months ended September

30, 2022 and 2021 was $

(1.6)

million and

0.3

million, respectively, on consolidated pre-tax book (loss) income of $

(9.4)

million and $

1.2

million in the nine months ended

September 30, 2022 and 2021, respectively.

The total income tax (benefit) provision recorded for the three

months ended September

30, 2022 and 2021 was $(

0.3

) million and $

0.2

million, respectively, on consolidated pre-tax book (loss) income of $(

3.4

) million and

0.6

million in the three months ended September 30, 2022 and 2021, respectively.

The Company’s tax provision is based on a projected effective rate based on annualized amounts

applied to actual income to date

and includes the expected realization of a portion of the tax benefits of federal

and state net operating losses carryforwards (“NOLs”).

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. The ultimate realization of capital

loss and NOL carryforwards is dependent upon the

generation of future capital gains and taxable income in periods prior to their expiration.

The Company currently provides a valuation

allowance against a portion of the NOLs since the Company believes that it is more likely

than not that some of the benefits will not be

realized in the future. The Company will continue to assess the need for a valuation

allowance at each reporting date.

NOTE 11.

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

Directors.

The Class

B common stock

is included

in the computation

of basic EPS

using the

two-class

method, and

consequently

presented

separately

from Class

A common

stock.

Shares of

Class B common

stock are

not included

in the computation

of diluted

Class A

EPS as the

conditions

for conversion

to Class A

common stock

were not

met at September

30, 2022 and

2021.

Shares of

Class C common

stock are

not included

in the basic

EPS computation

as these shares

do not have

participation

rights.

Shares of

Class C common

stock are

not included

in the computation

of diluted

Class A EPS

as the conditions

for conversion

to Class A

common stock

were not

met at September

30, 2022

and 2021.

The table

below reconciles

the numerator

and denominator

of EPS for

the nine

and three

months ended

September

30, 2022

and

2021.

(in thousands, except per-share information)

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

2022

2021

Basic and diluted EPS per Class A common share:

(Loss) income attributable to Class A common shares:

Basic and diluted

(7,815)

833

(3,163)

464

Weighted average common shares:

Class A common shares outstanding at the balance sheet date

10,247

10,794

10,247

10,794

Effect of weighting

220

564

Weighted average shares-basic and diluted

10,467

11,358

10,289

10,866

(Loss) income per Class A common share:

Basic and diluted

(0.75)

0.07

(0.31)

0.04

17 -

(in thousands, except per-share information)

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

2022

2021

Basic and diluted EPS per Class B common share:

(Loss) income attributable to Class B common shares:

Basic and diluted

(24)

(10)

Weighted average common shares:

Class B common shares outstanding at the balance sheet date

Weighted average shares-basic and diluted

(Loss) income per Class B common share:

Basic and diluted

(0.75)

0.07

(0.31)

0.04

NOTE 12.

FAIR VALUE

Fair value

is the price

that would

be received

to sell an

asset or

paid to transfer

a liability

(an exit

price). A

fair value

measure should

reflect the

assumptions

that market

participants

would use

in pricing

the asset

or liability, including

the assumptions

about the

risk inherent

in a particular

valuation

technique,

the effect

of a restriction

on the sale

or use of

an asset and

the risk of

non-performance.

Required

disclosures

include stratification

of balance

sheet amounts

measured

at fair value

based on

inputs the

Company uses

to derive

fair value

measurements.

These stratifications

are:

●

Level 1 valuations,

where the

valuation

is based on

quoted market

prices for

identical

assets or

liabilities

traded in

active markets

(which include

exchanges

and over-the-counter

markets with

sufficient

volume),

●

Level 2 valuations,

where the

valuation

is based on

quoted market

prices for

similar instruments

traded in

active markets,

quoted

prices for

identical

or similar

instruments

in markets

that are

not active

and model-based

valuation

techniques

for which

all

significant

assumptions

are observable

in the market,

and

●

Level 3 valuations,

where the

valuation

is generated

from model-based

techniques

that use

significant

assumptions

not

observable

in the market,

but observable

based on

Company-specific

data. These

unobservable

assumptions

reflect the

Company’s own

estimates

for assumptions

that market

participants

would use

in pricing

the asset

or liability. Valuation

techniques

typically

include option

pricing models,

discounted

cash flow

models and

similar techniques,

but may also

include

the

use of market

prices of

assets or

liabilities

that are

not directly

comparable

to the subject

asset or

liability.

MBS, Orchid

common stock,

retained

interests

and TBA

securities

were all

recorded

at fair value

on a recurring

basis during

the nine

and three

months ended

September

30, 2022

and 2021.

When determining

fair value

measurements,

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.

Retained

interests

have a recorded

fair value

of zero as

of September

30, 2022

and December

31, 2021,

as the prospect

of future

cash flows

is uncertain.

Any cash

received from

the retained

interests

is reflected

as a gain

in the consolidated

statements

of operations.

18 -

The Company's

MBS and TBA

securities

are valued

using Level

2 valuations,

and such valuations

currently

are determined

by the

Company based

on independent

pricing sources

and/or third

party broker

quotes. Because

the price

estimates

may vary, the

Company

must make

certain judgments

and assumptions

about the

appropriate

price to

use to calculate

the fair

values. The

Company and

the

independent

pricing sources

use various

valuation

techniques

to determine

the price

of the Company’s

securities.

These techniques

include observing

the most

recent market

for like or

identical

assets (including

security

coupon,

maturity, yield,

and prepayment

speeds),

spread pricing

techniques

to determine

market credit

spreads (option

adjusted spread,

zero volatility

spread, spread

to the U.S.

Treasury

curve or

spread to

a benchmark

such as a

TBA security),

and model

driven approaches

(the discounted

cash flow

method,

Black Scholes

and SABR

models which

rely upon

observable

market rates

such as the

term structure

of interest

rates and

volatility).

The appropriate

spread pricing

method used

is based

on market

convention.

The pricing

source determines

the spread

of recently

observed

trade activity

or observable

markets for

assets similar

to those

being priced.

The spread

is then adjusted

based on

variances

in certain

characteristics

between the

market observation

and the asset

being priced.

Those characteristics

include:

type of

asset, the

expected life

of the asset,

the

stability and

predictability

of the expected

future cash

flows of

the asset,

whether

the coupon

of the asset

is fixed or

adjustable,

the

guarantor

of the security

if applicable,

the coupon,

the maturity,

the issuer, size

of the underlying

loans, year

in which

the

underlying

loans

were originated,

loan to value

ratio, state

in which

the underlying

loans reside,

credit score

of the underlying

borrowers

and other

variables

if appropriate.

The fair

value of the

security is

determined

by using

the adjusted

spread.

The Company’s

futures contracts

are Level

1 valuations,

as they are

exchange-traded

instruments

and quoted

market prices

are

readily available.

Futures contracts

are settled

daily. The Company’s

interest

rate swaps

and interest

rate swaptions

are Level 2

valuations.

The fair

value of interest

rate swaps

is determined

using a discounted

cash flow

approach

using forward

market interest

rates

and discount

rates, which

are observable

inputs. The

fair value

of interest

rate swaptions

is determined

using an option

pricing model.

The following

table presents

financial

assets and

liabilities

measured

at fair value

on a recurring

basis as of

September

30, 2022 and

December

31, 2021:

(in thousands)

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical

Observable

Unobservable

Fair Value

Assets

Inputs

Measurements

(Level 1)

(Level 2)

(Level 3)

September 30, 2022

Mortgage-backed securities

44,270

Orchid Island Capital, Inc. common stock

4,256

December 31, 2021

Mortgage-backed securities

60,803

Orchid Island Capital, Inc. common stock

11,679

During the

nine months

ended September

30, 2022

and 2021,

there were

no transfers

of financial

assets or

liabilities

between levels

1, 2 or 3.

19 -

NOTE 13.

SEGMENT INFORMATION

The Company’s operations are classified into two principal reportable segments: the asset

management segment and the

investment portfolio segment.

The asset management segment includes the investment advisory services provided by

Bimini Advisors to Orchid and Royal

Palm. As discussed in Note 2, the revenues of the asset management segment consist

of management fees and overhead

reimbursements received pursuant to a management agreement with Orchid.

Total revenues received under this management

agreement for the nine months ended September 30, 2022 and 2021, were approximately

9.7

million and $

6.8

million, respectively,

accounting for approximately

% and

% of consolidated revenues, respectively.

The investment portfolio segment includes the investment activities conducted

by Royal Palm.

The investment portfolio segment

receives revenue in the form of interest and dividend income on its investments.

Segment information for the nine months ended September 30, 2022 and 2021 is as

follows:

(in thousands)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2022

Advisory services, external customers

9,720

Advisory services, other operating segments

(1)

(85)

Interest and dividend income

2,364

Interest expense

(314)

(938)

(2)

(1,252)

Net revenues

9,805

2,050

(938)

(85)

10,832

Other expenses

(14,092)

(14,026)

Operating expenses

(3)

(4,914)

(1,302)

(6,216)

Intercompany expenses

(1)

(85)

Income (loss) before income taxes

4,891

(13,429)

(872)

(9,410)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2021

Advisory services, external customers

6,758

Advisory services, other operating segments

(1)

108

(108)

Interest and dividend income

3,245

Interest expense

(95)

(748)

(2)

(843)

Net revenues

6,866

3,150

(748)

(108)

9,160

Other (expenses) income

(3,008)

154

(2,854)

Operating expenses

(3)

(3,396)

(1,738)

(5,134)

Intercompany expenses

(1)

(108)

108

Income (loss) before income taxes

3,470

(1,704)

(594)

1,172

20 -

Segment information for the three months ended September 30, 2022 and 2021 is

as follows:

(in thousands)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2022

Advisory services, external customers

3,312

Advisory services, other operating segments

(1)

(29)

Interest and dividend income

728

Interest expense

(210)

(379)

(2)

(589)

Net revenues

3,341

518

(379)

(29)

3,451

Other expenses

(4,868)

(4,802)

Operating expenses

(3)

(1,677)

(401)

(2,078)

Intercompany expenses

(1)

(29)

Income (loss) before income taxes

1,664

(4,780)

(313)

(3,429)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2021

Advisory services, external customers

2,547

Advisory services, other operating segments

(1)

(35)

Interest and dividend income

1,043

Interest expense

(24)

(248)

(2)

(272)

Net revenues

2,582

1,019

(248)

(35)

3,318

Other (expenses) income

(1,033)

Operating expenses

(3)

(1,157)

(496)

(1,653)

Intercompany expenses

(1)

(35)

Income (loss) before income taxes

1,425

(545)

(248)

632

Includes fees paid by Royal Palm to Bimini Advisors for advisory services

(2)

Includes interest on long-term debt.

(3)

Corporate expenses are allocated based on each segment’s proportional

share of total revenues.

Assets in each reportable segment as of September 30, 2022 and December

31, 2021 were as follows:

(in thousands)

Asset

Investment

Management

Portfolio

Corporate

Total

September 30, 2022

1,967

86,542

8,361

96,870

December 31, 2021

1,901

111,022

9,162

122,085

NOTE 14. RELATED PARTY TRANSACTIONS

Relationships with Orchid

At both September 30, 2022 and December 31, 2021, the Company owned

519,071

shares of Orchid common stock (after giving

effect to Orchid’s 1-for-5 reverse stock split), representing approximately

1.5

% and

1.5

%, respectively, of Orchid’s outstanding common

stock on such dates. The Company received dividends on this common

stock investment of approximately $

1.0

million and $

0.3

million

during the nine and three months ended September 30, 2022, respectively, and approximately $

1.5

million and $

0.5

million during the

nine and three months ended September 30, 2021,

respectively.

21 -

Robert Cauley, the Chief Executive Officer and Chairman of the Board of Directors of the Company, also serves as Chief

Executive Officer and Chairman of the Board of Directors of Orchid, is eligible to receive

compensation from Orchid, and owns shares

of common stock of Orchid.

In addition, Hunter Haas, the Chief Financial Officer, Chief Investment Officer and Treasurer of the

Company, also serves as Chief Financial Officer, Chief Investment Officer and Secretary of Orchid, is a member of Orchid’s Board of

Directors, receives compensation from Orchid, and owns shares of common stock

of Orchid. Robert J. Dwyer and Frank E. Jaumot, our

independent directors, each own shares of common stock of Orchid.

22 -

ITEM 2. MANAGEMENT’S

DISCUSSION

AND ANALYSIS OF FINANCIAL

CONDITION

AND RESULTS OF

OPERATIONS.

The following discussion of our financial condition and results of operations should

be read in conjunction with the consolidated

financial statements and notes to those statements included in Item 1 of this Form

10-Q. The discussion may contain certain forward-

looking statements that involve risks and uncertainties. Forward-looking statements

are those that are not historical in nature. As a

result of many factors, such as those set forth under “Risk Factors” in our

most recent Annual Report on Form 10-K, our actual results

may differ materially from those anticipated in such forward-looking statements.

Overview

Bimini Capital Management, Inc. ("Bimini Capital" or the "Company") is a holding

company that was formed in September 2003.

The Company’s principal wholly-owned operating subsidiary is Royal Palm Capital,

LLC. We operate in two business segments: the

asset management segment, which includes (a) the investment advisory services provided

by Royal Palm’s wholly-owned subsidiary,

Bimini Advisors Holdings, LLC, to Orchid, and (b) the investment portfolio segment, which

includes the investment activities conducted

by Royal Palm.

Bimini Advisors Holdings, LLC and its wholly-owned subsidiary, Bimini Advisors, LLC (an investment advisor registered

with the

Securities and Exchange Commission), are collectively referred to as “Bimini Advisors.”

Bimini Advisors serves as the external

manager of the portfolio of Orchid Island Capital, Inc. ("Orchid"). From this arrangement,

the Company receives management fees and

expense reimbursements.

As manager, Bimini Advisors is responsible for administering Orchid's business activities and day-to-day

operations and, commencing April 1. 2022, provides certain repurchase agreement

trading, clearing and administrative services.

Pursuant to the terms of the management agreement, Bimini Advisors provides

Orchid with its management team, including its officers,

along with appropriate support personnel. Bimini Advisors is at all times subject

to the supervision and oversight of Orchid's board of

directors and has only such functions and authority as delegated to it.

Royal Palm Capital, LLC (collectively with its wholly-owned subsidiaries

referred to as “Royal Palm”) maintains an investment

portfolio, consisting primarily of residential mortgage-backed securities ("MBS")

issued and guaranteed by a federally chartered

corporation or agency ("Agency MBS"). We also invest in the common stock of Orchid. Our investment

strategy focuses on, and our

portfolio consists of, two categories of Agency MBS: (i) traditional pass-through Agency

MBS, such as mortgage pass-through

certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae (the “GSEs”)

and collateralized mortgage obligations (“CMOs”) issued

by the GSEs (“PT MBS”) and (ii) structured Agency MBS, such as interest

only securities ("IOs"), inverse interest only securities

("IIOs") and principal only securities ("POs"), among other types of

structured Agency MBS. In addition, Royal Palm receives dividends

from its investment in Orchid common shares.

Stock Repurchase

Plan

On September

16, 2021,

the Board

authorized

a share repurchase

plan pursuant

to Rule 10b5-1

of the Securities

Exchange

Act of

1934 (the

“2021 Repurchase

Plan”). Pursuant

to the 2021

Repurchase

Plan, we

may purchase

shares of

our Class

A Common

Stock from

time to time

for an aggregate

purchase price

not to exceed

$2.5 million.

Share repurchases

may be executed

through various

means,

including,

without limitation,

open market

transactions.

The 2021

Repurchase

Plan does

not obligate

the Company

to purchase

any

shares, and

it expires

on September

16, 2023.

The authorization

for the 2021

Repurchase

Plan may be

terminated,

increased

decreased

by the Company’s

Board of

Directors

in its discretion

at any time.

From the

commencement

of the 2021

Repurchase

Plan,

through September

30, 2022,

we repurchased

a total of

547,672 shares

at an aggregate

cost of approximately

$1.0 million,

including

commissions

and fees,

for a weighted

average price

of $1.84

per share.

During the

nine months

ended September

30, 2022,

the Company

repurchased

a total of

455,385 shares

at an aggregate

cost of approximately

$0.8 million,

including

commissions

and fees,

for a weighted

average price

of $1.78

per share.

23 -

Factors that Affect our Results of Operations and Financial Condition

A variety of industry and economic factors (including ongoing economic impacts from

the COVID-19 pandemic) may impact our

results of operations and financial condition. These factors include:

●

interest rate trends;

●

the difference between Agency MBS yields and our funding and hedging costs;

●

competition for, and supply of, investments in Agency MBS;

●

actions taken by the U.S. government, including the presidential administration,

the U.S. Federal Reserve (the “Fed”), the

Federal Open Market Committee (the “FOMC”), the Federal Housing Finance

Agency (the “FHFA”) and the U.S. Treasury;

●

prepayment rates on mortgages underlying our Agency MBS, and credit trends

insofar as they affect prepayment rates;

●

the equity markets and the ability of Orchid to raise additional capital;

●

geo-political events that affect the U.S. and international economies, such as the ongoing crisis in Ukraine; and

●

other market developments.

In addition, a variety of factors relating to our business may also impact our results

of operations and financial condition. These

factors include:

●

our degree of leverage;

●

our access to funding and borrowing capacity;

●

our borrowing costs;

●

our hedging activities;

●

the market value of our investments;

●

the requirements to qualify for a registration exemption under the Investment Company Act;

●

our ability to use net operating loss carryforwards and net capital loss carryforwards

to reduce our taxable income;

●

the impact of possible future changes in tax laws or tax rates;

●

increases in our cost of funds resulting from increases in the Fed Funds rate that

are controlled by the Fed which have

occurred, and are likely to continue to occur, in 2022;

●

our ability to manage the portfolio of Orchid and maintain our role as manager; and

●

the financial performance of Orchid and resulting changes in Orchid’s shareholders equity, the carrying value of our

investment, dividend income and our advisory services revenue.

Results

of Operations

Described

below are

the Company’s

results of

operations

for the

nine and

three months

ended September

30, 2022,

as compared

the nine

and three

months ended

September

30, 2021.

Net (Loss)

Income Summary

Consolidated

net loss for

the nine months

ended September

30, 2022

was $7.8

million, or

$0.75 basic

and diluted

loss per share

Class A Common

Stock, as

compared

to a consolidated

net income

of $0.8 million,

or $0.07

basic and

diluted income

per share

of Class

Common Stock,

for the nine

months ended

September

30, 2021.

Consolidated

net loss for

the three

months ended

September

30, 2022

was $3.2

million, or

$0.31 basic

and diluted

loss per

share of

Class A Common

Stock, as

compared

to consolidated

net income

of $0.5 million,

or $0.04

basic and diluted

income per

share of

Class A

Common Stock,

for the three

months ended

September

30, 2021.

24 -

The components

of net (loss)

income for

the nine

months ended

September

30, 2022

and 2021,

along with

the changes

in those

components

are presented

in the table

below.

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

Change

2022

2021

Change

Advisory services revenues

9,720

6,758

2,962

3,312

2,547

765

Interest and dividend income

2,364

3,245

(881)

728

1,043

(315)

Interest expense

(1,252)

(843)

(409)

(589)

(272)

(317)

Net revenues

10,832

9,160

1,672

3,451

3,318

133

Other expense

(14,026)

(2,855)

(11,171)

(4,802)

(1,033)

(3,769)

Expenses

(6,216)

(5,134)

(1,082)

(2,077)

(1,653)

(424)

Net (loss) income before income tax (benefit) provision

(9,410)

1,171

(10,581)

(3,428)

632

(4,060)

Income tax (benefit) provision

(1,571)

336

(1,907)

(255)

167

(422)

Net (loss) income

(7,839)

835

(8,674)

(3,173)

465

(3,638)

GAAP and

Non-GAAP

Reconciliation

Economic Interest Expense and Economic Net Interest Income

We use derivative instruments, specifically Eurodollar and Treasury Note (“T-Note”) futures contracts and TBA short positions to

hedge a portion of the interest rate risk on repurchase agreements in a rising

rate environment.

We have not designated our derivative financial instruments as hedge accounting relationships,

but rather hold them for

economic hedging purposes. Changes in fair value of these instruments are presented

in a separate line item in our consolidated

statements of operations and not included in interest expense. As such, for financial reporting

purposes, interest expense and cost of

funds are not impacted by the fluctuation in value of the derivative instruments.

For the purpose of computing economic net interest income and ratios relating

to cost of funds measures, GAAP interest

expense, as reflected in our consolidated statements of operations, is

adjusted to reflect the realized and unrealized gains or losses on

certain derivative instruments the Company uses that pertain to each period presented.

We believe that adjusting our GAAP interest

expense for the periods presented by the gains or losses on these derivative

instruments may not accurately reflect our economic

interest expense for these periods. The reason is that these derivative instruments

may cover periods that extend into the future, not

just the current period.

Any realized or unrealized gains or losses on the derivative instruments reflect

the change in market value of

the instrument caused by changes in underlying interest rates applicable to

the term covered by the instrument, which changes are

reflective of the future periods covered by the derivative instrument, not just

the current period.

For each period presented, we have combined the effects of the derivative financial instruments

in place for the respective period

with the actual interest expense incurred on borrowings to reflect total economic

interest expense for the applicable period. Interest

expense, including the effect of derivative instruments for the period, is referred to as economic interest

expense. Net interest income,

when calculated to include the effect of derivative instruments for the period, is referred to

as economic net interest income. This

presentation includes gains or losses on all contracts in effect during the reporting period,

covering the current period as well as

periods in the future.

25 -

We believe that economic interest expense and economic net interest income provide

meaningful information to consider, in

addition to the respective amounts prepared in accordance with GAAP. The non-GAAP measures help management to evaluate its

financial position and performance without the effects of certain transactions and GAAP

adjustments that are not necessarily indicative

of our current investment portfolio or operations. The unrealized gains or losses

on derivative instruments presented in our

consolidated statements of operations are not necessarily representative

of the total interest expense that we will ultimately realize.

This is because as interest rates move up or down in the future, the gains

or losses we ultimately realize, and which will affect our total

interest expense in future periods, may differ from the unrealized gains or losses recognized

as of the reporting date.

Our presentation of the economic value of our hedging strategy has important

limitations. First, other market participants may

calculate economic interest expense and economic net interest income

differently than the way we calculate them. Second, while we

believe that the calculation of the economic value of our hedging strategy described

above helps to present our financial position and

performance, it may be of limited usefulness as an analytical tool. Therefore, the

economic value of our investment strategy should not

be viewed in isolation and is not a substitute for interest expense and net

interest income computed in accordance with GAAP.

The tables below present a reconciliation of the adjustments discussed

above to interest expense shown for each period relative

to our derivative instruments, and the consolidated statements of operations

line item, gains (losses) on derivative instruments,

calculated in accordance with GAAP for each quarter in 2022 and 2021.

Gains (Losses) on Derivative Instruments - Attributed to Current Period (Non-GAAP)

(in thousands)

Attributed to Current Period (Non-GAAP)

Attributed to Future Periods (Non-GAAP)

Repurchase

Long-Term

Repurchase

Long-Term

Statement of

Three Months Ended

Agreements

Debt

Total

Agreements

Debt

Total

Operations

September 30, 2022

(184)

(48)

(232)

1,028

1,076

844

June 30, 2022

(186)

(48)

(234)

136

184

(50)

March 31, 2022

(185)

(48)

(233)

185

233

December 31, 2021

(707)

(60)

(767)

707

767

September 30, 2021

(709)

(57)

(766)

709

766

June 30, 2021

(708)

(58)

(766)

708

766

March 31, 2021

(708)

(58)

(766)

708

766

Nine Months Ended

September 30, 2022

(555)

(144)

(699)

1,349

144

1,493

794

September 30, 2021

(2,125)

(173)

(2,298)

2,125

173

2,298

26 -

Economic Net Portfolio Interest Income

(in thousands)

Interest Expense on Repurchase Agreements

Net Portfolio

Effect of

Interest Income

Interest

GAAP

Non-GAAP

Economic

GAAP

Economic

Three Months Ended

Income

Basis

Hedges

(1)

Basis

(2)

Basis

(3)

September 30, 2022

445

210

(184)

394

235

June 30, 2022

392

(186)

259

319

133

March 31, 2022

491

(185)

216

460

275

December 31, 2021

511

(707)

728

490

(217)

September 30, 2021

537

(709)

733

513

(196)

June 30, 2021

578

(708)

739

547

(161)

March 31, 2021

611

(708)

748

571

(137)

Nine Months Ended

September 30, 2022

1,328

314

(555)

869

1,014

459

September 30, 2021

1,726

(2,125)

2,220

1,631

(494)

(1)

Reflects the effect of derivative instrument hedges for only the period

presented.

(2)

Calculated by subtracting the effect of derivative instrument hedges

attributed to the period presented from GAAP interest expense.

(3)

Calculated by adding the effect of derivative instrument hedges attributed

to the period presented to GAAP net portfolio interest income.

Economic Net Interest Income

(in thousands)

Net Portfolio

Interest Expense on Long-Term Debt

Interest Income

Effect of

Net Interest Income (Loss)

GAAP

Economic

GAAP

Non-GAAP

Economic

GAAP

Economic

Three Months Ended

Basis

(1)

Basis

Hedges

(2)

Basis

(3)

Basis

(4)

September 30, 2022

235

379

(48)

427

(144)

(376)

June 30, 2022

319

133

304

(48)

352

(219)

March 31, 2022

460

275

256

(48)

304

204

(29)

December 31, 2021

490

(217)

249

(60)

309

241

(526)

September 30, 2021

513

(196)

248

(57)

305

265

(501)

June 30, 2021

547

(161)

250

(58)

308

297

(469)

March 31, 2021

571

(137)

250

(58)

308

321

(445)

Nine Months Ended

September 30, 2022

1,014

459

939

(144)

1,083

(624)

September 30, 2021

1,631

(494)

748

(173)

921

883

(1,415)

(1)

Calculated by adding the effect of derivative instrument hedges attributed

to the period presented to GAAP net portfolio interest income.

(2)

Reflects the effect of derivative instrument hedges for only the period

presented.

(3)

Calculated by subtracting the effect of derivative instrument hedges

attributed to the period presented from GAAP interest expense.

(4)

Calculated by adding the effect of derivative instrument hedges

attributed to the period presented to GAAP net interest income.

27 -

Segment Information

We have two operating segments. The asset management segment includes the investment

advisory services provided by Bimini

Advisors to Orchid and Royal Palm. The investment portfolio segment includes the

investment activities conducted by Royal Palm.

Segment information for the nine months ended September 30, 2022 and 2021 is as

follows:

(in thousands)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2022

Advisory services, external customers

9,720

Advisory services, other operating segments

(1)

(85)

Interest and dividend income

2,364

Interest expense

(314)

(938)

(2)

(1,252)

Net revenues

9,805

2,050

(938)

(85)

10,832

Other expenses

(14,092)

(14,026)

Operating expenses

(3)

(4,914)

(1,302)

(6,216)

Intercompany expenses

(1)

(85)

Income (loss) before income taxes

4,891

(13,429)

(872)

(9,410)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2021

Advisory services, external customers

6,758

Advisory services, other operating segments

(1)

108

(108)

Interest and dividend income

3,245

Interest expense

(95)

(748)

(2)

(843)

Net revenues

6,866

3,150

(748)

(108)

9,160

Other (expenses) income

(3,008)

154

(2,854)

Operating expenses

(3)

(3,396)

(1,738)

(5,134)

Intercompany expenses

(1)

(108)

108

Income (loss) before income taxes

3,470

(1,704)

(594)

1,172

28 -

Segment information for the three months ended September 30, 2022 and 2021 is

as follows:

(in thousands)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2022

Advisory services, external customers

3,312

Advisory services, other operating segments

(1)

(29)

Interest and dividend income

728

Interest expense

(210)

(379)

(2)

(589)

Net revenues

3,341

518

(379)

(29)

3,451

Other expenses

(4,868)

(4,802)

Operating expenses

(3)

(1,677)

(401)

(2,078)

Intercompany expenses

(1)

(29)

Income (loss) before income taxes

1,664

(4,780)

(313)

(3,429)

Asset

Investment

Management

Portfolio

Corporate

Eliminations

Total

2021

Advisory services, external customers

2,547

Advisory services, other operating segments

(1)

(35)

Interest and dividend income

1,043

Interest expense

(24)

(248)

(2)

(272)

Net revenues

2,582

1,019

(248)

(35)

3,318

Other (expenses) income

(1,033)

Operating expenses

(3)

(1,157)

(496)

(1,653)

Intercompany expenses

(1)

(35)

Income (loss) before income taxes

1,425

(545)

(248)

632

Includes advisory services revenue received by Bimini Advisors from Royal Palm.

(2)

Includes interest on long-term debt.

(3)

Corporate expenses are allocated based on each segment’s proportional

share of total revenues.

Assets in each reportable segment were as follows:

(in thousands)

Asset

Investment

Management

Portfolio

Corporate

Total

September 30, 2022

1,967

86,542

8,361

96,870

December 31, 2021

1,901

111,022

9,162

122,085

29 -

Asset Management

Segment

Advisory Services

Revenue

Advisory services

revenue

consists

of management

fees and

overhead

reimbursements

charged

to Orchid

for the management

of its

portfolio

pursuant

to the terms

of a management

agreement.

We receive a monthly management fee in the amount of:

●

One-twelfth of 1.50% of the first $250 million of Orchid’s month-end equity, as defined in the management agreement,

●

One-twelfth of 1.25% of Orchid’s month-end equity that is greater than $250 million

and less than or equal to $500 million, and

●

One-twelfth of 1.00% of Orchid’s month-end equity that is greater than $500 million.

On April 1, 2022, pursuant to the third amendment to the management agreement

entered into on November 16, 2021, the

Company began providing certain repurchase agreement trading, clearing and

administrative services to Orchid that had been

previously provided by AVM, L.P.

under an agreement terminated on March 31, 2022.

In consideration for such services, Orchid pays

the following fees to the Company:

●

A daily fee equal to the outstanding principal balance of repurchase agreement funding

in place as of the end of such day

multiplied by 1.5 basis points for the amount of aggregate outstanding principal balance

less than or equal to $5 billion, and

multiplied by 1.0 basis point for any amount of aggregate outstanding principal

balance in excess of $5 billion, and

●

A fee for the clearing and operational services provided by personnel

of the Manager equal to $10,000 per month.

In addition, Orchid is obligated to reimburse us for any direct expenses

incurred on its behalf and to pay to us an amount equal to

Orchid's pro rata portion of certain overhead costs set forth in the management

agreement. The management agreement has been

renewed through February 2023 and provides for automatic one-year extension

options. Should Orchid terminate the management

agreement without cause, it will be obligated to pay to us a termination fee

equal to three times the average annual management fee,

as defined in the management agreement, before or on the last day of the automatic

renewal term.

The following table summarizes the advisory services revenue received from

Orchid in each quarter during 2022 and 2021.

(in thousands)

Advisory Services

Repurchase,

Average

Clearing and

Orchid

Management

Overhead

Administrative

Three Months Ended

MBS

Equity

Fee

Allocation

Fees

Total

September 30, 2022

3,571,037

839,935

2,616

522

174

3,312

June 30, 2022

4,260,727

866,539

2,631

519

183

3,333

March 31, 2022

5,545,844

853,576

2,634

441

3,075

December 31, 2021

6,056,259

806,382

2,587

443

3,030

September 30, 2021

5,136,331

672,384

2,157

390

2,547

June 30, 2021

4,504,887

542,679

1,791

395

2,186

March 31, 2021

4,032,716

456,687

1,621

404

2,025

Nine Months Ended

September 30, 2022

4,459,203

853,350

7,881

1,482

357

9,720

September 30, 2021

4,557,978

557,250

5,569

1,189

6,758

30 -

Investment Portfolio Segment

Net Portfolio Interest Income

We define

net portfolio

interest

income as

interest

income on

MBS less

interest

expense on

repurchase

agreement

funding.

During the

nine months ended September 30, 2022, we generated $1.0 million of

net portfolio interest income, consisting of $1.3 million of interest

income from MBS

assets offset by $0.3

million of interest

expense on repurchase

liabilities.

For the comparable

period ended September

30, 2021, we

generated

$1.6 million

of net portfolio

interest income,

consisting

of $1.7 million

of interest

income from

MBS assets offset

$0.1 million

of interest

expense

on repurchase

liabilities.

The $0.4

million decrease

in interest

income for

the nine

months ended

September

30, 2022 was due to a $20.3 million decrease in average MBS balances,

which was partially offset by a 31 basis point ("bp") increase in

yields earned on the portfolio.

There was a $0.2 million increase

in interest expense

for the nine months ended

September 30, 2022

that

was due to

a 70 bp increase

in cost of

funds which

was partially

offset by a

$21.9 million

decrease

in average

repurchase

liabilities.

Our economic

interest

expense

on repurchase

liabilities

for the

nine months

ended September

30, 2022

and 2021

was $0.9

million and

$2.2 million,

respectively, resulting

in $0.5 million

and ($0.5)

million of

economic net

portfolio

interest

income (expense),

respectively.

During

the three

months

ended

September

30, 2022,

we generated

$0.2 million

of net

portfolio

interest

income,

consisting

of $0.4

million

interest income

from MBS

assets offset

$0.2 million

interest expense

repurchase liabilities.

For

the three

months ended

September 30, 2021, we generated $0.5 million of net portfolio interest income, consisting of approximately

$537,000 of interest income

from MBS

assets offset

by approximately

$24,000 of

interest

expense on

repurchase

liabilities.

Our economic interest expense

on repurchase liabilities

for the three months ended September 30, 2022 and 2021 was $0.4 million

and $0.7 million,

respectively, resulting

in approximately

$0.1 million

and ($0.2) million

of economic

net portfolio

interest income

(expense),

respectively.

The

tables

below

provide

information

on our

portfolio

average

balances,

interest

income,

yield

assets,

average

repurchase

agreement

balances, interest

expense, cost

of funds, net interest

income and net

interest rate

spread for the

nine months ended

September 30,

2022

and 2021

and each

quarter in

2022 and

2021 on both

a GAAP and

economic basis.

($ in thousands)

Average

Yield on

Average

Interest Expense

Average Cost of Funds

MBS

Interest

Average

Repurchase

GAAP

Economic

GAAP

Economic

Three Months Ended

Held

(1)

Income

(2)

MBS

Agreements

(1)

Basis

(2)

Basis

(3)

September 30, 2022

41,402

445

4.30%

40,210

210

394

2.09%

3.92%

June 30, 2022

46,607

392

3.36%

45,870

259

0.63%

2.25%

March 31, 2022

57,741

491

3.40%

56,846

216

0.22%

1.52%

December 31, 2021

62,597

511

3.27%

61,019

728

0.14%

4.77%

September 30, 2021

66,692

537

3.22%

67,253

733

0.14%

4.36%

June 30, 2021

70,925

578

3.26%

72,241

739

0.17%

4.09%

March 31, 2021

69,017

611

3.54%

69,104

748

0.23%

4.33%

Nine Months Ended

September 30, 2022

48,584

1,328

3.65%

47,642

314

869

0.88%

2.43%

September 30, 2021

68,878

1,726

3.34%

69,533

2,220

0.18%

4.26%

31 -

($ in thousands)

Net Portfolio

Interest Income

Interest Spread

GAAP

Economic

GAAP

Economic

Three Months Ended

Basis

(2)

Basis

(4)

September 30, 2022

235

2.21%

0.38%

June 30, 2022

319

133

2.73%

1.11%

March 31, 2022

460

275

3.18%

1.88%

December 31, 2021

490

(217)

3.13%

(1.50)%

September 30, 2021

513

(196)

3.08%

(1.13)%

June 30, 2021

547

(161)

3.09%

(0.83)%

March 31, 2021

571

(137)

3.31%

(0.79)%

Nine Months Ended

September 30, 2022

1,014

459

2.77%

1.22%

September 30, 2021

1,631

(494)

3.16%

(0.92)%

(1)

Portfolio yields

and costs

of borrowings

presented in

the tables

above and

the tables

on pages

32 and

33 are

calculated based

on the

average balances

of the underlying

investment portfolio/repurchase

agreement balances

and are annualized

for the periods

presented.

Average balances for quarterly periods are calculated using two data

points, the beginning and ending balances.

(2)

Economic interest expense and economic net interest income

presented in the tables above and the tables on page 33 include

the effect

of derivative instrument hedges for only the period presented.

(3)

Represents

interest

cost

our

borrowings

and

the

effect

derivative

instrument

hedges

attributed

the

period

hedging

activities divided by average MBS.

(4)

Economic net interest spread is calculated by subtracting average economic

cost of funds from yield on average MBS.

Interest Income and Average Earning Asset Yield

Our interest income

was $1.3

million for

the nine

months ended September 30,

2022 and

$1.7 million

for the

nine months ended

September

30, 2021.

Average

MBS holdings

were

$48.6

million

and $68.9

million

for the

nine months

ended

September

30, 2022

and 2021,

respectively.

The $0.4

million

decrease

in interest

income was

due to

a $20.3

million

decrease

in average

MBS holdings,

which was

partially

offset by a

31 basis point

("bp") increase

in yields.

Our interest income was $0.4 million for

the three months ended September 30, 2022 and

$0.5 million for the

three months ended

September 30, 2021.

Average MBS holdings were $41.4 million and $66.7 million for the three months ended September

30, 2022 and

2021, respectively.

The $0.1 million

decrease in

interest income

was due to a $25.3

million decrease

in average

MBS holdings,

which was

partially offset

by a 108

bp increase

in yields in

average MBS

holdings.

The tables below present the average

portfolio size, income

and yields of our respective

sub-portfolios,

consisting of structured

MBS

and PT MBS,

for the nine

months ended

September

30, 2022

and 2021,

and for each

quarter during

2022 and

2021.

32 -

($ in thousands)

Average MBS Held

Interest Income

Realized Yield on Average MBS

Structured

Three Months Ended

MBS

Total

MBS

Total

MBS

Total

September 30, 2022

38,384

3,018

41,402

383

445

3.99%

8.17%

4.30%

June 30, 2022

43,568

3,039

46,607

333

392

3.06%

7.75%

3.36%

March 31, 2022

54,836

2,905

57,741

472

491

3.45%

2.61%

3.40%

December 31, 2021

59,701

2,896

62,597

500

511

3.35%

1.55%

3.27%

September 30, 2021

64,641

2,051

66,692

533

537

3.30%

0.91%

3.22%

June 30, 2021

70,207

718

70,925

579

(1)

578

3.30%

(0.11)%

3.26%

March 31, 2021

68,703

314

69,017

605

611

3.53%

6.54%

3.54%

Nine Months Ended

September 30, 2022

45,596

2,988

48,584

1,188

140

1,328

3.48%

6.22%

3.65%

September 30, 2021

67,851

1,027

68,878

1,717

1,726

3.37%

1.25%

3.34%

Interest Expense on Repurchase Agreements and the Cost of Funds

Our average

outstanding

balances

under repurchase

agreements

were $47.6

million and

$69.5 million,

generating

interest expense

$0.3 million

and $0.1

million for

the nine months

ended September

30, 2022

and 2021,

respectively.

Our average

cost of funds

was 0.88%

and 0.18% for nine months

ended September

30, 2022 and 2021, respectively.

There was a 70 bp increase in the average

cost of funds

and a

$21.9 million

decrease in

average outstanding repurchase agreements during

the

nine months

ended September 30,

2022, as

compared

to the nine

months ended

September

30, 2021.

Our economic

interest

expense

was $0.9

million

and $2.2

million

for the

nine

months

ended

September

30, 2022

and 2021,

respectively.

There was

a 183 bp decrease

in the average

economic cost

of funds

to 2.43%

for the nine

months ended

September

30, 2022 from

4.26%

for the nine

months ended September 30, 2021.

The $1.3 million decrease in

economic interest expense was due to the

$21.9 million

decrease in average

outstanding repurchase agreements,

combined with the

183 bp

decrease economic cost of

funds during the

nine

months ended

September

30, 2022.

Our average

outstanding

balances

under repurchase

agreements

were $40.2

million and

$67.3 million,

generating

interest expense

approximately

$0.2 million

and 24,000

for the three

months ended

September

30, 2022 and

2021, respectively.

Our average

cost of funds

was 2.09% and 0.14% for

three months ended

September 30,

2022 and 2021, respectively.

There was a 195 bp increase

in the average

cost of

funds,

which was

partially

offset by

a $27.0

million

decrease

in average

outstanding

repurchase

agreements

during

the three

months

ended September

30, 2022,

as compared

to the three

months ended

September

30, 2021.

Our

economic

interest

expense

was

$0.4

million

and

$0.7

million

for

the

three

months

ended

September 30,

2022

and

2021,

respectively. There

was a 44

bp decrease

in the average

economic

cost of funds

to 3.92%

for the

three months

ended September

30, 2022

from 4.36%

for the three

months ended

September

30, 2021.

Because all of

our repurchase agreements are short-term, changes in market rates

have a

more immediate impact on our

interest

expense.

Our average

cost of funds

calculated

on a GAAP

basis was

10 bps below

the average

one-month

LIBOR and

120 bps below

the

average

six-month

LIBOR for

the quarter

ended September

30, 2022.

Our average

economic

cost of

funds was

173 bps

above the

average

one-month

LIBOR

and 63

bps above

the average

six-month

LIBOR

for the

quarter

ended September

30, 2022.

The average

term to

maturity

of the outstanding

repurchase

agreements

decreased

from 16

days at December

31, 2021

to 16 days

at September

30, 2022.

The tables

below

present

the average

outstanding

balances

under

our repurchase

agreements,

interest

expense

and average

economic

cost of funds,

and average

one-month and

six-month LIBOR

rates for the

nine months

ended September

30, 2022 and

2021, and for

each

quarter in

2022 and

2021, on

both a GAAP

and economic

basis.

33 -

($ in thousands)

Average

Balance of

Interest Expense

Average Cost of Funds

Repurchase

GAAP

Economic

GAAP

Economic

Three Months Ended

Agreements

Basis

September 30, 2022

40,210

210

394

2.09%

3.92%

June 30, 2022

45,870

259

0.63%

2.25%

March 31, 2022

56,846

216

0.22%

1.52%

December 31, 2021

61,019

728

0.14%

4.77%

September 30, 2021

67,253

733

0.14%

4.36%

June 30, 2021

72,241

739

0.17%

4.09%

March 31, 2021

69,104

748

0.23%

4.33%

Nine Months Ended

September 30, 2022

47,642

314

869

0.88%

2.43%

September 30, 2021

69,533

2,220

0.18%

4.26%

Average GAAP Cost of Funds

Average Economic Cost of Funds

Relative to Average

Average LIBOR

One-Month

Six-Month

One-Month

Six-Month

Three Months Ended

One-Month

Six-Month

LIBOR

September 30, 2022

2.19%

3.29%

(0.10)%

(1.20)%

1.73%

0.63%

June 30, 2022

0.93%

1.90%

(0.30)%

(1.27)%

1.32%

0.35%

March 31, 2022

0.25%

0.76%

(0.03)%

(0.54)%

1.27%

0.76%

December 31, 2021

0.09%

0.23%

0.05%

(0.09)%

4.68%

4.54%

September 30, 2021

0.09%

0.16%

0.05%

(0.02)%

4.27%

4.20%

June 30, 2021

0.10%

0.18%

0.07%

(0.01)%

3.99%

3.91%

March 31, 2021

0.13%

0.23%

0.10%

0.00%

4.20%

4.10%

Nine Months Ended

September 30, 2022

1.12%

1.98%

(0.24)%

(1.10)%

1.31%

0.45%

September 30, 2021

0.10%

0.19%

0.08%

(0.01)%

4.16%

4.07%

Dividend Income from Orchid

Effective August

30, 2022, Orchid

effected a 1-for-5

reverse stock

split, converting

every five shares

of issued and

outstanding

Orchid

common stock into one

share of common stock.

All share and per share

amounts reported

in this quarterly

report with respect

to Orchid’s

common stock

have been

adjusted

to reflect

this reverse

stock split.

At both September

30, 2022 and

December

31, 2021,

we owned 591,071

shares of

Orchid common

stock. Orchid

paid total

dividends

of $1.995

and $2.925

per share

during the

nine months

ended September

30, 2022

and 2021,

respectively.

During the

nine months

ended

September 30, 2022 and 2021, we

received dividends on this common stock investment of approximately $1.0 million and $1.5

million,

respectively. Orchid paid total dividends of $0.545 and $0.975 per share during the three months ended September 30, 2022 and 2021,

respectively.

During the three months ended

September 30, 2022 and 2021, we received

dividends on this common stock

investment of

approximately

$0.3

million and

$0.5 million,

respectively.

Long-Term Debt

Junior Subordinated Notes

Interest

expense on

our junior

subordinated

debt securities

was $0.9

million and

$0.7 million

for the nine

months ended

September

30,

2022 and 2021, respectively.

The average rate of interest paid for the nine months

ended September 30, 2022 was 4.64% compared

3.67% for

the comparable

period in

2021.

34 -

Interest expense

our

junior subordinated debt

securities was

$0.4 million

and

$0.2 million

for

the

three month

periods ended

September

30, 2022

and 2021,

respectively.

The average

rate of

interest

paid for

the three

months ended

September

30, 2022

was 5.58%

compared

to 3.62%

for the comparable

period in

2021.

The junior

subordinated

debt securities

pay interest

at a floating

rate.

The rate is

adjusted quarterly

and set at

a spread of

3.50% over

the prevailing

three-month

LIBOR rate

on the determination

date.

As of September

30, 2022,

the interest

rate was

6.79%.

Note Payable

On October

30, 2019,

the Company borrowed

$680,000 from a

bank. The

note is

payable in equal

monthly principal and interest

installments of approximately

$5,000 through October

30, 2039. Interest accrues

at 4.89% through October

30, 2024. Thereafter, interest

accrues based

on the weekly

average yield

to the United

States Treasury

securities

adjusted to

a constant

maturity of

5 years, plus

3.25%.

The note

is secured

by a mortgage

on the Company’s

office building.

Gains or Losses and Other Income

The table

below presents

our gains

or losses

and other

income for

the nine and

three months

ended September

30, 2022

and 2021.

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

Change

2022

2021

Change

Realized (losses) gains on sales of MBS

(858)

(927)

(69)

Unrealized losses on MBS

(6,606)

(2,222)

(4,384)

(2,572)

(324)

(2,248)

Total losses on

MBS

(7,464)

(2,153)

(5,311)

(2,572)

(255)

(2,317)

Gains (losses) on derivative instruments

795

(280)

1,075

844

(147)

991

Gains on retained interests in securitizations

Unrealized losses on

Orchid Island Capital, Inc. common stock

(7,423)

(856)

(6,567)

(3,140)

(779)

(2,361)

We invest

in MBS

with the

intent

to earn

net income

from the

realized

yield on

those

assets

over

their related

funding

and hedging

costs,

and not for the

purpose of making short term gains from trading in these securities.

However, we have sold, and may

continue to sell,

existing assets

acquire new

assets, which

our

management believes

might have

higher risk-adjusted

returns in

light of

current or

anticipated interest rates, federal government programs or general economic conditions or to

manage our balance sheet

as part

of our

asset/liability

management

strategy. During

the nine

months ended

September

30, 2022

and September

30, 2021,

we received

proceeds

$23.1 million

and $13.1

million from

the sales

of MBS,

respectively.

The fair

value of

our MBS

portfolio

and derivative

instruments,

and the

gains (losses)

reported

on those

financial

instruments,

are driven

by changes in yields and interest rates,

the spreads that MBS trade relative

to comparable duration

U.S. Treasuries or swaps, as well as

varying levels

of demand

for MBS.

The table

below presents

historical

interest

rate data

as of the

end of quarter

during 2022

and 2021.

35 -

5 Year

10 Year

15 Year

30 Year

Three

U.S. Treasury

Fixed-Rate

Month

Rate

(1)

Rate

(1)

Mortgage Rate

(2)

Mortgage Rate

(2)

Libor

(3)

September 30, 2022

4.04%

3.80%

5.35%

6.11%

3.45%

June 30, 2022

3.00%

2.97%

4.65%

5.52%

1.97%

March 31, 2022

2.42%

2.33%

3.39%

4.17%

0.84%

December 31, 2021

1.26%

1.51%

2.35%

3.10%

0.21%

September 30, 2021

1.00%

1.53%

2.18%

2.90%

0.12%

June 30, 2021

0.87%

1.44%

2.27%

2.98%

0.13%

March 31, 2021

0.94%

1.75%

2.39%

3.08%

0.19%

(1)

Historical 5 Year and 10

Year U.S. Treasury

Rates are obtained from quoted end of day prices on the Chicago Board Options

Exchange.

(2)

Historical 15 Year and

30 Year Fixed

Rate Mortgage Rates are obtained from Freddie Mac’s Primary

Mortgage Market Survey.

(3)

Historical LIBOR are obtained from the Intercontinental Exchange Benchmark

Administration Ltd.

Operating Expenses

For the nine

and three months ended September 30, 2022,

our total operating expenses were approximately $6.2 million and $2.1

million,

respectively, compared to approximately

$5.1 million and $1.7 million for the nine and three months ended September 30, 2021,

respectively.

The table

below presents

a breakdown

of operating

expenses for

the nine

and three

months ended

September

30, 2022 and

2021.

(in thousands)

Nine Months Ended September 30,

Three Months Ended September 30,

2022

2021

Change

2022

2021

Change

Compensation and related benefits

3,836

3,220

616

1,230

1,029

201

Legal fees

113

(31)

(19)

Accounting, auditing and other professional fees

288

293

(5)

(12)

Directors’ fees and liability insurance

588

568

195

190

Administrative and other expenses

1,422

940

482

549

300

249

6,216

5,134

1,082

2,077

1,653

424

Beginning

with the

second quarter

of 2022,

Bimini began

providing

certain repurchase

agreement

trading,

clearing and

administrative

services to

Orchid.

Providing

these services

required

Bimini to

increase staffing

and other

resources,

causing an

increase

compensation

related expenses

of approximately

$0.5 million

and $0.2

million for

the nine

and three

month periods

ended September

30,

2022, and

increases

in other

administrative

expenses

of approximately

$0.4 million

and $0.2

million for

the nine

and three

month periods

ended September

30, 2022,

as compared

to the nine

and three

months ended

September

30, 2021.

Income Tax Provision

We recorded

an income

tax (benefit)

provision

for the nine

months ended

September

30, 2022

and 2021

of approximately

$(1.6)

million and

$0.3 million,

respectively, on

consolidated

pre-tax book

(loss) income

of $(9.4)

million and

$1.2 million,

respectively. We

recorded

an income

tax (benefit)

provision

for the three

months ended

September

30, 2022

and 2021

of approximately

$(0.3) million

and

$0.2 million,

respectively, on

consolidated

pre-tax book

(loss) income

of $(3.4)

million and

$0.6 million.

36 -

Financial

Condition:

Mortgage-Backed Securities

As of September

30, 2022,

our MBS portfolio

consisted

of $44.3

million of

agency or

government

MBS at fair

value and

had a

weighted

average coupon

of 3.62%.

During the

nine months

ended September

30, 2022,

we received

principal

repayments

of $7.0 million

compared

to $11.8 million

for the

comparable

period ended

September

30,

2021.

The average

prepayment

speeds for

the quarters

ended

September

30, 2022

and 2021

were 10.8%

and 18.3%,

respectively.

The following

table presents

the three-month

constant prepayment

rate (“CPR”)

experienced

on our structured

and PT MBS

sub-

portfolios,

on an annualized

basis, for

the quarterly

periods presented.

CPR is a

method of

expressing

the prepayment

rate for

a mortgage

pool that

assumes that

a constant

fraction

of the remaining

principal

is prepaid

each month

or year. Specifically,

the CPR

in the chart

below represents

the three-month

prepayment

rate of the

securities

in the respective

asset category.

Structured

PT MBS

MBS

Total

Three Months Ended

Portfolio (%)

September 30, 2022

13.1

7.5

10.8

June 30, 2022

17.2

22.9

20.0

March 31, 2022

18.5

25.6

20.9

December 31, 2021

13.7

35.2

21.1

September 30, 2021

15.5

26.9

18.3

June 30, 2021

21.0

31.3

21.9

March 31, 2021

18.5

16.4

18.3

The following

tables summarize

certain characteristics

of our PT

MBS and structured

MBS as of

September

30, 2022

and December

31, 2021:

($ in thousands)

Weighted

Percentage

Average

Weighted

Maturity

Fair

Entire

Average

Longest

Asset Category

Value

Portfolio

Coupon

Months

Maturity

September 30, 2022

Fixed Rate MBS

41,276

93.2%

4.02%

329

1-Jul-52

Structured MBS

2,994

6.8%

2.84%

301

15-May-51

Total MBS Portfolio

44,270

100.0%

3.62%

327

1-Jul-52

December 31, 2021

Fixed Rate MBS

58,029

95.4%

3.69%

330

1-Sep-51

Structured MBS

2,774

4.6%

2.88%

306

15-May-51

Total MBS Portfolio

60,803

100.0%

3.41%

329

1-Sep-51

($ in thousands)

September 30, 2022

December 31, 2021

Percentage of

Agency

Fair Value

Entire Portfolio

Fair Value

Entire Portfolio

Fannie Mae

31,774

71.8%

39,703

65.3%

Freddie Mac

12,496

28.2%

21,100

34.7%

Total Portfolio

44,270

100.0%

60,803

100.0%

37 -

September 30, 2022

December 31, 2021

Weighted Average Pass-through Purchase Price

105.51

109.33

Weighted Average Structured Purchase Price

4.48

4.81

Weighted Average Pass-through Current Price

94.00

109.30

Weighted Average Structured Current Price

13.36

9.87

Effective Duration

(1)

4.484

2.103

(1)

Effective duration is the approximate percentage change in price

for a 100 basis point change in rates.

An effective duration of 4.484 indicates

that an interest rate increase of 1.0% would be expected to cause a 4.484% decrease in the

value of the MBS in our investment portfolio at

September 30, 2022.

An effective duration of 2.103 indicates that an interest

rate increase of 1.0% would be expected to cause a 2.103%

decrease in the value of the MBS in our investment portfolio at December

31, 2021. These figures include the structured securities in the

portfolio but do include the effect of our hedges. Effective duration

quotes for individual investments are obtained from The Yield

Book, Inc.

The following

table presents

a summary

of our portfolio

assets acquired

during the

nine months

ended September

30, 2022

and 2021.

($ in thousands)

Nine Months Ended September 30,

2022

2021

Total Cost

Average

Price

Weighted

Average

Yield

Total Cost

Average

Price

Weighted

Average

Yield

PT MBS

21,009

99.14

4.12%

23,337

106.48

1.41%

Structured MBS

2,852

10.01

0.43%

Our portfolio

of PT MBS

is typically

comprised

of adjustable-rate

MBS, fixed-rate

MBS and hybrid

adjustable-rate

MBS. We generally

seek to acquire

low duration

assets that

offer high

levels of

protection

from mortgage

prepayments

provided

that they

are reasonably

priced by

the market.

The stated

contractual

final maturity

of the mortgage

loans underlying

our portfolio

of PT MBS

generally ranges

to 30 years.

However, the

effect of prepayments

of the underlying

mortgage

loans tends

to shorten

the resulting

cash flows

from our

investments

substantially.

Prepayments

occur for

various reasons,

including

refinancing

of underlying

mortgages,

loan payoffs

connection

with home

sales, and

borrowers

paying more

than their

scheduled

loan payments,

which accelerates

the amortization

of the

loans.

The duration

of our IO

and IIO portfolio

will vary

greatly depending

on 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. Prepayments

affect the

duration

of IIO’s

similarly, but the

floating rate

nature of

the coupon

of IIOs (which

is inversely

related to

the level

of one month

LIBOR) causes

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

our MBS

can alter

the timing

of the cash

flows received

by us. As

a result,

we gauge

the interest

rate sensitivity

of its assets

by measuring

their effective

duration.

While modified

duration measures

the price

sensitivity

of a bond

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

expected prepayments.

38 -

We face the

risk that

the market

value of our

PT MBS assets

will increase

or decrease

at different

rates than

that of our

structured

MBS or liabilities,

including

our hedging

instruments.

Accordingly, we

assess our

interest

rate risk

by estimating

the duration

of our assets

and the duration

of our liabilities.

We generally

calculate

duration

and effective

duration

using various

third-party

models or

obtain these

quotes from

third parties.

However, empirical

results and

various 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 our

interest

rate-sensitive

investments

and hedge

positions

as of September

30, 2022,

assuming rates

instantaneously

fall 100 bps,

rise 100

bps and

rise 200

bps, adjusted

to reflect

the

impact of

convexity, which

is the

measure of

the sensitivity

of our hedge

positions

and Agency

MBS’ effective

duration

to movements

interest

rates.

($ in thousands)

Fair

$ Change in Fair Value

% Change in Fair Value

MBS Portfolio

Value

-100BPS

+100BPS

+200BPS

-100BPS

+100BPS

+200BPS

Fixed Rate MBS

41,276

1,973

(2,149)

(4,393)

4.78%

(5.21)%

(10.64)%

Structured MBS

2,994

(124)

(4.14)%

2.10%

2.61%

Total MBS

Portfolio

44,270

1,849

(2,086)

(4,315)

4.18%

(4.71)%

(9.75)%

($ in thousands)

Notional

$ Change in Fair Value

% Change in Fair Value

Amount

(1)

-100BPS

+100BPS

+200BPS

-100BPS

+100BPS

+200BPS

Treasury Futures Contracts

Repurchase Agreement Hedges

14,400

(1,115)

1,037

1,998

(7.75)%

7.20%

13.88%

14,400

(1,115)

1,037

1,998

Gross Totals

734

(1,049)

(2,317)

(1)

Represents the average contract/notional amount of Eurodollar futures

contracts.

In addition

to changes

in interest

rates, other

factors impact

the fair

value of our

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 our

assets would

likely differ

from that

shown

above and

such difference

might be

material and

adverse to

our stockholders.

Repurchase Agreements

As of September

30, 2022,

we had established

borrowing

facilities

in the repurchase

agreement

market with

a number

of commercial

banks and

other financial

institutions

and had borrowings

in place with

five of these

counterparties.

We believe

these facilities

provide

borrowing

capacity in

excess of

our needs.

None of these

lenders are

affiliated

with us.

These borrowings

are secured

by our MBS.

As of September

30, 2022,

we had obligations

outstanding

under the

repurchase

agreements

of approximately

$43.5 million

with a

net weighted

average borrowing

cost of 2.98%.

The remaining

maturity of

our outstanding

repurchase

agreement

obligations

ranged from

11 to 31 days,

with a weighted

average maturity

of 16 days.

Securing

the repurchase

agreement

obligation

as of September

30, 2022

are

MBS with

an estimated

fair value,

including

accrued interest,

of $44.3 million

and a weighted

average maturity

of 329 months.

Through

November

10, 2022,

we have been

able to maintain

our repurchase

facilities

with comparable

terms to those

that existed

at September

30,

2022 with

maturities

through December

19, 2022.

39 -

The table below presents information about our period-end, maximum and average

repurchase agreement obligations for each

quarter in 2022 and 2021.

($ in thousands)

Ending

Maximum

Average

Difference Between Ending

Balance

Repurchase Agreements and

of Repurchase

Average Repurchase Agreements

Three Months Ended

Agreements

Amount

Percent

September 30, 2022

43,494

46,977

40,210

3,284

8.17%

June 30, 2022

36,926

53,289

45,870

(8,944)

(19.50)%

March 31, 2022

54,815

58,772

56,846

(2,031)

(3.57)%

December 31, 2021

58,878

62,139

61,019

(2,141)

(3.51)%

September 30, 2021

63,160

72,047

67,253

(4,093)

(6.09)%

June 30, 2021

71,346

72,372

72,241

(895)

(1.24)%

March 31, 2021

73,136

76,004

69,104

4,032

5.83%

Liquidity and Capital Resources

Liquidity

is our ability

to turn non-cash

assets into

cash, purchase

additional

investments,

repay principal

and interest

on borrowings,

fund overhead

and fulfill

margin calls.

We have both

internal

and external

sources of

liquidity. However,

our material

unused sources

liquidity

include cash

balances,

unencumbered

assets and

our ability

to sell encumbered

assets to

raise cash.

Our balance

sheet also

generates

liquidity

on an on-going

basis through

payments of

principal

and interest

we receive

on our MBS

portfolio

and dividends

receive on

our investment

in Orchid

common stock.

Internal

Sources of

Liquidity

Our internal

sources of

liquidity

include our

cash balances,

unencumbered

assets and

our ability

to liquidate

our encumbered

security

holdings.

Our balance

sheet also

generated

liquidity

on an ongoing

basis through

payments

of principal

and interest

we receive

on our

MBS portfolio

and dividends

we receive

on our investment

in Orchid

common stock.

We have previously,

and may

again in the

future, employ

a hedging

strategy

that typically

involves

taking short

positions

in Eurodollar

futures,

T-Note futures,

TBAs or other

instruments.

When the

market causes

these short

positions

to decline

in value we

are required

meet margin

calls with

cash.

This can

reduce our

liquidity

position

to the extent

other securities

in our portfolio

move in price

in such a

way

that we do

not receive

enough cash

through margin

calls to offset

the Eurodollar

related margin

calls. If

this were

to occur

in sufficient

magnitude,

the loss of

liquidity

might force

us to reduce

the size

of the levered

portfolio,

pledge additional

structured

securities

to raise

funds or

risk operating

the portfolio

with less

liquidity.

External

Sources of

Liquidity

Our primary

external

sources of

liquidity

are our ability

to (i) borrow

under master

repurchase

agreements

and (ii)

use the TBA

security

market. Our

borrowing

capacity will

vary over

time as the

market value

of our interest

earning assets

varies. Our

master repurchase

agreements

have no stated

expiration,

but can be

terminated

at any time

at our 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

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.

40 -

Under our

repurchase

agreement

funding arrangements,

we are required

to post margin

at the initiation

of the borrowing.

The margin

posted represents

the haircut,

which is a

percentage

of the market

value of the

collateral

pledged.

To the extent the

market value

of the

asset collateralizing

the financing

transaction

declines,

the market

value of our

posted margin

will be insufficient

and we will

be required

post additional

collateral.

Conversely, if

the market

value of the

asset pledged

increases

in value,

we would

be over collateralized

and we

would be

entitled to

have excess

margin returned

to us by the

counterparty.

Our lenders

typically

value our

pledged securities

daily to

ensure the

adequacy of

our margin

and make margin

calls as

needed, as

do we.

Typically, but not always,

the parties

agree to

a minimum

threshold

amount for

margin calls

so as to avoid

the need

for nuisance

margin calls

on a daily

basis. Our

master repurchase

agreements

do not specify

the haircut;

rather haircuts

are determined

on an individual

repurchase

transaction

basis.

We invest a

portion of

our capital

in structured

MBS.

We generally

do not apply

leverage

to this portion

of our portfolio.

The leverage

inherent

in structured

securities

replaces the

leverage

obtained

by acquiring

PT securities

and funding

them in the

repurchase

market.

This structured

MBS strategy

has been

a core element

of the Company’s

overall investment

strategy

since 2008.

However, we

have and

may continue

to pledge

a portion

of our structured

MBS in order

to raise our

cash levels,

but generally

will not

pledge these

securities

order to

acquire additional

assets.

In future

periods we

expect to

continue to

finance our

activities

through repurchase

agreements

and through

revenues

from our

advisory services

business.

As of September

30, 2022,

we had cash

and cash equivalents

of $5.9

million.

We generated

cash flows

$8.3 million

from principal

and interest

payments on

our MBS

portfolio

and had average

repurchase

agreements

outstanding

of $47.6

million during

the nine months

ended September

30, 2022.

In addition,

during the

nine months

ended September

30, 2022,

we received

approximately

$9.7 million

in management

fees and

expense reimbursements

as manager

of Orchid

and approximately

$1.0 million

dividends

from our

investment

in Orchid

common stock.

Outlook

Orchid Island

Capital Inc.

Orchid Island

Capital reported

a third quarter

2022 loss

of $84.5

million and

its shareholders

equity declined

from $506.4

million to

$400.4 million.

The market

conditions

described

below led

to the loss

as agency

MBS underperformed

comparable

duration

treasuries

and the Orchid’s

hedge positions.

The decline

in shareholders

equity is

likely to

lead to reduced

management

fees at Bimini

Advisors

going forward

if Orchid

is unable

to rebuild

its shareholders

equity since

the amount

of the management

fees paid

to the Company

are a

function of

Orchid’s equity.

Orchid also

reduced its

monthly dividend

once during

the quarter

from $0.225

per month

to $0.16 per

month.

The reduction

in the dividend

decreased

the monthly

dividend

revenues

to the Company.

Orchid is

obligated

to reimburse

us for direct

expenses paid

on its behalf

and to pay

to us Orchid’s

pro rata

share of

overhead as

defined in

the management

agreement.

As a stockholder

of Orchid,

we will also

continue to

share in

distributions,

if any, paid by

Orchid to

its stockholders.

Our operating

results are

also impacted

by changes

in the market

value of our

holdings of

Orchid common

shares,

although

these market

value changes

do not impact

our cash flows

from Orchid.

41 -

Economic

Summary

The evolution

of economic

and market

developments

pivoted in

the third

quarter of

2022.

Trends in place

since late

2021 have

changed in

the third

quarter.

The outlook

for the domestic

economy of

the United

States, particularly

with respect

to inflation,

the level

interest

rates and

expectations

for monetary

policy from

the Fed changed

during the

quarter.

As the second

quarter of

2022 ended,

the

market expected

that the

monetary

tightening

policies implemented

by the Fed

to control

inflation

would soon

succeed, and

that by

early in

2023 the

Fed would

likely start

to unwind

their rate

increases

in order

to avert

an economic

slowdown

resulting

from these

policies. The

catalyst for

the changes

that occurred

during the

third quarter

of 2022 was

clear evidence

that not

only was

inflation

persisting,

but that

was becoming

more broad

based and

entrenched.

As the Fed

and the various

members of

the FOMC

became aware

of this, their

public

comments consistently

sought to

dispel the

notion that

they would

be easing

monetary policy

in early 2023

as the futures

markets were

pricing.

As the quarter

unfolded

and the inflation

data continued

to reflect

this trend,

the market

grew to

accept that

the Fed would

have to

raise the

Fed Funds

target further

into restrictive

territory.

At the conclusion

of their

meeting

on November

2, 2022,

Fed chairman

Powell

expressed

the view

that since

the incoming

economic

data since

their September

meeting was

so strong,

the terminal

funds rate

would

likely have

to be higher

than the

Fed expected

in September.

The market

reacted quickly

to this guidance

and the terminal

rate priced

into

the Fed funds

futures market

was nearly

5.15% on

November

4, 2022.

The market

is now very

sensitive

to income

economic

data,

particularly

inflation

data.

Contributing

to the change

in economic

and interest

rate trends

were developments

abroad, particularly

in Europe

and the United

Kingdom.

While inflation

has proven

to be more

robust and

challenging

to control

in the U.S.,

it has been

even more

so in Europe

and

most of the

world outside

of China,

which is grappling

with persistent

COVID-19

cases that

have forced

the government

to intermittently

lock down

various population

centers.

The war

in Ukraine

has contributed

significantly

to food

and energy

price pressures

globally, more

so than in

the U.S.

The result

is essentially

all central

banks across

the globe

– outside

of China

and Japan

– are raising

rates.

Like the

Fed, the

central banks’

efforts have

yet to slow

inflation

and more

rate hikes

are very

likely.

Food and

energy inflation

poses additional

pressure

on governments

who are

eager to

ease the

burden of

elevated prices

for essentials

like food

and energy, but

are constrained

because their

efforts themselves

might increase

inflationary

pressures

and run counter

to central

bank actions

that are

attempting

constrain

economic activity

and demand.

A further

complicating

factor has

been the

U.S. dollar.

As the Fed

is forced

to continue

to raise

rates in

the U.S.,

the dollar

has

appreciated

against all

other currencies.

This in turn

forces other

central banks

to raise

rates to

protect their

own currencies,

often above

and beyond

what their

domestic economic

circumstances

might warrant.

Risk sentiment

is at extremely

depressed

levels and

all asset

classes across

the financial

markets have

generated

negative

year-to-

date returns

for 2022,

outside of

energy and

certain food

commodities.

Economic growth

is expected

to continue

to slow over

the balance

of the year,

both in the

U.S. and

globally, and likely

contract in

2023.

Interest

Rates

As the market

incorporated

inflation

data and

the Fed’s response

through the

second quarter

of 2022,

interest

rates began

to rise

significantly.

On August

1, 2022,

the 10-year

U.S. Treasury

Note closed

with a yield

of 2.5759%,

shortly before

the FOMC

began to

temper market

expectations

that the

Fed would

pivot away

from their

tightening

and begin

to lower

the Fed Funds

rate in early

2023.

The

yield on the

10-year U.S.

Treasury Note

closed just

above 3.83%

on September

30, 2022,

and just under

4.25% on

October 24,

2022.

This increase

was much

less than

the increase

in short-term

rates.

Interest

rates on

U.S. Treasury

Note maturities

inside one

year

increased

by well over

100 basis

points and

by more than

160 basis

points for

maturities

of three

months or

less – in

each case

by the end

of the third

quarter of

2022.

With the continued

increases

in market

expectations

of the Fed’s

terminal rate,

maturities

of three or

fewer

months have

increased

by more

than 250

basis points

from the

end of the

second quarter

through November

10, 2022.

As of September

30, 2022,

market pricing

implied the

terminal rate

for the current

cycle would

be approximately

4.53%, which

would be

reached late

in the

first quarter

of 2023.

As of November

10, 2022,

pricing is

for a terminal

rate of approximately

4.85% sometime

late in June

of 2023

and

with the

Fed Funds

rate still

approximately

4.25% in

early 2024.

42 -

The Fed has

repeatedly

acknowledged

their efforts

to bring

inflation under

control and

taking the

Fed Funds

rate above

neutral may

cause the

economy to

enter a recession.

They deem

these steps

as necessary

to prevent

inflation

from remaining

higher than

the Fed’s

target rate

of inflation.

However, as it

appears the

Fed will

have to increase

the Fed Funds

rate considerably

higher than

was believed

be the case

even a few

months ago,

and central

banks across

the globe

are doing

likewise,

financial

conditions

have begun

to deteriorate

and liquidity

in many financial

markets has

declined.

If such trends

persist and

evidence appears

that certain

financial

markets are

not

operating

smoothly, or financial

conditions

are prohibiting

economic

activity from

operating

smoothly, central

banks may

face a dilemma

continuing

to increase

interest

rates or

implementing

accommodations

to permit

the smooth

operation

of financial

markets and

the

economy –

assuming

this were

to occur

before inflation

could be

brought under

control.

The outcome

in such a

scenario

cannot be

predicted

with any

confidence

at this time.

The Agency

MBS Market

Returns for

the Agency

MBS market

for the third

quarter of

2022 were

(5.4)% and

these returns

were 1.7%

lower than

comparable

duration

LIBOR swaps.

The largest

MBS investors

have generally

been selling

or decreasing

their exposure

to the sector.

Agency MBS

spreads relative

to benchmark

interest

rates increased

to levels

observed in

March of

2020 by

the end of

the third

quarter of

2022 and

have exceeded

those levels

in October

of 2022.

The largest

investors

of Agency

MBS, the

Fed via quantitative

easing (which

is now

quantitative

tightening

as the Fed

allows their

holdings of

Agency MBS

to run-off),

large domestic

banks (which

due to quantitative

tightening

by the Fed

are experiencing

declines in

reserves/deposits)

and large

money managers

(which have

experienced

significant

outflows

as investors

leave fixed

income investments),

are collectively

causing demand

for Agency

MBS to decline

materially

and driving

the spread

widening.

As the U.S.

dollar has

strengthened

against most

other currencies

across the

globe, there

is the chance

certain

central banks

– namely the

Bank of

Japan – may

be forced

to intervene

in the currency

markets to

support their

local currency,

in this case

the Yen.

They would

do so by selling

U.S. dollar-denominated

assets and

buying Yen.

The only

U.S. dollar-denominated

assets they

own

are U.S.

Treasuries and

Agency MBS,

and selling

these would

represent

another source

of downward

pressure

on Agency

MBS. The

relative performance

across the

Agency MBS

universe was

skewed in

favor of

higher coupon,

30-year securities

that are

currently

production

by originators.

Lower coupon

securities,

especially

those held

in large

amounts by

the Fed,

and which

may eventually

be sold

by the Fed,

have performed

the worst.

These results

are consistent

with the

relative duration

of the securities,

as higher

coupons have

shorter durations,

or less sensitivity

to movements

in interest

rates.

As both the

domestic and

the global

economies

appear to

be slowing,

the more

credit sensitive

sectors of

the fixed

income markets

have come

under pressure

and are

likely to

weaken further

if the economies

do indeed

contract.

Actions by

the Fed as

described

above

may prevent

the sector

from performing

well in the

near term

but, if the

economy does

contract

and enter

a recession,

the sector

could do

well on a

relative performance

basis owing

to the lack

of credit

exposure

of Agency

MBS.

This is consistent

with the

sector’s

history of

performance

in a counter-cyclical

manner –

doing well

when the

economy is

soft and

relatively

poorly when

the economy

is strong.

Recent Legislative

and Regulatory

Developments

In response

to the deterioration

in the markets

for U.S.

Treasuries, Agency

MBS and other

mortgage

and fixed

income markets

resulting

from the

impacts of

the COVID-19

pandemic,

the Fed implemented

a program

of quantitative

easing. Through

November

of 2021,

the Fed was

committed

to purchasing

$80 billion

of U.S.

Treasuries and

$40 billion

of Agency

MBS each

month. In

November

of 2021,

began tapering

its net asset

purchases

each month

and ended

net asset

purchases

entirely

by early March

of 2022.

On May 4,

2022, the

FOMC announced

a plan for

reducing

the Fed’s balance

sheet. In

June of 2022,

in accordance

with this

plan, the

Fed began

reducing

its

balance sheet

by a maximum

of $30 billion

of U.S.

Treasuries and

$17.5 billion

of Agency

MBS each

month. On

September

21, 2022,

the

FOMC announced

the Fed’s decision

to continue

reducing

the balance

sheet by a

maximum

of $60 billion

of U.S Treasuries

and $35

billion of

Agency MBS

per month.

43 -

On January

29, 2021,

the CDC issued

guidance extending

eviction

moratoriums

for covered

persons put

in place by

the CARES

Act

through March

31, 2021.

The FHFA subsequently

extended

the foreclosure

moratorium

for loans

backed by

Fannie Mae

and Freddie

Mac

and the eviction

moratorium

for real

estate owned

by Fannie

Mae and Freddie

Mac until

July 31,

2021 and

September

30, 2021,

respectively. The

U.S. Housing

and Urban

Development

Department

subsequently

extended

the FHA

foreclosure

and eviction

moratoria

July 31, 2021,

and September

30, 2021,

respectively.

Despite

the expirations

of these

foreclosure

moratoria,

a final rule

adopted by

the

CFPB on

June 28,

2021, effectively

prohibited

servicers

from initiating

a foreclosure

before January

1, 2022,

in most instances.

Foreclosure

activity has

risen since

the end of

the moratorium,

with foreclosure

starts in

the third

quarter of

2022 up 167%

from the

comparable

period in

2021, but

still remaining

slightly

below pre-pandemic

levels.

In January

2019, the

Trump administration

made statements

of its plans

to work with

Congress to

overhaul

Fannie Mae

and Freddie

Mac and expectations

to announce

a framework

for the development

of a policy

for comprehensive

housing finance

reform soon.

September

30, 2019,

the FHFA announced

that Fannie

Mae and Freddie

Mac were

allowed to

increase their

capital buffers

to $25 billion

and $20 billion,

respectively, from

the prior

limit of $3

billion each.

This step

could ultimately

lead to

Fannie Mae

and Freddie

Mac being

privatized

and represents

the first

concrete

step on the

road to GSE

reform.

On June 30,

2020, the

FHFA released

a proposed

rule on a

new regulatory

framework

for the GSEs

which seeks

to implement

both a risk-based

capital framework

and minimum

leverage

capital

requirements.

The final

rule on the

new capital

framework

for the GSEs

was published

in the federal

in December

2020.

January 14,

2021, the

U.S. Treasury

and the FHFA

executed letter

agreements

allowing

the GSEs

to continue

to retain

capital up

to their

regulatory

minimums,

including

buffers, as

prescribed

in the December

rule.

These letter

agreements

provide,

in part,

(i) there

will be no

exit from

conservatorship

until all

material litigation

is settled

and the GSE

has common

equity Tier

1 capital

of at least

3% of its

assets, (ii)

the GSEs

will comply

with the

FHFA’s regulatory capital

framework,

(iii) higher-risk

single-family

mortgage

acquisitions

will be

restricted

current levels,

and (iv)

the U.S.

Treasury and

the FHFA will

establish

a timeline

and process

for future

GSE reform.

However, no definitive

proposals

or legislation

have been

released

or enacted

with respect

to ending

the conservatorship,

unwinding

the GSEs,

or materially

reducing

the roles

of the GSEs

in the U.S.

mortgage

market. On

September

14, 2021,

the U.S.

Treasury and

the FHFA suspended

certain

policy provisions

in the January

agreement,

including

limits on

loans acquired

for cash

consideration,

multifamily

loans, loans

with higher

risk characteristics

and second

homes and

investment

properties.

On February

25, 2022,

the FHFA published

a final rule,

effective as

April 26,

2022, amending

the GSE capital

framework

established

in December

2020 by, among

other things,

replacing

the fixed

leverage

buffer equal

to 1.5% of

a GSE’s adjusted

total assets

with a dynamic

leverage

buffer equal

to 50% of

a GSE’s stability

capital buffer,

reducing

the risk weight

floor from

10% to 5%,

and removing

the requirement

that the

GSEs must

apply an overall

effectiveness

adjustment

to their

credit risk

transfer

exposures.

On June 14,

2022, the

GSEs announced

that they

will each

charge a

50 bps fee

for

commingled

securities

issued on

or after

July 1, 2022

to cover

the additional

capital required

for such

securities

under the

GSE capital

framework.

Industry

groups have

expressed

concern that

this poses

a risk to

the fungibility

of the Uniform

Mortgage-Backed

Security

(“UMBS”),

which could

negatively

impact liquidity

and pricing

in the market

for TBA

securities.

In 2017,

policymakers

announced

that LIBOR

will be replaced

by December

31, 2021.

The directive

was spurred

by the fact

that

banks are

uncomfortable

contributing

to the LIBOR

panel given

the shortage

of underlying

transactions

on which

to base levels

and the

liability

associated

with submitting

an unfounded

level. However,

the ICE Benchmark

Administration,

in its capacity

as administrator

USD LIBOR,

has announced

that it intends

to extend

publication

of USD LIBOR

(other than

one-week and

two-month

tenors) by

months to

June 2023.

Notwithstanding

this extension,

a joint statement

by key regulatory

authorities

calls on banks

to cease

entering

into

new contracts

that use

USD LIBOR

as a reference

rate by no

later than

December

31, 2021.

44 -

On December

7, 2021,

the CFPB

released

a final rule

that amends

Regulation

Z, which

implemented

the Truth in

Lending Act,

aimed

at addressing

cessation

of LIBOR

for both

closed-end

(e.g., home

mortgage)

and open-end

(e.g., home

equity line

of credit)

products.

The

rule, which

mostly became

effective

in April

of 2022,

establishes

requirements

for the selection

of replacement

indices for

existing LIBOR-

linked consumer

loans. Although

the rule

does not mandate

the use of

SOFR as the

alternative

rate, it

identifies

SOFR as a

comparable

rate for

closed-end

products

and states

that for

open-end products,

the CFPB

has determined

that ARRC’s

recommended

spread-adjusted

indices based

on SOFR

for consumer

products to

replace the

one-month,

three-month,

or six-month

USD LIBOR

index “have

historical

fluctuations

that are

substantially

similar to

those of

the LIBOR

indices that

they are

intended

to replace.”

The CFPB

reserved judgment,

however, on a

SOFR-based

spread-adjusted

replacement

index to

replace the

one-year USD

LIBOR until

it obtained

additional

information.

On March 15,

2022, the

Adjustable

Interest

Rate (LIBOR)

Act (the “LIBOR

Act”) was

signed into

law as part

of the Consolidated

Appropriations

Act, 2022

(H.R. 2471).

The LIBOR

Act provides

for a statutory

replacement

benchmark

rate for

contracts

that use

LIBOR

as a benchmark

and do not

contain any

fallback mechanism

independent

of LIBOR.

Pursuant to

the LIBOR

Act, SOFR

becomes the

new

benchmark

rate by operation

of law for

any such contract.

The LIBOR

Act establishes

a safe harbor

from litigation

for claims

arising out

or related

to the use

of SOFR

as the recommended

benchmark

replacement.

The LIBOR

Act makes

clear that

it should

not be construed

to disfavor

the use of

any benchmark

on a prospective

basis.

On July 28,

2022, the

Fed published

a proposed

rule to implement

the LIBOR

Act.

Since the

GSEs have

generally

been using

30-

day average

SOFR in their

newly issued

multifamily

loans and

other structured

products,

the Fed proposed

that the

benchmark

replacement

for Agency

MBS be the

30-day average

SOFR plus

the applicable

tenor spread

adjustment

specified

in the LIBOR

Act.

Comments

for the proposed

rule closed

August 29,

2022, and

any final

rule will

go into effect

30 days after

publication

in the Federal

The LIBOR

Act also

attempts

to forestall

challenges

that it is

impairing

contracts.

It provides

that the

discontinuance

of LIBOR

and

the automatic

statutory

transition

to a replacement

rate neither

impairs or

affects the

rights of

a party to

receive payment

under such

contracts,

nor allows

a party to

discharge

their performance

obligations

or to declare

a breach

of contract.

It amends

the Trust Indenture

Act of 1939

to state

that the

“the right

of any holder

of any indenture

security to

receive payment

of the principal

of and interest

on such

indenture

security shall

not be deemed

to be impaired

or affected”

by application

of the LIBOR

Act to any

indenture

security.

Effective January

1, 2021,

Fannie Mae,

in alignment

with Freddie

Mac, extended

the timeframe

for its delinquent

loan buyout

policy

for Single-Family

Uniform Mortgage-Backed

Securities

(UMBS) and

Mortgage-Backed

Securities

(MBS) from

four consecutively

missed

monthly payments

to twenty-four

consecutively

missed monthly

payments (i.e.,

24 months

past due).

This new

timeframe

applied to

outstanding

single-family

pools and

newly issued

single-family

pools and

was first

reflected

when January

2021 factors

were released

the fourth

business day

in February

2021.

For Agency

MBS investors,

when a delinquent

loan is bought

out of a

pool of mortgage

loans, the

removal of

the loan

from the

pool

is the same

as a total

prepayment

of the loan.

The respective

GSEs anticipated,

however, that

delinquent

loans will

be repurchased

most cases

before the

24-month

deadline under

one of the

following

exceptions

listed below.

•

a loan that

is paid in

full, or

where the

related lien

is released

and/or the

note debt

is satisfied

or forgiven;

•

a loan repurchased

by a seller/servicer

under applicable

selling

and servicing

requirements;

•

a loan entering

a permanent

modification,

which generally

requires

it to be

removed from

the MBS (during

any modification

trial

period, the

loan will

remain in

the MBS until

the trial

period ends);

•

a loan subject

to a short

sale or

deed-in-lieu

of foreclosure;

•

a loan referred

to foreclosure.

45 -

Because of

these exceptions,

the GSEs

believe based

on prevailing

assumptions

and market

conditions

this change

will have

only a

marginal impact

on prepayment

speeds, in

aggregate.

Cohort level

impacts may

vary. For example,

more than

half of loans

referred to

foreclosure

are historically

referred

within six

months of

delinquency. The

degree to

which speeds

are affected

depends on

delinquency

levels, borrower

response,

and referral

to foreclosure

timelines.

The scope

and nature

of the actions

the U.S.

government

or the Fed

will ultimately

undertake

are unknown

and will

continue to

evolve

Effect on

Regulatory

developments,

movements

in interest

rates and

prepayment

rates affect

us in many

ways, including

the following:

Effects on

our Assets

A change

in or elimination

of the guarantee

structure

of Agency

MBS may increase

our costs

(if, for

example, guarantee

fees

increase)

or require

us to change

our investment

strategy

altogether.

For example,

the elimination

of the guarantee

structure

of Agency

MBS may cause

us to change

our investment

strategy

to focus

on non-Agency

MBS,

which in

turn would

require us

to significantly

increase our

monitoring

of the credit

risks of our

investments

in addition

to interest

rate and

prepayment

risks.

Lower long-term

interest

rates can

affect the

value of our

Agency MBS

in a number

of ways.

If prepayment

rates are

relatively

low

(due, in

part, to

the refinancing

problems described

above), lower

long-term

interest

rates can

increase the

value of higher-coupon

Agency

MBS.

This is because

investors

typically

place a premium

on assets

with yields

that are

higher than

market yields.

Although

lower long-

term interest

rates may

increase

asset values

in our portfolio,

we may not

be able to

invest new

funds in similarly-yielding

assets.

If prepayment

levels increase,

the value

of our Agency

MBS affected

by such prepayments

may decline.

This is because

a principal

prepayment

accelerates

the effective

term of an

Agency MBS,

which would

shorten the

period during

which an

investor would

receive

above-market

returns (assuming

the yield

on the prepaid

asset is

higher than

market yields).

Also, prepayment

proceeds

may not

be able

to be reinvested

in similar-yielding

assets. Agency

MBS backed

by mortgages

with high

interest

rates are

more susceptible

to prepayment

risk because

holders of

those mortgages

are most

likely to

refinance

to a lower

rate. IOs

and IIOs,

however, may

be the types

of Agency

MBS most

sensitive

to increased

prepayment

rates. Because

the holder

of an IO

or IIO receives

no principal

payments,

the values

of IOs

and IIOs are

entirely dependent

on the existence

of a principal

balance on

the underlying

mortgages.

If the principal

balance is

eliminated

due to prepayment,

IOs and IIOs

essentially

become worthless.

Although

increased

prepayment

rates can

negatively

affect the

value of

our IOs and

IIOs, they

have the

opposite effect

on POs. Because

POs act like

zero-coupon

bonds, meaning

they are

purchased

at a

discount to

their par

value and

have an effective

interest

rate based

on the discount

and the term

of the underlying

loan, an increase

prepayment

rates would

reduce the

effective term

of our POs

and accelerate

the yields

earned on

those assets,

which would

increase our

net income.

Higher long-term

rates can

also affect

the value

of our Agency

MBS.

As long-term

rates rise,

rates available

to borrowers

also rise.

This tends

to cause prepayment

activity to

slow and

extend the

expected average

life of mortgage

cash flows.

As the expected

average

life of the

mortgage

cash flows

increases,

coupled with

higher discount

rates, the

value of Agency

MBS declines.

Some of the

instruments

the Company

uses to hedge

our Agency

MBS assets,

such as interest

rate futures,

swaps and

swaptions,

are stable

average life

instruments.

This means

that to

the extent

we use such

instruments

to hedge

our Agency

MBS assets,

our hedges

may not adequately

protect us

from price

declines,

and therefore

may negatively

impact our

book value.

It is for

this reason

we use interest

only securities

our portfolio.

As interest

rates rise,

the expected

average life

of these

securities

increases,

causing generally

positive price

movements

the number

and size of

the cash

flows increase

the longer

the underlying

mortgages

remain outstanding.

This makes

interest

only

securities

desirable

hedge instruments

for pass-through

Agency MBS.

46 -

As described

above, the

Agency MBS

market began

to experience

severe dislocations

in mid-March

2020 as a

result of

the

economic,

health and

market turmoil

brought about

by COVID-19.

On March 23,

2020, the

Fed announced

that it would

purchase

Agency

MBS and U.S.

Treasuries in

the amounts

needed to

support smooth

market functioning,

which largely

stabilized

the Agency

MBS market,

but ended

these purchases

in March

2022 and

announced

plans to

reduce its

balance sheet.

The Fed’s planned

reduction

of its balance

sheet could

negatively

impact our

investment

portfolio.

Further, the

moratoriums

on foreclosures

and evictions

described

above will

likely

delay potential

defaults on

loans that

would otherwise

be bought

out of Agency

MBS pools

as described

above.

Depending

on the

ultimate resolution

of the foreclosure

or evictions,

when and

if it occurs,

these loans

may be removed

from the

pool into

which they

were

securitized.

If this were

to occur, it

would have

the effect

of delaying

a prepayment

on the Company’s

securities

until such

time. To the

extent the

Company’s Agency

MBS assets

were acquired

at a premium

to par, this will

tend to increase

the realized

yield on

the asset

question.

To the extent they

were acquired

at a discount,

this will

tend to decrease

the realized

yield on the

asset in question.

Because we

base our

investment

decisions

on risk management

principles

rather than

anticipated

movements

in interest

rates, in

volatile interest

rate environment

we may allocate

more capital

to structured

Agency MBS

with shorter

durations.

We believe

these

securities

have a lower

sensitivity

to changes

in long-term

interest

rates than

other asset

classes.

We may attempt

to mitigate

our

exposure

to changes

in long-term

interest

rates by

investing

in IOs and

IIOs, which

typically

have different

sensitivities

to changes

in long-

term interest

rates than

PT MBS,

particularly

PT MBS backed

by fixed-rate

mortgages.

Effects on our

borrowing

costs

We leverage

our PT MBS

portfolio

and a portion

of our structured

Agency MBS

with principal

balances through

the use of

short-term

repurchase

agreement

transactions.

The interest

rates on

our debt

are determined

by the short

term interest

rate markets.

Increases in

the

Fed Funds

rate, SOFR

or LIBOR

typically

increase our

borrowing

costs, which

could affect

our interest

rate spread

if there

is no

corresponding

increase in

the interest

we earn

on our assets.

This would

be most prevalent

with respect

to our Agency

MBS backed

fixed

rate mortgage

loans because

the interest

rate on a

fixed-rate

mortgage

loan does

not change

even though

market rates

may change.

In order

to protect

our net interest

margin against

increases

in short-term

interest

rates, we

may enter

into interest

rate swaps,

which

economically

convert our

floating-rate

repurchase

agreement

debt to fixed-rate

debt, or

utilize other

hedging instruments

such as

Eurodollar, Fed

Funds and

T-Note futures

contracts

or interest

rate swaptions.

Summary

In a continuation

of the extremely

turbulent

and volatile

market conditions

that have

existed since

the onset

of the COVID-19

pandemic,

during the

third quarter

of 2022 the

state of

the markets

and the outlook

changed

materially.

The perception

of inflation

on the

part of the

Fed has shaped

the rates

markets, currency

markets and

the outlook

for the economy

since the

spring of

2021.

This is when

inflation

first began

to accelerate

in the U.S.

During the

third quarter,

the Fed’s outlook,

or more accurately,

the markets

perception

of how

the Fed saw

inflation,

changed significantly.

Through early

August of

2022 the

markets perceived

that, while

inflation

was not transitory,

the Fed would

be able to

dampen demand

by raising

rates and

cause inflation

to decrease

back towards

the Fed’s long-term

target of

2%.

Further, the

market anticipated

this would

happen by

early in 2023

and that

the Fed would

then start

to loosen

monetary

policy shortly

thereafter.

The Fed,

through repeated

public comments

by various

Fed

officials and

ultimately

by the Chairman

at the Fed’s

annual central

banker symposium

in Jackson

Hole, Wyoming

in late August,

stressed that

this was not

going to

be the case.

Incoming economic

data

over the

period was

persistently

strong, indicating

the rate

increases

to date had

yet to slow

demand.

More importantly,

incoming

inflation

data showed

no evidence

of slowing

at all and

was in fact

becoming more

widespread,

possibly

even well

entrenched.

This reinforced

the

notion the

Fed will

have to take

rates higher

and for longer.

47 -

The result

of these

developments

was significant

and widespread.

Germane to

Royal Palm

and levered

Agency MBS

investors

were

increases

in market

interest

rates and

a widening

in the spreads

that Agency

MBS securities

trade relative

to comparable

duration

U.S.

Treasuries or

swaps.

The yield

on the 10-year

closed just

above 3.83%

on September

30, 2022,

and nearly

4.25% on

October

24, 2022.

As of November

10, 2022,

the market

is pricing

in a terminal

rate of

4.85% in

June of 2023.

As the market

has continued

to increase

expectations

of the Fed’s

terminal

rate, all

shorter maturity

U.S. Treasuries

have increased

in yield

as well.

Interest

rates on

maturities

inside one

year increased

by well over

100 basis

points and

by more than

160 basis

points for

maturities

of three

months or

less – in

each case

by the end

of the quarter.

Maturities

of three

months or

less have

increased

by over

250 basis

points since

the end of

the second

quarter –

a very rare

event in the

U.S. Treasury

market.

Agency MBS

spreads relative

to benchmark

interest

rates increased

to levels

observed

in March

of 2020 by

the end of

the third

quarter of

2022 and

have exceeded

those levels

in October

of 2022.

Returns for

the Agency

MBS market

for the third

quarter of

2022

were (5.4)%

and these

returns were

1.7% lower

than comparable

duration

LIBOR swaps.

The relative

performance

across the

Agency

MBS universe

is skewed

in favor

of higher

coupon, 30-year

securities

that are

currently

in production

by originators.

Lower coupon

securities,

especially

those held

in large

amounts by

the Fed,

and which

may eventually

be sold by

the Fed,

have performed

the worst.

These results

are consistent

with the

relative duration

of the securities,

as higher

coupons have

shorter durations,

or less sensitivity

movements

in interest

rates. Actions

by the Fed

may prevent

the sector

from performing

well in the

near term

but, if the

economy does

contract

and enter

a recession,

the sector

could do well

on a relative

performance

basis owing

to the lack

of credit

exposure

of Agency

MBS.

This is consistent

with the

sector’s

history of

performance

in a counter-cyclical

manner –

doing well

when the

economy is

soft and

relatively

poorly when

the economy

is strong.

Critical Accounting Estimates

Our consolidated

financial

statements

are prepared

in accordance

with GAAP.

GAAP requires

our management

to make some

complex and

subjective

decisions

and assessments.

Our most

critical accounting

policies involve

decisions

and assessments

which could

significantly

affect reported

assets,

liabilities,

revenues

and expenses,

and these

decisions

and assessments

can change

significantly

each reporting

period.

There have

been no changes

to the processes

used to determine

our critical

accounting

estimates

as discussed

our annual

report on

Form 10-K

for the year

ended December

31, 2021.

Capital Expenditures

At September 30, 2022, we had no material commitments for capital expenditures.

ITEM 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES

ABOUT MARKET

RISK.

We are a smaller reporting company as defined by Rule 12b-2 of the Exchange Act and are

not required to provide the information

otherwise required under this item.

48 -

ITEM 4. CONTROLS AND PROCEDURES.

Evaluation of Disclosure Controls and Procedures

As of the end of the period covered by this report (the “evaluation date”), we

carried out an evaluation, under the supervision and

with the participation of our management, including our Chief Executive Officer (the “CEO”)

and Chief Financial Officer (the “CFO”), of

the effectiveness of the design and operation of our disclosure controls and procedures,

as defined in Rule 13a-15(e) under the

Securities Exchange Act of 1934 (the “Exchange Act”). Based on this evaluation,

the CEO and CFO concluded our disclosure controls

and procedures, as designed and implemented, were effective as of the evaluation date (1)

in ensuring that information regarding the

Company and its subsidiaries is accumulated and communicated to our management,

including our CEO and CFO, by our employees,

as appropriate to allow timely decisions regarding required disclosure and (2)

in providing reasonable assurance that information we

must disclose in our periodic reports under the Exchange Act is recorded,

processed, summarized and reported within the time periods

prescribed by the SEC’s rules and forms.

Changes in Internal Control over Financial Reporting

There were no material changes in the Company’s internal control over financial reporting

that occurred during the Company’s

most recent fiscal quarter that have materially affected, or are reasonably likely to materially

affect, the Company’s internal control over

financial reporting.

49 -

PART II.

OTHER INFORMATION

ITEM 1.

LEGAL PROCEEDINGS

On April 22, 2020, the Company received a demand for payment from Citigroup, Inc.

in the amount of $33.1 million related to the

indemnification provisions of various mortgage loan purchase agreements (“MLPA’s”) entered into between Citigroup Global Markets

Realty Corp and Royal Palm Capital, LLC (f/k/a Opteum Financial Services,

LLC) prior to the date Royal Palm’s mortgage origination

operations ceased in 2007. In November 2021, Citigroup notified the Company

of additional indemnity claims totaling $0.2 million. The

demands are based on Royal Palm’s alleged breaches of certain representations and warranties

in the related MLPA’s.

The Company

believes the demands are without merit and intends to defend against the demands

vigorously. No provision or accrual has been

recorded related to the Citigroup demands.

We are not party to any other material pending legal proceedings as described

in Item 103 of Regulation S-K.

ITEM 1A.

RISK FACTORS.

There have been no material changes to the risk factors disclosed in our Annual

Report on Form 10-K for the year ended

December 31, 2021,

filed with the SEC on March 11, 2022.

ITEM 2. UNREGISTERED

SALES OF

EQUITY SECURITIES

AND USE

OF PROCEEDS

On September 16, 2021, the Board authorized a share repurchase plan

pursuant to Rule 10b5-1 of the Securities Exchange Act of

1934 (the “2021 Repurchase Plan”). Pursuant to the 2021 Repurchase Plan, the Company

may purchase shares of its Class A

Common Stock from time to time for an aggregate purchase price not to exceed

$2.5 million.

The table below presents the Company’s share repurchase activity for the three months

ended September 30,

2022.

Approximate Dollar

Shares Purchased

Amount of Shares

Total Number

Weighted-Average

as Part of Publicly

That May Yet be

of Shares

Price Paid

Announced

Repurchased Under

Repurchased

Per Share

Programs

the Authorization

July 1, 2022 - July 30, 2022

218,311

1.61

218,311

1,505,329

August 1, 2022 - August 31, 2022

3,611

1.47

3,611

1,500,007

September 1, 2022 - September 30, 2022

4,048

1.37

4,048

1,494,444

Totals / Weighted Average

225,970

1.60

225,970

1,494,444

The Company did not have any unregistered sales of its equity securities during the

three months ended September 30, 2022.

ITEM 3.

DEFAULTS UPON SENIOR

SECURITIES

None.

ITEM 4.

MINE SAFETY

DISCLOSURES.

Not Applicable.

ITEM 5.

OTHER INFORMATION

None.

50 -

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, 2004

3.2

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, 2005

3.3

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, 2006

3.4

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, 2007

3.5

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

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**

101.INS

Instance Document***

101.SCH

Taxonomy Extension Schema Document***

101.CAL

Taxonomy Extension Calculation Linkbase Document***

101.DEF

Additional Taxonomy Extension Definition Linkbase Document***

101.LAB

Taxonomy Extension Label Linkbase Document***

101.PRE

Taxonomy Extension Presentation Linkbase Document***

Filed herewith.

Furnished herewith

***

Submitted electronically herewith.

51 -

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:

November 14, 2022

By:

/s/ Robert E. Cauley

Robert E. Cauley

Chairman and Chief Executive Officer

Date:

November 14, 2022

By:

/s/ G. Hunter Haas, IV

G. Hunter Haas,

President, Chief Financial Officer, Chief

Investment Officer and Treasurer (Principal

Financial Officer and Principal Accounting Officer)

bmnm10q20220930x311

Exhibit 31.1

CERTIFICATIONS

I, Robert E. Cauley, certify that:

I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management,

Inc. (the "registrant");

Based on my knowledge, this report does not contain any untrue statement of a

material fact or omit to state a

material fact necessary to make the statements made, in light of the circumstances

under which such statements

were made, not misleading with respect to the period covered by this report;

Based on my knowledge, the financial statements, and other financial information

included in this report, fairly present

in all material respects the financial condition, results of operations and

cash flows of the registrant as of, and for, the

periods presented in this report;

The registrant's other certifying officer and I are responsible for establishing and maintaining

disclosure controls and

procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal

control over financial reporting

(as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant

and have:

designed such disclosure controls and procedures, or caused such disclosure

controls and procedures to be

designed under our supervision, to ensure that material information relating to the

registrant, including its

consolidated subsidiaries, is made known to us by others within those entities,

particularly during the period in

which this report is being prepared;

designed such internal control over financial reporting, or caused such internal

control over financial reporting to

be designed under our supervision, to provide reasonable assurance regarding the

reliability of financial

reporting and the preparation of financial statements for external purposes in accordance

with generally

accepted accounting principles;

evaluated the effectiveness of the registrant's disclosure controls and procedures and

presented in this report

our conclusions about the effectiveness of the disclosure controls and procedures, as

of the end of the period

covered by this report based on such evaluation; and

disclosed in this report any change in the registrant’s internal control over financial

reporting that occurred during

the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report)

that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over

financial reporting; and

The registrant's other certifying officer and I have disclosed, based on our most recent evaluation

of internal control

over financial reporting, to the registrant's auditors and the audit committee

of the registrant's board of directors (or

persons performing equivalent functions):

all significant deficiencies and material weakness in the design or operation

of internal control over financial

reporting which are reasonably likely to adversely affect the registrant's ability to record,

process, summarize

and report financial information; and

any fraud, whether or not material, that involves management or other employees

who have a significant role in

the registrant's internal control over financial reporting.

Date: November 14, 2022

/s/ Robert E. Cauley

Robert E. Cauley

Chairman of the Board and Chief Executive Officer

bmnm10q20220930x312

Exhibit 31.2

CERTIFICATIONS

I, G. Hunter Haas, certify that:

I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management,

Inc. (the "registrant");

Based on my knowledge, this report does not contain any untrue statement of a

material fact or omit to state a

material fact necessary to make the statements made, in light of the circumstances

under which such statements

were made, not misleading with respect to the period covered by this report;

Based on my knowledge, the financial statements, and other financial information

included in this report, fairly present

in all material respects the financial condition, results of operations and

cash flows of the registrant as of, and for, the

periods presented in this report;

The registrant's other certifying officer and I are responsible for establishing and maintaining

disclosure controls and

procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal

control over financial reporting

(as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant

and have:

designed such disclosure controls and procedures, or caused such disclosure

controls and procedures to be

designed under our supervision, to ensure that material information relating to the

registrant, including its

consolidated subsidiaries, is made known to us by others within those entities,

particularly during the period in

which this report is being prepared;

designed such internal control over financial reporting, or caused such internal

control over financial reporting to

be designed under our supervision, to provide reasonable assurance regarding the

reliability of financial

reporting and the preparation of financial statements for external purposes in accordance

with generally

accepted accounting principles;

evaluated the effectiveness of the registrant's disclosure controls and procedures and

presented in this report

our conclusions about the effectiveness of the disclosure controls and procedures, as

of the end of the period

covered by this report based on such evaluation; and

disclosed in this report any change in the registrant’s internal control over financial

reporting that occurred during

the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report)

that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over

financial reporting; and

The registrant's other certifying officer and I have disclosed, based on our most recent evaluation

of internal control

over financial reporting, to the registrant's auditors and the audit committee

of the registrant's board of directors (or

persons performing equivalent functions):

all significant deficiencies and material weakness in the design or operation

of internal control over financial

reporting which are reasonably likely to adversely affect the registrant's ability to record,

process, summarize

and report financial information; and

any fraud, whether or not material, that involves management or other employees

who have a significant role in

the registrant's internal control over financial reporting.

Date: November 14, 2022

/s/ G. Hunter Haas, IV

G. Hunter Haas,

President and Chief Financial Officer

bmnm10q20220930x321

Exhibit 32.1

CERTIFICATION

PURSUANT TO SECTION 906 OF THE

SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

I, Robert E. Cauley, in compliance 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-

Oxley Act of 2002, hereby certify that, the Company’s Quarterly Report on Form 10-Q for the

period ended

September 30, 2022 (the “Report”) filed with the Securities and Exchange Commission:

fully complies with the requirements of Section 13(a) or 15(d) of the Securities

Exchange Act of 1934, as

amended; and

the information contained in the Report fairly presents, in all material respects,

the financial condition and results

of operations of the Company.

It is not intended that this statement be deemed to be filed for purposes of the

Securities Exchange Act of 1934

November 14, 2022

/s/ Robert E.Cauley

Robert E. Cauley,

Chairman of the Board and

Chief Executive Officer

bmnm10q20220930x322

Exhibit 32.2

CERTIFICATION

PURSUANT TO SECTION 906 OF THE

SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

I, G. Hunter Haas, in compliance 18 U.S.C. Section 1350, as adopted pursuant

to Section 906 of the Sarbanes-Oxley

Act of 2002, hereby certify that, the Company’s Quarterly Report on Form 10-Q for the

period ended September 30,

2022 (the “Report”) filed with the Securities and Exchange Commission:

fully complies with the requirements of Section 13(a) or 15(d) of the Securities

Exchange Act of 1934, as

amended; and

the information contained in the Report fairly presents, in all material respects,

the financial condition and results

of operations of the Company.

It is not intended that this statement be deemed to be filed for purposes of the

Securities Exchange Act of 1934

November 14, 2022

/s/ G. Hunter Haas, IV

G. Hunter Haas, IV

President and Chief Financial Officer