0001275477-15-000069.txt : 20150805 0001275477-15-000069.hdr.sgml : 20150805 20150805134529 ACCESSION NUMBER: 0001275477-15-000069 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 13 CONFORMED PERIOD OF REPORT: 20150630 FILED AS OF DATE: 20150805 DATE AS OF CHANGE: 20150805 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BIMINI CAPITAL MANAGEMENT, INC. CENTRAL INDEX KEY: 0001275477 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 721571637 STATE OF INCORPORATION: MD FISCAL YEAR END: 0312 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 001-32171 FILM NUMBER: 151028413 BUSINESS ADDRESS: STREET 1: 3305 FLAMINGO DRIVE CITY: VERO BEACH STATE: FL ZIP: 32963 BUSINESS PHONE: 772 231 1400 MAIL ADDRESS: STREET 1: 3305 FLAMINGO DRIVE CITY: VERO BEACH STATE: FL ZIP: 32963 FORMER COMPANY: FORMER CONFORMED NAME: Opteum Inc. DATE OF NAME CHANGE: 20060217 FORMER COMPANY: FORMER CONFORMED NAME: BIMINI MORTGAGE MANAGEMENT INC DATE OF NAME CHANGE: 20040106 10-Q 1 bmnm10q20150630.htm BMNM FORM 10-Q 2015-06-30 bmnm10q20150630.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM 10-Q
 

þ           QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2015

¨           TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from __________ to ___________

Commission File Number:  001-32171
Bimini Capital Management, Inc.
(Exact name of registrant as specified in its charter)
 

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

3305 Flamingo Drive, Vero Beach, Florida 32963
(Address of principal executive offices) (Zip Code)

(772) 231-1400
(Registrant’s telephone number, including area code)

 


Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes ý  No ¨
 
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post such files).   Yes ý No ¨
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
 
Large accelerated filer ¨                                           Accelerated filer ¨                                           Non-accelerated filer ¨                                            Smaller Reporting Company ý
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).  Yes ¨  No ý
 
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
August 5, 2015
     12,355,045  
Class B Common Stock, $0.001 par value
August 5, 2015
     31,938  
Class C Common Stock, $0.001 par value
August 5, 2015
     31,938  
 
 
 

 
 
 

BIMINI CAPITAL MANAGEMENT, INC.

TABLE OF CONTENTS


   
Page
  
       
PART I. FINANCIAL INFORMATION
  
       
ITEM 1. Financial Statements
     1  
Consolidated Balance Sheets as of June 30, 2015 (unaudited) and December 31, 2014
     1  
Consolidated Statements of Operations (unaudited) for the six and three months ended June 30, 2015 and 2014
     2  
Consolidated Statement of Stockholders’ Equity (unaudited) for the six months ended June 30, 2015
     3  
Consolidated Statements of Cash Flows (unaudited) for the six months ended June 30, 2015 and 2014
     4  
ITEM 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
     26  
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk
     52  
ITEM 4. Controls and Procedures
     52  
         
PART II. OTHER INFORMATION
  
         
ITEM 1. Legal Proceedings
     53  
ITEM 1A. Risk Factors
     53  
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
     54  
ITEM 3. Defaults Upon Senior Securities
     54  
ITEM 4. Mine Safety Disclosures
     54  
ITEM 5. Other Information
     54  
ITEM 6. Exhibits
     55  
SIGNATURES
     56  
 
 

 
 
 

PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED BALANCE SHEETS
  
             
   
(Unaudited)
        
   
June 30, 2015
    
December 31, 2014
  
ASSETS:
            
Mortgage-backed securities, at fair value
            
Pledged to counterparties
   $ 105,812,917     $ 116,026,180  
Unpledged
     1,948,249       1,804,852  
Total mortgage-backed securities
     107,761,166       117,831,032  
Cash and cash equivalents
     7,009,072       4,699,059  
Restricted cash
     2,547,550       733,660  
Orchid Island Capital, Inc. common stock, at fair value
     11,004,464       12,810,728  
Retained interests in securitizations
     2,141,458       1,899,684  
Accrued interest receivable
     440,267       460,326  
Property and equipment, net
     3,537,405       3,584,603  
Deferred tax assets, net
     1,428,754       1,900,064  
Other assets
     2,652,616       2,960,042  
Total Assets
   $ 138,522,752     $ 146,879,198  
                 
LIABILITIES AND STOCKHOLDERS' EQUITY
                
                 
LIABILITIES:
                
Repurchase agreements
   $ 101,205,930     $ 109,963,995  
Junior subordinated notes due to Bimini Capital Trust II
     26,804,440       26,804,440  
Accrued interest payable
     89,111       94,397  
Other liabilities
     4,065,873       814,597  
Total Liabilities
     132,165,354       137,677,429  
                 
STOCKHOLDERS' EQUITY:
                
Preferred stock
     -       -  
Common stock
     12,410       12,388  
Additional paid-in capital
     334,571,864       334,522,850  
Accumulated deficit
     (328,226,876 )     (325,333,469 )
Stockholders’ equity
     6,357,398       9,201,769  
Total Liabilities and Stockholders' Equity
   $ 138,522,752     $ 146,879,198  
See Notes to Consolidated Financial Statements
  
 
 
 
 
-1-
 
 
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED STATEMENTS OF OPERATIONS
  
(Unaudited)
  
For the Six and Three Months Ended June 30, 2015 and 2014
  
                         
   
Six Months Ended June 30,
    
Three Months Ended June 30,
  
   
2015
    
2014
    
2015
    
2014
  
Interest income
   $ 2,281,256     $ 11,235,494     $ 1,074,122     $ 7,119,482  
Interest expense
     (198,334 )     (1,182,616 )     (98,142 )     (728,277 )
Net interest income, before interest on junior subordinated notes
     2,082,922       10,052,878       975,980       6,391,205  
Interest expense on junior subordinated notes
     (491,461 )     (488,517 )     (247,988 )     (245,334 )
Net interest income
     1,591,461       9,564,361       727,992       6,145,871  
Unrealized (losses) gains on mortgage-backed securities
     (197,399 )     11,266,428       (1,026,695 )     9,698,117  
Realized gains on mortgage-backed securities
     -       4,049,477       -       2,980,121  
(Losses) gains on derivative instruments
     (1,009,075 )     (7,590,975 )     5,625       (5,873,958 )
Net portfolio income (loss)
     384,987       17,289,291       (293,078 )     12,950,151  
                                 
Other income:
                                
Gains on retained interests in securitizations
     2,538,580       2,446,586       1,052,824       2,252,897  
Unrealized losses on Orchid Island Capital, Inc. common stock
     (1,806,264 )     -       (1,992,780 )     -  
Orchid Island Capital, Inc. dividends
     1,060,198       -       530,099       -  
Management fees
     1,868,700       -       1,013,900       -  
Other expense, net
     (22,153 )     (20,253 )     (10,174 )     (10,125 )
Total other income
     3,639,061       2,426,333       593,869       2,242,772  
                                 
Expenses:
                                
Compensation and related benefits
     1,263,444       1,357,307       594,653       911,134  
Directors' fees and liability insurance
     342,703       543,512       174,937       302,950  
Audit, legal and other professional fees
     1,047,451       1,088,791       712,674       688,541  
Direct REIT operating expenses
     36,858       229,316       18,055       114,133  
Settlement of litigation
     3,500,000       -       -       -  
Other administrative expenses
     118,688       391,075       33,735       236,354  
Total expenses
     6,309,144       3,610,001       1,534,054       2,253,112  
                                 
Net (loss) income before income tax provision (benefit)
     (2,285,096 )     16,105,623       (1,233,263 )     12,939,811  
Income tax provision (benefit)
     608,311       (2,131,758 )     271,216       25,601  
                                 
Net (loss) income
     (2,893,407 )     18,237,381       (1,504,479 )     12,914,210  
Less: income attributable to noncontrolling interests
     -       12,538,193       -       9,584,234  
                                 
Net (Loss) Income attributable to Bimini Capital stockholders
   $ (2,893,407 )   $ 5,699,188     $ (1,504,479 )   $ 3,329,976  
                                 
Basic and Diluted Net (Loss) Income Per Share of:
                                
CLASS A COMMON STOCK
                                
Basic and Diluted
   $ (0.23 )   $ 0.47     $ (0.12 )   $ 0.27  
CLASS B COMMON STOCK
                                
Basic and Diluted
   $ (0.23 )   $ 0.47     $ (0.12 )   $ 0.27  
Weighted Average Shares Outstanding:
                                
CLASS A COMMON STOCK
                                
Basic and Diluted
     12,339,358       12,071,977       12,346,224       12,294,879  
CLASS B COMMON STOCK
                                
Basic and Diluted
     31,938       31,938       31,938       31,938  
See Notes to Consolidated Financial Statements
  
 
 
 
-2-
 
 
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
  
(Unaudited)
  
For the Six Months Ended June 30, 2015
  
                         
 
Stockholders' Equity
      
   
Common
  
Additional
  
Accumulated
      
   
Stock
  
Paid-in Capital
  
Deficit
  
Total
  
Balances, January 1, 2015
   $ 12,388     $ 334,522,850     $ (325,333,469 )   $ 9,201,769  
Net loss
     -       -       (2,893,407 )     (2,893,407 )
Issuance of Class A common shares for board compensation
     22       39,669       -       39,691  
Amortization of equity plan compensation
     -       9,345       -       9,345  
                                 
Balances, June 30, 2015
   $ 12,410     $ 334,571,864     $ (328,226,876 )   $ 6,357,398  
See Notes to Consolidated Financial Statements
  
 
 
 
-3-
 
 
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED STATEMENTS OF CASH FLOWS
  
(Unaudited)
  
For the Six Months Ended June 30, 2015 and 2014
  
             
   
2015
    
2014
  
CASH FLOWS FROM OPERATING ACTIVITIES:
            
Net (loss) income
   $ (2,893,407 )   $ 18,237,381  
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities:
                
Stock based compensation
     49,036       221,498  
Depreciation
     47,198       54,629  
Deferred income tax provision (benefit)
     471,310       (2,154,025 )
Losses (gains) on mortgage-backed securities
     197,399       (15,315,905 )
Gains on retained interests in securitizations
     (2,538,580 )     (2,446,586 )
Unrealized losses on Orchid Island Capital, Inc. common stock
     1,806,264       -  
Realized and unrealized losses on interest rate swaptions
     -       1,285,300  
Changes in operating assets and liabilities:
                
Accrued interest receivable
     20,059       (2,368,595 )
Other assets
     307,426       (239,673 )
Accrued interest payable
     (5,286 )     218,451  
Other liabilities
     3,251,276       245,850  
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES
     712,695       (2,261,675 )
                 
CASH FLOWS FROM INVESTING ACTIVITIES:
                
From mortgage-backed securities investments:
                
Purchases
     (986,194 )     (1,003,577,756 )
Sales
     -       434,601,973  
Principal repayments
     10,858,661       28,820,992  
Payments received on retained interests in securitizations
     2,296,806       1,842,410  
Increase in restricted cash
     (1,813,890 )     (1,435,035 )
Purchases of property and equipment
     -       (34,550 )
Purchase of interest rate swaptions, net of margin cash received
     -       (1,219,000 )
NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES
     10,355,383       (541,000,966 )
                 
CASH FLOWS FROM FINANCING ACTIVITIES:
                
Proceeds from repurchase agreements
     451,679,644       3,523,211,129  
Principal repayments on repurchase agreements
     (460,437,709 )     (3,022,580,809 )
Issuance of common shares of Orchid Island Capital, Inc.
     -       75,115,922  
Cash dividends paid to noncontrolling interests
     -       (7,378,350 )
Class A common shares sold directly to employees
     -       98,000  
NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES
     (8,758,065 )     568,465,892  
                 
NET INCREASE IN CASH AND CASH EQUIVALENTS
     2,310,013       25,203,251  
CASH AND CASH EQUIVALENTS, beginning of the period
     4,699,059       11,959,292  
CASH AND CASH EQUIVALENTS, end of the period
   $ 7,009,072     $ 37,162,543  
                 
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION:
                
Cash paid during the period for:
                
Interest
   $ 695,081     $ 1,452,682  
Income taxes
   $ 137,001     $ 22,267  
                 
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING ACTIVITIES:
                
Securities acquired settled in later period
   $ -     $ 6,825,538  
See Notes to Consolidated Financial Statements
  

 
-4-
 

BIMINI CAPITAL MANAGEMENT, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
June 30, 2015

NOTE 1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization and Business Description

Bimini Capital Management, Inc., a Maryland corporation (“Bimini Capital”), was formed in September 2003 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (“MBS”).  Bimini Capital has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”).  As a REIT, Bimini Capital is generally not subject to federal income tax on its REIT taxable income provided that it distributes to its stockholders at least 90% of its REIT taxable income on an annual basis.  In addition, a REIT must meet other provisions of the Code to retain its special tax status.  Bimini Capital’s website is located at http://www.biminicapital.com.

On February 20, 2013, Orchid Island Capital, Inc. (“Orchid”) completed the initial public offering (“IPO”) of its common stock.  Prior to the completion of its IPO, Orchid was a wholly-owned qualified REIT subsidiary of Bimini Capital.  Since Orchid’s IPO and until December 31, 2014, Orchid was consolidated as a variable interest entity (“VIE”). Effective December 31, 2014, Orchid was deconsolidated.

As used in this document, discussions related to REIT qualifying activities include the MBS portfolios of both Bimini Capital and Orchid for 2014, and only the MBS portfolio of Bimini Capital for 2015. Discussions related to the “Company” refer to the consolidated entity, including Bimini Capital, our wholly-owned subsidiaries, and, through December 31, 2014, our VIE.  References to “Bimini Capital” and the “parent” refer to Bimini Capital Management, Inc. as a separate entity. Discussions related to Bimini Capital’s taxable REIT subsidiaries or non-REIT eligible assets refer to Bimini Advisors, Inc. and its wholly-owned subsidiary, Bimini Advisors, LLC (together “Bimini Advisors”), and MortCo TRS, LLC and its consolidated subsidiaries (“MortCo”).

Consolidation

The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors and MortCo. The accounts of Orchid are included in the consolidated statements of operations for the six and three months ended June 30, 2014, and in the statement of cash flows for the six months ended June 30, 2014.  All inter-company accounts and transactions have been eliminated from the consolidated financial statements.

Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 810, Consolidation, requires the consolidation of a VIE by an enterprise if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE, an ongoing assessment of whether an enterprise is the primary beneficiary of a VIE, and additional disclosures for entities that have variable interests in VIEs.

From the effective date of Orchid’s IPO and until December 31, 2014, management concluded, pursuant to ASC 810, that Orchid was a VIE. As a result, subsequent to Orchid’s IPO and until December 31, 2014, the Company consolidated Orchid in its financial statements.  The results of operations of Orchid were included in the Company’s 2014 consolidated statements of operations and cash flows, however, net income attributable to Bimini Capital stockholders did not include the portion of net income attributable to noncontrolling interests.


 
-5-
 


In December 2014, management re-evaluated the conditions resulting in the consolidation of Orchid and concluded that, due to Bimini’s decreased percentage ownership interest in Orchid, there was no longer a variable interest requiring consolidation.  As a result, in accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014.  However, as a VIE which was deconsolidated on December 31, 2014, Orchid’s results of operations were included in the consolidated statements of operations and cash flows through December 31, 2014, and are excluded in subsequent periods.

Assets recognized as a result of consolidating Orchid in prior periods did not represent additional assets that could be used to satisfy claims against Bimini Capital’s assts.  Conversely, liabilities recognized as a result of consolidating Orchid did not represent additional claims on Bimini Capital’s assets; rather, they represented claims against the assets of Orchid.  Creditors and stockholders of Orchid have no recourse to the assets of Bimini Capital.

As further described in Note 7, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital’s junior subordinated notes.  Pursuant to ASC 810, Bimini Capital’s common share investment in the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity method.

Liquidity

In 2006 and 2007, there were significant losses incurred which were attributable to the former mortgage origination operations of MortCo. These losses significantly reduced Bimini Capital’s equity capital base and the size of its MBS portfolio when compared to pre-2006 levels. This caused the Company’s overhead to be high in relation to its portfolio size. The smaller capital base made it difficult to generate sufficient net interest income to cover expenses.

Beginning in 2007, the Company began a series of actions to respond to the losses and their impact on our capital base.  One of these actions was to evaluate and pursue capital raising opportunities for Orchid.  Orchid completed its initial public offering of common stock on February 20, 2013.  In accordance with the management agreement between Bimini Advisors and Orchid,  Bimini Advisors receives fees for managing the MBS portfolio of Orchid, and certain overhead costs are allocated to Orchid on a pro rata basis commencing on July 1, 2014.  As a stockholder of Orchid, Bimini Capital will share in distributions when paid by Orchid to its stockholders.  These actions improved the Company’s liquidity outlook.

At June 30, 2015, the Company had cash and cash equivalents of approximately $7.0 million, an MBS portfolio of approximately $107.8 million and an equity capital base of approximately $6.4 million.  The Company generated cash flows of approximately $13.2 million from principal and interest payments on its MBS portfolio and approximately $2.3 million from retained interests in securitizations during the six months ended June 30, 2015. In addition, during the six months ended June 30, 2015, the Company received approximately $2.3 million in management fees and expense reimbursements as manager of Orchid and approximately $1.1 in dividends from its investment in Orchid common shares.  However, if cash resources are, at any time, insufficient to satisfy the Company’s liquidity requirements, such as when cash flows from operations are materially negative, the Company may be required to pledge additional assets to meet margin calls, liquidate assets, sell additional debt or equity securities or pursue other financing alternatives.

In May 2015, Bimini Capital agreed to settle a legal action as more fully described in Note 10.  In connection with the settlement and in accordance with GAAP, a loss of $3.5 million has been charged to operations for the six months ended June 30, 2015.  Although payments under the settlement agreement will reduce the Company’s liquidity, management believes that the Company will be able to generate sufficient cash from its operations to meet the payment obligations as they come due.


 
-6-
 


Basis of Presentation

The accompanying unaudited 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 do 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 six and three month periods ended June 30, 2015 are not necessarily indicative of the results that may be expected for the year ending December 31, 2015.

The consolidated balance sheet at December 31, 2014 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, 2014.

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 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 the fair values of MBS, investment in Orchid common shares, Eurodollar futures contracts, interest rate swaptions, retained interests, asset valuation allowances and deferred tax allowances.

Statement of Comprehensive (Loss) Income

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

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 of three months or less at the time of purchase.  At June 30, 2015, restricted cash consisted of approximately $0.5 million of cash held by a broker as margin on Eurodollar futures contracts and $2.1 million of cash held on deposit as collateral with repurchase agreement counterparties.  At December 31, 2014, restricted cash consisted of approximately $0.5 million of cash held by a broker as margin on Eurodollar futures contracts and $0.3 million of cash held on deposit as collateral with repurchase agreement counterparties.

The Company maintains cash balances at four banks, and, 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. At June 30, 2015, the Company’s cash deposits exceeded federally insured limits by approximately $6.0 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty.  The Company limits uninsured balances to only large, well-known banks and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.


 
-7-
 


Mortgage-Backed Securities

The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of mortgage-backed loans (collectively, “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 our 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.

The fair value of the Company’s investment in MBS is governed by ASC Topic 820, Fair Value Measurement.  The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date.  The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on 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 (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 of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security.  For 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

At the date of Orchid’s deconsolidation, the Company elected the fair value option for its continuing investment in Orchid common shares.  The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations for the six and three months ended June 30, 2015.  We estimate the fair value of our investment in Orchid on a market approach using “Level 1” inputs based on the quoted market price of Orchid’s common stock. Electing the fair value option requires the Company to record changes in fair value in the consolidated statements of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.

Retained Interests in Securitizations

From 2004 to 2006, MortCo participated in securitization transactions as part of its mortgage origination business. Retained interests in the securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management’s best estimates of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.

 
-8-
 
Derivative Financial Instruments

The Company uses 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 to date are Eurodollar futures contracts and options to enter in interest rate swaps (“interest rate swaptions”), but it may enter into other transactions in the future.

The Company has elected to not treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option.  FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value.  Changes in fair value are recorded in earnings for each period.

Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments.  In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives.  In 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.  To mitigate this risk, the Company uses well-established commercial banks as counterparties.

Financial Instruments

ASC Topic 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid Island Capital, Inc. common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in securitization transactions 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 13 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 June 30, 2015 and December 31, 2014, 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. Information regarding carrying amount, effective interest rate and maturity date for 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 buildings and improvements with depreciable lives of 30 years.  Property and equipment is recorded at acquisition cost and depreciated using the straight-line method over the estimated useful lives of the assets.

Repurchase Agreements

The Company finances the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.


 
-9-
 


Share-Based Compensation

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

Earnings Per Share

The Company follows the provisions of ASC Topic 260, Earnings Per Share, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in dividend distributions to present both basic and diluted earnings per share (“EPS”) on the face of the consolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. Diluted EPS is calculated using the 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 on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.

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

Income Taxes

Bimini Capital has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”).  REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status.  At June 30, 2015, management believes that the Company has complied with the Code requirements and Bimini Capital continues to qualify as a REIT. As further described in Note 11, Income Taxes, Bimini Advisors and MortCo are taxpaying entities for income tax purposes and are taxed separately from Bimini Capital.

The Company’s U.S. federal income tax returns for years ended on or after December 31, 2011 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.

The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, Income Taxes.  Under that guidance, the Company assesses the likelihood, based on their technical merit, that 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.

 
-10-
 
Recent Accounting Pronouncements

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standard Update (“ASU”) 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions.  The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015.  The ASU is not expected to materially impact the Company’s consolidated financial statements.

In June 2014, the FASB issued ASU 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. ASU 2014-11 amends the accounting guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings, and requires additional disclosure about certain transactions by the transferor. ASU 2014-11 is effective for certain transactions that qualify for sales treatment for the first interim or annual period beginning after December 15, 2014. The new disclosure requirements for repurchase agreements, securities lending transactions and repurchase-to-maturity transactions that qualify for secured borrowing treatment is effective for annual periods beginning after December 15, 2014 and for interim periods beginning after March 15, 2015. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.

NOTE 2.   MORTGAGE-BACKED SECURITIES

The following table presents the Company’s MBS portfolio as of June 30, 2015 and December 31, 2014:
 
(in thousands)
            
   
June 30, 2015
    
December 31, 2014
  
Pass-Through MBS:
            
Hybrid Adjustable-rate Mortgages
   $ 121     $ 442  
Fixed-rate Mortgages
     101,160       112,174  
Total Pass-Through MBS
     101,281       112,616  
Structured MBS:
                
Interest-Only Securities
     3,345       2,276  
Inverse Interest-Only Securities
     3,135       2,939  
Total Structured MBS
     6,480       5,215  
Total
   $ 107,761     $ 117,831  

The following table summarizes the Company’s MBS portfolio as of June 30, 2015 and December 31, 2014, according to the contractual maturities of the securities in the portfolio. Actual maturities of MBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.
 
(in thousands)
            
 
June 30, 2015
  
December 31, 2014
  
Greater than five years and less than ten years
   $ 10     $ 16  
Greater than or equal to ten years
     107,751       117,815  
Total
   $ 107,761     $ 117,831  


 
-11-
 


NOTE 3.  RETAINED INTERESTS IN SECURITIZATIONS

The following table summarizes the estimated fair value of the Company’s retained interests in asset backed securities as of June 30, 2015 and December 31, 2014:

(in thousands)
              
Series
Issue Date
  
June 30, 2015
    
December 31, 2014
  
HMAC 2004-2
May 10, 2004
   $ 216     $ 320  
HMAC 2004-3
June 30, 2004
     694       753  
HMAC 2004-4
August 16, 2004
     368       496  
HMAC 2004-5
September 28, 2004
     386       331  
HMAC 2004-6
November 17, 2004
     477       -  
              Total
     $ 2,141     $ 1,900  

NOTE 4.   REPURCHASE AGREEMENTS

As of June 30, 2015, the Company had outstanding repurchase agreement obligations of approximately $101.2 million with a net weighted average borrowing rate of 0.39%.  These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $106.2 million, and cash pledged to counterparties of approximately $2.1 million.  As of December 31, 2014, the Company had outstanding repurchase agreement obligations of approximately $110.0 million with a net weighted average borrowing rate of 0.36%.  These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $116.4 million, and cash pledged to counterparties of approximately $0.3 million.

As of June 30, 2015 and December 31, 2014, the Company’s repurchase agreements had remaining maturities as summarized below:
 
($ in thousands)
                              
   
OVERNIGHT
    
BETWEEN 2
    
BETWEEN 31
    
GREATER
        
   
(1 DAY OR
    
AND
    
AND
    
THAN
        
   
LESS)
    
30 DAYS
    
90 DAYS
    
90 DAYS
    
TOTAL
  
June 30, 2015
                              
Fair value of securities pledged, including accrued
                              
interest receivable
   $ -     $ 87,826     $ 18,377     $ -     $ 106,203  
Repurchase agreement liabilities associated with
                                        
these securities
   $ -     $ 84,939     $ 16,267     $ -     $ 101,206  
Net weighted average borrowing rate
     -       0.38 %     0.43 %     -       0.39 %
December 31, 2014
                                        
Fair value of securities pledged, including accrued
                                        
interest receivable
   $ -     $ 114,433     $ 1,998     $ -     $ 116,431  
Repurchase agreement liabilities associated with
                                        
these securities
   $ -     $ 108,074     $ 1,890     $ -     $ 109,964  
Net weighted average borrowing rate
     -       0.36 %     0.33 %     -       0.36 %


 
-12-
 


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 June 30, 2015 and December 31, 2014, 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 $7.0 million and $6.7 million, respectively.  Summary information regarding amounts at risk with individual counterparties greater than 10% of stockholders’ equity at June 30, 2015 and December 31, 2014 is as follows:
 
($ in thousands)
                  
         
% of
    
Weighted
  
         
Stockholders'
    
Average
  
   
Amount
    
Equity
    
Maturity
  
Repurchase Agreement Counterparties
  
at Risk
    
at Risk
    
(in Days)
  
June 30, 2015
                  
Citigroup Global Markets, Inc.
   $ 2,532       39.8 %     14  
JVB Financial Group, LLC
     1,517       23.9 %     10  
ED&F Man Capital Markets Inc.
     1,465       23.0 %     33  
South Street Securities, LLC
     812       12.8 %     20  
CRT Capital Group, LLC
     685       10.8 %     15  
December 31, 2014
                        
JVB Financial Group, LLC
   $ 1,807       19.6 %     8  
ED&F Man Capital Markets Inc.
     1,490       16.2 %     22  

NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding and junior subordinated notes by entering into derivatives, such as Eurodollar futures contracts and interest rate swaptions, but may enter into other contracts in the future.  The Company has not elected hedging treatment under GAAP, and as such all gains or losses (realized and unrealized) on these instruments are reflected in earnings for all periods presented.

As of June 30, 2015 and December 31, 2014, such instruments were comprised entirely of Eurodollar futures contracts.  Eurodollar futures are cash settled futures contracts on an interest rate, with gains or losses credited or charged to the Company’s account on a daily basis and reflected in earnings as they occur. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The Company is exposed to the changes in value of the futures by the amount of margin held by the broker.  This margin represents the collateral the Company has posted for its open positions and is recorded on the consolidated balance sheets as part of restricted cash.

 During the six months ended June 30, 2014, the Company, through Orchid, was a party to interest rate swaption agreements which granted the Company the right but not the obligation to enter into underlying pay fixed interest rate swap (“payer swaption”).  The Company may also enter into swaption agreements that provide the Company the option to enter into a receive fixed interest rate swap (“receiver swaption”).


 
-13-
 


The tables below present information related to the Company’s Eurodollar futures positions at June 30, 2015 and December 31, 2014.
 
($ in thousands)
                        
As of June 30, 2015
                        
   
Repurchase Agreement Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2015
   $ 43,000       0.79 %     0.48 %   $ (67 )
2016
     56,000       1.45 %     1.04 %     (231 )
2017
     56,000       2.23 %     1.81 %     (239 )
2018
     56,000       2.65 %     2.23 %     (118 )
Total / Weighted Average
   $ 53,833       1.84 %     1.44 %   $ (655 )

($ in thousands)
                        
As of June 30, 2015
                        
   
Junior Subordinated Debt Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2015
   $ 26,000       1.65 %     0.45 %   $ (156 )
2016
     26,000       1.77 %     1.04 %     (189 )
2017
     26,000       2.49 %     1.81 %     (177 )
2018
     26,000       2.94 %     2.23 %     (93 )
Total / Weighted Average
   $ 26,000       2.18 %     1.39 %   $ (615 )

($ in thousands)
                        
As of December 31, 2014
                        
   
Repurchase Agreement Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2015
   $ 36,500       0.65 %     0.63 %   $ (5 )
2016
     56,000       1.45 %     1.54 %     46  
2017
     56,000       2.23 %     2.23 %     (3 )
2018
     56,000       2.65 %     2.51 %     (38 )
Total / Weighted Average
   $ 50,429       1.72 %     1.72 %   $ -  


 
-14-
 


($ in thousands)
                        
As of December 31, 2014
                        
   
Junior Subordinated Debt Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2015
   $ 26,000       1.48 %     0.57 %   $ (237 )
2016
     26,000       1.77 %     1.54 %     (61 )
2017
     26,000       2.49 %     2.23 %     (67 )
2018
     26,000       2.94 %     2.51 %     (56 )
Total / Weighted Average
   $ 26,000       2.06 %     1.60 %   $ (421 )

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

Loss (Gain) From Derivative Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the six and three months ended June 30, 2015 and 2014.  The consolidated information for 2014 includes the activity of Orchid, as it was included in the consolidated statements of operations for those periods.

(in thousands)
                        
   
Consolidated
    
Parent-Only
  
Six Months Ended June 30,
  
2015
    
2014
    
2015
    
2014
  
Eurodollar futures contracts (short positions)
   $ (1,009 )   $ (6,306 )   $ (1,009 )   $ (170 )
Payer swaptions
     -       (1,285 )     -       -  
Net losses on derivative instruments
   $ (1,009 )   $ (7,591 )   $ (1,009 )   $ (170 )

(in thousands)
                        
   
Consolidated
    
Parent-Only
  
Three Months Ended June 30,
  
2015
    
2014
    
2015
    
2014
  
Eurodollar futures contracts (short positions)
   $ 6     $ (4,745 )   $ 6     $ (146 )
Payer swaptions
     -       (1,129 )     -       -  
Net gains (losses) on derivative instruments
   $ 6     $ (5,874 )   $ 6     $ (146 )

Credit Risk-Related Contingent Features

The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, we may not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our consolidated balance sheets.


 
-15-
 


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 table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2015 and December 31, 2014.
 
(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
  
Consolidated
  
Posted as
  
Posted as
  
Net
  
 
Liabilities
  
Balance Sheet
  
Balance Sheet
  
Collateral
  
Collateral
  
Amount
  
June 30, 2015
                                    
Repurchase Agreements
   $ 101,206     $ -     $ 101,206     $ (99,146 )   $ (2,060 )   $ -  
December 31, 2014
                                                
Repurchase Agreements
   $ 109,964     $ -     $ 109,964     $ (109,706 )   $ (258 )   $ -  

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 in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.  The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented.  See Notes 4 and 5 for a discussion of collateral posted for, or received against, repurchase obligations and derivative instruments.

NOTE 7.  TRUST PREFERRED SECURITIES

During 2005, Bimini Capital sponsored the formation of a statutory trust, known as Bimini Capital Trust II (“BCTII”) of which 100% of 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 June 30, 2015 and December 31, 2014, 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 of 3.50% over the prevailing three-month LIBOR rate.  As of June 30, 2015, the interest rate was 3.79%. The BCTII trust preferred securities and Bimini Capital's BCTII Junior Subordinated Notes require quarterly interest distributions and became redeemable at Bimini Capital's option, in whole or in part and without penalty, beginning December 15, 2010. Bimini Capital's BCTII Junior Subordinated Notes are subordinate and junior in right of payment of all present and future senior indebtedness.

BCTII is a VIE because the holders of the equity investment at risk do not have adequate 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.


 
-16-
 


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.

NOTE 8.  COMMON STOCK

At June 30, 2015 and December 31, 2014, Bimini Capital’s common stock is comprised of the following:

     
June 30, 2015
December 31, 2014
Preferred stock, $0.001 par value; 10,000,000 shares authorized; designated, 1,800,000
        
 
shares as Class A Redeemable and 2,000,000 shares as Class B Redeemable; no
        
 
shares issued and outstanding as of June 30, 2015 and December 31, 2014
$
-
$
-
Class A Common Stock, $0.001 par value; 98,000,000 shares designated: 12,346,376
        
 
shares issued and outstanding as of June 30, 2015 and 12,324,391 shares
        
 
issued and outstanding as of December 31, 2014
  
12,346
  
12,324
Class B Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
        
 
issued and outstanding as of June 30, 2015 and December 31, 2014
  
32
  
32
Class C Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
        
 
issued and outstanding as of June 30, 2015 and December 31, 2014
  
32
  
32
     
$
12,410
$
12,388

Issuances of Common Stock

The table below presents information related to the Bimini Capital’s Class A Common Stock issued during the six months ended June 30, 2015 and 2014.
 
Shares Issued Related To:
    
2015
2014
Directors' compensation
    
21,985
27,531
Vesting incentive plan shares(1)
    
-
500,000
Shares sold directly to employees(1)
    
-
257,895
Total shares of Class A Common Stock issued
    
21,985
785,426

(1)  
See Note 9, Stock Incentive Plans, for details of these issuances.

There were no issuances of Bimini Capital's Class B Common Stock and Class C Common Stock during the six months ended June 30, 2015 and 2014.

NOTE 9.    STOCK INCENTIVE PLANS

On August 12, 2011, Bimini Capital’s shareholders approved the 2011 Long Term Compensation Plan (the “2011 Plan”) to assist the Company in recruiting and retaining employees, directors and other service providers by enabling them to participate in the success of Bimini Capital and to associate their interests with those of the Company and its stockholders.  The 2011 plan is intended to permit the grant of stock options, stock appreciation rights (“SARs”), stock awards, performance units and other equity-based and incentive awards.  The maximum aggregate number of shares of Common Stock that may be issued under the 2011 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based awards and the settlement of incentive awards and performance units is equal to 4,000,000 shares.


 
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Share Awards

In February 2014, the Compensation Committee of the Board of Directors of Bimini Capital (the “Committee”) approved certain performance bonuses for members of management.  These bonuses were awarded primarily in recognition of management’s capital raising efforts in 2013.  The bonuses, which were paid on February 19, 2014 (the “Bonus Date”), consisted of cash and fully vested shares of the Company’s common stock issued under the 2011 Plan.  In particular, executive officers received bonuses totaling approximately $422,000, consisting of 500,000 shares of the Company’s common stock with an approximate value of $190,000, and cash of approximately $232,000 which, at the officer’s election, could be used to purchase newly issued shares directly from the Company.  Under this election, the officers purchased 257,895 shares of the Company’s common stock.  For purposes of these bonuses, shares of the Company’s common stock were valued based on the closing price of the Company’s common stock on the Bonus Date. The expense related to this bonus was accrued at December 31, 2013 and does not affect the results of operations for the six and three months ended June 30, 2014.

A summary of share award activity during the six months ended June 30, 2014 is presented below:
 
         
Weighted-
  
         
Average
  
 
        
Grant-Date
  
 
  
Shares
    
Fair Value
  
Fully vested shares granted
     500,000     $ 0.38  

Performance Units

The Committee may issue Performance Units under the 2011 Plan to certain officers and employees.  “Performance Units” represent the participant’s right to receive an amount, based on the value of a specified number of shares of Common Stock, if the terms and conditions prescribed by the Committee are satisfied.  The Committee will determine the requirements that must be satisfied before Performance Units are earned, including but not limited to any applicable performance period and performance goals.  Performance goals may relate to the Company’s financial performance or the participant’s performance or such other criteria determined by the Committee, including goals stated with reference to the performance measures discussed below.  If Performance Units are earned, they will be settled in cash, shares of Common Stock or a combination thereof.

The following table presents information related to Performance Units outstanding at June 30, 2015 and December 31, 2014:
 
 
  
June 30, 2015
    
December 31, 2014
  
Nonvested performance units outstanding at period end
     31,500       31,500  
Weighted-average grant date fair price
   $ 1.78     $ 1.78  
Unrecognized compensation expense at period end
   $ 45,946     $ 55,291  
Weighted-average remaining vesting term (in years)
     2.50       3.00  
Intrinsic value of unvested shares at period end
   $ 88,200     $ 59,850  

NOTE 10.  COMMITMENTS AND CONTINGENCIES

Litigation

The Company may from time to time be involved in various lawsuits and claims, both pending and threatened, including some that it has asserted against others, in which monetary and other damages are sought. These lawsuits and claims relate primarily to contractual disputes arising out of the ordinary course of the Company’s business. The outcome of such lawsuits and claims, as well as the costs to defend them, is inherently unpredictable, and management may choose to settle certain matters based on a cost-benefit analysis.

 
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 A complaint by a note-holder in Preferred Term Securities XX (“PreTSL XX”) was filed on July 16, 2010 in the Supreme Court of the State of New York, New York County, against Bimini Capital, the Bank of New York Mellon (“BNY Mellon”) and Hexagon Securities LLC (“Hexagon”) and nominal defendants BNY Mellon and Preferred Term Securities XX, Ltd. (“PreTSL XX”), captioned Hildene Capital Management, LLC, et al. v. The Bank of New York Mellon, et. al.  The complaint, filed by Hildene Capital Management, LLC and Hildene Opportunities Fund, Ltd. (“Hildene”), alleged that Hildene suffered losses as a result of Bimini Capital’s repurchase of all outstanding fixed/floating rate capital securities of Bimini Capital Trust II for less than par value from PreTSL XX in October 2009.  Hildene alleged claims against BNY Mellon for breach of the Indenture, breach of fiduciary duties and breach of the covenant of good faith and fair dealing, and claims against Bimini Capital for tortious interference with contract, aiding and abetting breach of fiduciary duty, unjust enrichment and “rescission/illegality.” Hildene also alleged derivative claims brought in the name of Nominal Defendant BNY Mellon.  (Subsequently, Hexagon and Nominal Defendant PreTSL XX were voluntarily dismissed without prejudice by Hildene.)  PreTSL XX, Ltd. moved to intervene as an additional plaintiff in the action, and Bimini and BNY Mellon opposed that motion.  The court granted PreTSL XX, Ltd.’s motion to intervene and the Appellate Division, First Department affirmed that decision.  In May 2013, Hildene voluntarily dismissed its purported derivative claims brought in the name of BNY Mellon, including its claim for “rescission/illegality.”  On April 14, 2014 and May 18, 2014, Stipulations of Partial Discontinuance were filed with the court that dismissed all claims between and among Hildene and BNY Mellon, and PreTSL XX and BNY Mellon.
 
 
On May 15, 2015, Hildene and Bimini Capital agreed to settle the case, and on July 10, 2015, a Stipulation of Discontinuance was filed dismissing all claims and counterclaims between and among Hildene and Bimini Capital.  In connection with the settlement and in accordance with GAAP, a loss of $3.5 million was accrued at March 31, 2015 and has been charged to operations for the six months ended June 30, 2015 and included in other liabilities in the June 30, 2015 consolidated balance sheet.

NOTE 11.  INCOME TAXES

REIT Activities

Generally, REITs are not subject to federal income tax on REIT taxable income distributed to its shareholders.  REIT taxable income or loss, as generated by qualifying REIT activities, is computed in accordance with the Internal Revenue Code, which is different from the financial statement net income or loss as computed in accordance with GAAP. Depending on the number and size of the various items or transactions being accounted for differently, the differences between the Company’s REIT taxable income or loss and its GAAP financial statement net income or loss can be substantial and each item can affect several years.

As of December 31, 2014, Bimini Capital had a REIT tax net operating loss carryforward (“NOL carryforwards” or “NOLs”) of approximately $17.3 million that is immediately available to offset future REIT taxable income.  These REIT NOLs will expire in years 2028 through 2034, if not previously used to offset future REIT taxable income.

Taxable REIT Subsidiaries

As taxable REIT subsidiaries (“TRS”), Bimini Advisors and MortCo are tax paying entities for income tax purposes and are taxed separately from Bimini Capital and from each other.  Therefore, Bimini Advisors and MortCo each separately report an income tax provision or benefit based on their own taxable activities.  For the six months ended June 30, 2015 and 2014, MortCo and Bimini Advisors did not have taxable income primarily due to the utilization of their respective NOL carryforwards. The Company’s payment of taxes reported on the consolidated statement of cash flows results from alternative minimum taxes (“AMT”) which become due when NOLs are used to offset taxable income.


 
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The income tax provision (benefit) for the six and three months ended June 30, 2015 and 2014 is solely attributable to the TRSs.  For Bimini Advisors, the provision for the year 2015 periods is determined by applying the statutory Federal rate of 35% to its pre-tax income or loss.  During 2014, a benefit was recorded for the release of Bimini Advisor’s deferred tax valuation allowance related to an intangible asset and NOL carryforwards.  For MortCo, its provision is generally zero, and it differs from the statutory Federal rate due primarily to the recording of, and adjustments to, the deferred tax asset valuation allowances and the release of the deferred tax valuation allowance related to NOL carryforwards.  The payment of AMT is included in the provision in the period it is paid.

Bimini Advisors has available at June 30, 2015 estimated federal and Florida NOL carryforwards of approximately $0.4 million which begin to expire in 2031 and are fully available to offset future federal and Florida taxable income.  In connection with Orchid’s IPO, Bimini Advisors paid for, and expensed for GAAP purposes, certain offering costs totaling approximately $3.2 million. For tax purposes, these offering costs created an intangible asset related to the management agreement with a tax basis of $3.2 million. The deferred tax assets related to the NOL carryforwards and the intangible asset at June 30, 2015 total approximately $1.4 million.

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 deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. During 2014, the Company re-evaluated its previous position regarding its ability to realize Bimini Advisors’ deferred tax liability and determined that there was sufficient positive evidence to conclude that the realization of Bimini Advisors’ deferred tax assets was more likely than not.  As a result, Bimini Advisors recorded a deferred income tax benefit of approximately $2.2 million during the six months ended June 30, 2014 related to the release of the valuation allowance.

As of June 30, 2015, MortCo has estimated federal NOL carryforwards of approximately $261.5 million and estimated available Florida NOLs of approximately $34.1 million, both of which will begin to expire in 2025, and are fully available to offset future federal and Florida taxable income, respectively. The net deferred tax assets for MortCo at June 30, 2015 are approximately $94.0 million. As of June 30, 2015 and December 31, 2014, management did not believe that it had sufficient positive evidence to conclude that the realization of MortCo’s deferred tax assets was more likely than not; therefore, a valuation allowance was provided for the entire balance of MortCo’s deferred tax assets.

MortCo holds residual interests in various real estate mortgage investment conduits (“REMICs”), which were issued in 2004, 2005 and 2006, some of which generate excess inclusion income (“EII”), a type of taxable income pursuant to specific provisions of the Code.  In 2008, based on a re-evaluation of its tax position regarding REMIC income, MortCo recorded a liability of approximately $2.1 million for taxes, interest and penalties related to this uncertain tax position during 2008.  During 2010 (as part of the filing of its 2009 tax returns), MortCo reached a tax filing position related to the EII taxable income, reported EII taxable income of approximately $2.1 million, paid $0.8 million of income tax, interest and penalties, and included a notice of inconsistent treatment in its tax returns.  Because of the uncertainty surrounding the taxation of EII, MortCo accounted for the pre-2008 tax position as being more likely than not that the tax position would not be fully sustained upon examination.  On September 15, 2013, the statute of limitations for the IRS to challenge MortCo’s pre-2008 tax position expired.  As such, the remaining balance of the liability recorded in 2008 was reversed during the year ended December 31, 2013, which resulted in a tax benefit of $1.3 million.  MortCo continues to file its tax returns following its 2009 tax filing position, and it continues to include a notice of inconsistent treatment in each return.

NOTE 12.   EARNINGS PER SHARE

Shares of Class B Common Stock, participating and convertible into Class A Common Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, and when, authorized and declared by the Board of Directors. Following the provisions of FASB ASC 260, the Class B Common Stock is included in the computation of basic EPS using the two-class method, and consequently is presented separately from Class A Common Stock. 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 June 30, 2015 and 2014.

 
-20-
 
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 June 30, 2015 and 2014.

The Company has dividend eligible stock incentive plan shares that were outstanding during the six and three months ended June 30, 2015. The basic and diluted per share computations include these unvested incentive plan shares if there is income available to Class A Common Stock, as they have dividend participation rights. The stock incentive plan shares have no contractual obligation to share in losses. Because there is no such obligation, the incentive plan shares are not included in the basic and diluted EPS computations when no income is available to Class A Common Stock even though they are considered participating securities.

The table below reconciles the numerator and denominator of EPS for the six and three months ended June 30, 2015 and 2014.
 
(in thousands, except per-share information)
                        
   
Six Months Ended June 30,
    
Three Months Ended June 30,
  
   
2015
    
2014
    
2015
    
2014
  
Basic and diluted EPS per Class A common share:
                        
(Loss) income attributable to Class A common shares:
                        
Basic and diluted
   $ (2,886 )   $ 5,684     $ (1,500 )   $ 3,321  
Weighted average common shares:
                                
Class A common shares outstanding at the balance sheet date
     12,346       12,295       12,346       12,295  
Effect of weighting
     (7 )     (223 )     -       -  
Weighted average shares-basic and diluted
     12,339       12,072       12,346       12,295  
(Loss) income per Class A common share:
                                
Basic and diluted
   $ (0.23 )   $ 0.47     $ (0.12 )   $ 0.27  

(in thousands, except per-share information)
                        
   
Six Months Ended June 30,
    
Three Months Ended June 30,
  
   
2015
    
2014
    
2015
    
2014
  
Basic and diluted EPS per Class B common share:
                        
(Loss) income attributable to Class B common shares:
                        
Basic and diluted
   $ (7 )   $ 15     $ (4 )   $ 9  
Weighted average common shares:
                                
Class B common shares outstanding at the balance sheet date
     32       32       32       32  
Weighted average shares-basic and diluted
     32       32       32       32  
(Loss) income per Class B common share:
                                
Basic and diluted
   $ (0.23 )   $ 0.47     $ (0.12 )   $ 0.27  

NOTE 13.   FAIR VALUE

Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry 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),

 
-21-
 


·  
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.

The Company’s MBS 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, when available. 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. Alternatively, the Company could opt to have the value of all of our MBS positions determined by either an independent third-party or do so internally.

MBS, retained interests, Eurodollar futures contracts, Orchid common stock and interest rate swaptions were recorded at fair value on a recurring basis during the six and three months ended June 30, 2015 and 2014. 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.  Fair value measurements for the retained interests are generated by a model that requires management to make a significant number of assumptions.

The following table presents financial assets and liabilities measured at fair value on a recurring basis as of June 30, 2015 and December 31, 2014:
 
(in thousands)
                        
         
Quoted Prices
              
         
in Active
    
Significant
        
         
Markets for
    
Other
    
Significant
  
         
Identical
    
Observable
    
Unobservable
  
   
Fair Value
    
Assets
    
Inputs
    
Inputs
  
   
Measurements
    
(Level 1)
    
(Level 2)
    
(Level 3)
  
June 30, 2015
                        
Mortgage-backed securities
   $ 107,761     $ -     $ 107,761     $ -  
Eurodollar futures contracts
     488       488       -       -  
Orchid Island Capital, Inc. common stock
     11,004       11,004       -       -  
Retained interests
     2,141       -       -       2,141  
December 31, 2014
                                
Mortgage-backed securities
   $ 117,831     $ -     $ 117,831     $ -  
Eurodollar futures contracts
     476       476       -       -  
Orchid Island Capital, Inc. common stock
     12,811       12,811       -       -  
Retained interests
     1,900       -       -       1,900  


 
-22-
 


The following table illustrates a roll forward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the six months ended June 30, 2015 and 2014:
 
(in thousands)
            
   
Retained Interests
  
   
2015
    
2014
  
Balances, January 1
   $ 1,900     $ 2,531  
Gain included in earnings
     2,539       2,447  
Collections
     (2,298 )     (1,843 )
Balances, June 30
   $ 2,141     $ 3,135  

During the six months ended June 30, 2015 and 2014, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

Our retained interests are valued based on a discounted cash flow approach.  These values are sensitive to changes in unobservable inputs, including: estimated prepayment speeds, default rates and loss severity, weighted-average life, and discount rates.  Significant increases or decreases in any of these inputs may result in significantly different fair value measurements.

The following table summarizes the significant quantitative information about our level 3 fair value measurements as of June 30, 2015.
 
Retained interests fair value (in thousands)
    
$
 2,141
   
CPR Range
    
Prepayment Assumption
  
(Weighted Average)
    
Constant Prepayment Rate
  
10% (10%)
    
   
Severity
    
Default Assumptions
Probability of Default
(Weighted Average)
  
Range Of Loss Timing
Real Estate Owned
100%
35%
  
Next 10 Months
Loans in Foreclosure
100%
35%
  
 Month 4 - 13
Loans 90 Day Delinquent
100%
45%
  
Month 11-28
Loans 60 Day Delinquent
85%
45%
  
Month 11-28
Loans 30 Day Delinquent
75%
45%
  
Month 11-28
Current Loans
2.5%
45%
  
Month 29 and Beyond
   
Remaining Life Range
  
Discount Rate Range
Cash Flow Recognition
Valuation Technique
(Weighted Average)
  
(Weighted Average)
Nominal Cash Flows
Discounted Cash Flow
0.2 - 13.2 (6.5)
  
27.50% (27.50%)
Discounted Cash Flows
Discounted Cash Flow
0.2 - 3.6 (1.0)
  
27.50% (27.50%)

NOTE 14. RELATED PARTY TRANSACTIONS

Frank E. Jaumot is a shareholder in an accounting firm from which the Company receives accounting and tax services. Mr. Jaumot is both a director and a shareholder of Bimini Capital and a shareholder of Orchid. Professional fees incurred with this firm were $52,000 for the six months ended June 30, 2015 and $52,000 for the six months ended June 30, 2014.

NOTE 15. CONSOLIDATED VARIABLE INTEREST ENTITY AND NONCONTROLLING INTERESTS

A VIE is an entity that either (i) has insufficient equity to permit the entity to finance its activities without additional subordinated financial support or (ii) has equity investors who lack the characteristics of a controlling financial interest. A VIE is consolidated by its primary beneficiary. The primary beneficiary has both the power to direct the activities that most significantly impact the entity's economic performance and the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the VIE.

 
-23-
 
As discussed in Note 1, Orchid completed its IPO on February 20, 2013.  Management concluded that, after the close of its IPO, Orchid was a VIE because Orchid's equity holders lack the ability through voting rights to make decisions about its activities that have a significant effect on its success. Management also concluded that Bimini Capital was the primary beneficiary of Orchid because, under the terms of the management agreement, Bimini Capital had the power to direct the activities of Orchid that most significantly impact its economic performance including asset selection, asset and liability management and investment portfolio risk management. As a result, subsequent to Orchid’s IPO, and until December 31, 2014, the Company continued to consolidate Orchid in its consolidated financial statements.

Orchid completed additional offerings of its common stock during the year ended December 31, 2014.  Management continued to re-evaluate the conditions resulting in the consolidation of Orchid and at December 31, 2014 concluded that, due to Bimini’s decreased percentage ownership interest in Orchid, there was no longer a variable interest requiring consolidation.  In accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014.  Orchid’s activities were included in the consolidated statements of operations, equity and cash flows through December 31, 2014 and are excluded in subsequent periods.

The table below presents the effects of the above on the changes in equity attributable to Bimini Capital stockholders during the six months ended June 30, 2014.
 
($ in thousands)
      
Net income attributable to Bimini Capital
   $ 5,699  
Transfers from the noncontrolling interests
        
Decrease in Bimini Capital's paid-in capital for the sale of 6,290,443 common shares of Orchid
        
and the effect of the 24,000 shares of unvested restricted shares of Orchid
     (1,004 )
Change from net income attributable to Bimini Capital and transfers from noncontrolling interest
   $ 4,695  

Net income of Orchid for the six and three months ended June 30, 2014 is allocated between the noncontrolling interests and to Bimini Capital in proportion to their relative ownership interests in Orchid.  The following is a roll forward of the noncontrolling interest during the six months ended June 30, 2014.
 
(in thousands)
      
Balance, January 1, 2014
   $ 31,615  
Issuance of common shares of Orchid Island Capital, Inc.
     76,120  
Net income attributed to noncontrolling interest
     12,538  
Amortization of Orchid Island Capital, Inc. equity plan compensation
     16  
Cash dividends paid to noncontrolling interest
     (7,378 )
Balance, June 30, 2014
   $ 112,911  


 
-24-
 


The following table summarizes the operating results of Orchid (excluding intercompany transactions) for the six and three months ended June 30, 2014, which are reflected in the consolidated statements of operations for the six and three months ended June 30, 2014.
 
(in thousands)
            
   
Six Months Ended
    
Three Months Ended
  
   
June 30, 2014
    
June 30, 2014
  
Interest income
   $ 10,372     $ 6,589  
Interest expense
     (1,087 )     (676 )
Net interest income
     9,285       5,913  
Unrealized gains on mortgage-backed securities
     10,124       8,584  
Realized gains on mortgage-backed securities
     3,891       2,980  
Losses on derivative instruments
     (7,421 )     (5,728 )
Net portfolio income
     15,879       11,749  
                 
Expenses:
                
Accrued incentive compensation
     225       225  
Directors' fees and liability insurance
     240       156  
Audit, legal and other professional fees
     245       172  
Direct REIT operating expenses
     88       44  
Other administrative
     118       88  
Total expenses
     916       685  
                 
Net income
   $ 14,963     $ 11,064  

 
-25-
 

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 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 and any subsequent Quarterly Reports on Form 10-Q, our actual results may differ materially from those anticipated in such forward-looking statements.

Overview

Bimini Capital was formed in September 2003 to invest primarily in residential mortgage-backed securities (“MBS”) issued by the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and the Government National Mortgage Association (“Ginnie Mae”). The Company deploys its capital into two core strategies.  The two strategies are a levered MBS portfolio and an unlevered structured MBS portfolio.  The leverage applied to the MBS portfolio will typically be less than twelve to one.  The Company manages its portfolio of agency MBS and structured MBS to generate income derived from the net interest margin of its MBS portfolio, levered predominantly under repurchase agreement funding, net of associated hedging costs, and the interest income derived from its unlevered portfolio of structured MBS.  Beginning in 2013, and as further described below, the Company, through its wholly-owned subsidiary, also began to be an external manager of the portfolio of Orchid, and from this arrangement the Company receives management fees and expense reimbursements.  In addition, the Company receives dividends from its investment in Orchid common shares.  The Company treats its junior subordinated notes as an equity capital equivalent. The Company is self-managed and self-advised and has elected to be taxed as a REIT for U.S. federal income tax purposes.

As used in this document, references to “Bimini Capital,” the parent company, and to or the general management of Bimini Capital’s portfolio of MBS refer to Bimini Capital Management, Inc. Through February 19, 2013, Bimini Capital's consolidated financial statements include Orchid Island Capital, Inc. ("Orchid") as a wholly-owned qualified REIT subsidiary.  Orchid completed an initial public offering ("IPO") of its common stock effective February 20, 2013.  After that date, and until December 31, 2014, Orchid continued to be consolidated as a variable interest entity (“VIE”) as described below.  As used in this document, discussions related to REIT qualifying activities include the MBS portfolios of both Bimini Capital and Orchid through December 31, 2014, and Bimini Capital only in 2015.  References to Bimini Capital’s taxable REIT subsidiaries or non-REIT eligible assets refer to Bimini Advisors, Inc., and its wholly-owned subsidiary, Bimini Advisors, LLC (together as “Bimini Advisors”) and to MortCo TRS, LLC and its consolidated subsidiaries (collectively, “MortCo”). MortCo, which was previously named Opteum Financial Services, LLC, (referred to as “OFS”) was renamed Orchid Island TRS, LLC (referred to as “OITRS”) effective July 3, 2007 and then renamed MortCo TRS, LLC effective March 8, 2011.   Hereinafter, any historical mention, discussion or references to Opteum Financial Services, LLC, Orchid Island TRS, LLC, OFS or to OITRS (such as in previously filed documents or Exhibits) now mean MortCo.

Management of Orchid

Upon completion of its initial public offering, Orchid became externally managed and advised by Bimini Advisors 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.

Factors that Affect our Results of Operations and Financial Condition

A variety of industry and economic factors 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 investments in Agency MBS;
·  
actions taken by the Federal Reserve and the U.S. Treasury;
·  
prepayment rates on mortgages underlying our Agency MBS, and credit trends insofar as they affect prepayment rates; and
·  
other market developments.
 

 
 
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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; and
·  
the requirements to qualify as a REIT and the requirements to qualify for a registration exemption under the Investment Company Act.


Consolidation of Orchid Island Capital, Inc.

Subsequent to Orchid’s IPO and until December 31, 2014, management concluded that Orchid was a VIE, as defined in generally accepted accounting principles, because Orchid’s equity holders lacked the ability through voting rights to make decisions about the activities that have a significant effect on the success of Orchid.  Management also concluded that Bimini Capital was the primary beneficiary of Orchid because, under the management agreement between Bimini Advisors and Orchid, Bimini Capital had the power to direct the activities of Orchid that most significantly impact its economic performance.  As a result, subsequent to Orchid’s IPO and until December 31, 2014, the Company continued to consolidate Orchid in its consolidated financial statements.

In December 2014, management of Bimini Capital re-evaluated the conditions resulting in the consolidation of Orchid and concluded that, due to Bimini Capital’s decreased percentage ownership interest in Orchid, there was no longer a variable interest requiring consolidation.  As a result, in accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014.  However, as a VIE which was deconsolidated on December 31, 2014, Orchid’s results of operations were included in the consolidated statements of operations, equity and cash flows through December 31, 2014, and are excluded in subsequent periods.

During the period of time in which Orchid was a VIE, the net income of Orchid has been allocated to the noncontrolling interests and to Bimini Capital in proportion to their relative ownership interests in Orchid.

The consolidation of Orchid’s assets and liabilities with those of Bimini Capital and its wholly-owned subsidiaries during the period of time in which Orchid was a VIE gave the appearance of a much larger organization. However, the assets recognized as a result of consolidating Orchid did not represent additional assets that could be used to satisfy claims against Bimini Capital’s assets, nor did they represent amounts that are available to be distributed to Bimini Capital’s stockholders. Conversely, liabilities recognized as a result of consolidating Orchid did not represent additional claims on Bimini Capital’s assets; rather, they represented claims against the assets of Orchid.

Impact of Consolidation on Period-to-Period Comparisons

The discussion and tables set forth below present information as of certain dates and for certain periods of time in which Orchid was consolidated as a VIE.  In particular, unless stated otherwise balance sheet data as of March 31, 2014, June 30, 2014 and September 30, 2014 and statement of operations data for the year ended December 31, 2014 and each quarter of 2014 reflect the consolidation of Orchid as a VIE.

 
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The discussion and tables set forth below also present information as of certain dates and for certain periods of time in which Orchid was not consolidated as a VIE.  Unless stated otherwise, balance sheet data as of December 31, 2014, March 31, 2015 and June 30, 2015, statement of operations data for the six and three months ended June 30, 2015, and the statement of cash flows for the six months ended June 30, 2015 do not reflect the consolidation of Orchid as a VIE.
 
 
Certain discussion and tables below provide period-to-period comparisons in which Orchid was consolidated on the first date or period and deconsolidated on the second date or period.  The changes reflected in those period-to-period comparisons are due in large part to the consolidation (or deconsolidation) of Orchid.

Dividends To Stockholders

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

REIT taxable income is computed differently from net income as computed in accordance with generally accepted accounting principles ("GAAP net income"), as reported in the Company’s accompanying consolidated financial statements.  Depending on the number and size of the various items or transactions being accounted for differently, the differences between REIT taxable income and GAAP net income can be substantial and each item can affect several reporting periods. Certain of these items are timing or temporary differences between years; for example, an item that may be a deduction for GAAP net income in the current year may not be a deduction for REIT taxable income until a later year.  Others are permanent differences that only impact either GAAP or tax.  The most significant differences are as follows: the results of the Company’s taxable REIT subsidiaries do not impact REIT taxable income, unrealized gains or losses on the MBS do not impact REIT taxable income, interest income on MBS securities is computed differently for REIT taxable income and GAAP, and for tax reporting purposes Orchid’s IPO expenses (which were paid by Bimini Advisors) are considered capital costs.

A REIT may be subject to a federal excise tax if it distributes less than 85% of its REIT taxable income by the end of the calendar year.  Accordingly, dividends are based on its REIT taxable income (after considering the possible impact of applying NOLs to the income as described below in “Net Operating Losses”), as determined for federal income tax purposes, as opposed to its net income computed in accordance with GAAP (as reported in the accompanying consolidated financial statements).

During the six and three months ended June 30, 2015, Bimini Capital made no dividend distributions.  All distributions are made at the discretion of the Company’s Board of Directors and will depend on the Company’s results of operations, financial conditions, maintenance of REIT status, availability of net operating losses and other factors that may be deemed relevant.  Bimini Capital continues to evaluate its dividend payment policy.   However, as more fully described below, due to net operating losses (“NOLs”) incurred in prior periods, Bimini Capital is unlikely to declare and pay dividends to stockholders until such NOLs have been consumed.


 
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Net Operating Losses

As described above, a REIT may be subject to a federal excise tax if it distributes less than 85% of its REIT taxable income by the end of a calendar year.  In calculating the amount of excise tax payable in a given year, if any, Bimini Capital reduces REIT taxable income by distributions made to stockholders in the form of dividends and/or NOL carryforwards from prior years, to the extent any are available.  Since income subject to excise tax is REIT taxable income less qualifying dividends and the application of NOLs, if a REIT has sufficient NOLs it could apply such NOLs against its taxable income and avoid excise taxes without paying qualifying dividends to stockholders.  Accordingly, if in future periods Bimini Capital has taxable income, it can avoid the obligation to pay excise taxes by applying the estimated $17.3 million of NOLs available as of December 31, 2014 against such taxable income until the NOLs are exhausted in lieu of making distributions to stockholders.  Further, Bimini Capital could avoid the obligation to pay excise taxes through a combination of qualifying dividends and the application of NOLs.  In any case, future distributions to stockholders are expected to be less than REIT taxable income until the existing NOLs are consumed.

Results of Operations

Described below are the Company’s results of operations for the six and three months ended June 30, 2015, as compared to the six and three months ended June 30, 2014.

Net (Loss) Income Summary

Consolidated net loss for the six months ended June 30, 2015 was $2.9 million, or $0.23 basic and diluted loss per share of Class A Common Stock, as compared to consolidated net income of $5.7 million, or $0.47 basic and diluted income per share of Class A Common Stock, for the six months ended June 30, 2014.

Consolidated net loss for the three months ended June 30, 2015 was $1.5 million, or $0.12 basic and diluted loss per share of Class A Common Stock, as compared to consolidated net income of $3.3 million, or $0.27 basic and diluted income per share of Class A Common Stock, for the three months ended June 30, 2014.

The components of net (loss) income for the six and three months ended June 30, 2015 and 2014, along with the changes in those components are presented in the table below:
 
(in thousands)
                                    
   
Six Months Ended June 30,
    
Three Months Ended June 30,
  
   
2015
    
2014(1)
    
Change
    
2015
    
2014(1)
    
Change
  
Net portfolio interest
   $ 2,083     $ 10,053     $ (7,970 )   $ 976     $ 6,391     $ (5,415 )
Interest expense on junior subordinated notes
     (491 )     (489 )     (2 )     (248 )     (245 )     (3 )
(Losses) gains on MBS and derivative instruments
     (1,207 )     7,725       (8,932 )     (1,021 )     6,804       (7,825 )
Net portfolio income (loss)
     385       17,289       (16,904 )     (293 )     12,950       (13,243 )
Other income
     3,639       2,426       1,213       594       2,243       (1,649 )
Expenses, including income taxes
     (6,917 )     (1,478 )     (5,439 )     (1,805 )     (2,279 )     474  
Net (loss) income
     (2,893 )     18,237       (21,130 )     (1,504 )     12,914       (14,418 )
Income attributable to
                                                
noncontrolling interests
     -       12,538       (12,538 )     -       9,584       (9,584 )
Net (loss) income attributable to
                                                
Bimini Capital Management, Inc.
   $ (2,893 )   $ 5,699     $ (8,592 )   $ (1,504 )   $ 3,330     $ (4,834 )

(1)  
Information presented in the table above for the six and three months ended June 30, 2014 includes the activities of Orchid Island Capital, Inc.


 
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GAAP and Non-GAAP Reconciliation

To date, the Company has used derivatives, specifically interest rate futures contracts, such as Eurodollar futures contracts, and interest rate swaptions, to hedge a portion of the interest rate risk on its repurchase agreements and junior subordinate notes in a rising rate environment. Each interest rate futures contract covers a specific three month period, but the Company typically has many contracts in place at any point in time — usually covering several years in the aggregate.

The Company has not elected to designate its derivative holdings for hedge accounting treatment under the Financial Accounting Standards Board, (the “FASB”), Accounting Standards Codification, (“ASC”), Topic 815, Derivatives and Hedging. Changes in fair value of these instruments are presented in a separate line item in the Company’s 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. In the future, the Company may use other derivative instruments to hedge its interest expense and/or elect to designate its derivative holdings for hedge accounting treatment.

For the purpose of computing economic net interest income and ratios relating to cost of funds measures, GAAP interest expense has been adjusted to reflect the realized gains or losses on specific derivative instruments that pertain to each period presented. As of June 30, 2015, the Company has Eurodollar futures contracts in place through 2018. Adjusting our interest expense for the periods presented by the gains or losses on all derivative instruments would not accurately reflect our economic interest expense for these periods.

For each period presented, the Company has combined the effects of the derivative financial instruments in place for the respective period with the actual interest expense incurred on repurchase agreements and junior subordinated notes to reflect total 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.
 
However, because the Company has not elected hedging treatment under ASC Topic 815, the gains or losses on all of the Company’s derivative instruments held during the period are reflected in our consolidated statements of operations. This presentation includes gains or losses on all contracts in effect during the reporting period, including those covering both the current period as well as future periods.

The Company believes that economic interest expense and economic net interest income provides meaningful information to consider, in addition to the respective amounts prepared in accordance with GAAP. The non-GAAP measures help the Company to evaluate its financial position and performance without the effects of certain transactions and GAAP adjustments that are not necessarily indicative of its current investment portfolio or operations. The realized and unrealized gains or losses presented in the Company’s consolidated statements of operations are not necessarily representative of the total interest rate expense that the Company will ultimately realize. This is because as interest rates move up or down in the future, the gains or losses the Company ultimately realizes, and which will affect the Company’s total interest rate expense in future periods, may differ from the unrealized gains or losses recognized as of the reporting date.

The Company’s presentation of the economic value of its hedging strategy has important limitations. First, other market participants may calculate economic interest expense and economic net interest income differently than the Company calculates them. Second, while the Company believes 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 the Company’s 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.

 
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The tables below present a reconciliation of the adjustments to interest expense shown for each period relative to our derivative instruments, and the consolidated statements of operations line item, losses on derivative instruments, calculated in accordance with GAAP for the six months ended June 30, 2015 and 2014 and for each quarter in 2015 and 2014.

Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations (GAAP)
  
(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
Three Months Ended
  
Agreements
    
Debt
    
Total
  
Consolidated
                  
June 30, 2015
   $ 7     $ (1 )   $ 6  
March 31, 2015
     (687 )     (328 )     (1,015 )
December 31, 2014
     (9,719 )     (287 )     (10,006 )
September 30, 2014
     3,257       149       3,406  
June 30, 2014
     (5,757 )     (117 )     (5,874 )
March 31, 2014
     (1,693 )     (24 )     (1,717 )
Bimini Capital Only
                        
June 30, 2015
   $ 7     $ (1 )   $ 6  
March 31, 2015
     (687 )     (328 )     (1,015 )
December 31, 2014
     (158 )     (287 )     (445 )
September 30, 2014
     200       149       349  
June 30, 2014
     (29 )     (117 )     (146 )
March 31, 2014
     -       (24 )     (24 )
 
                         
(in thousands)
                        
           
Junior
          
   
Repurchase
    
Subordinated
          
Six Months Ended
  
Agreements
    
Debt
    
Total
  
Consolidated
                        
June 30, 2015
   $ (680 )   $ (329 )   $ (1,009 )
June 30, 2014
     (7,450 )     (141 )     (7,591 )
Bimini Capital Only
                        
June 30, 2015
   $ (680 )   $ (329 )   $ (1,009 )
June 30, 2014
     (29 )     (141 )     (170 )


 
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Losses on Derivative Instruments - Attributed to Current Period (Non-GAAP)
  
(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
Three Months Ended
  
Agreements
    
Debt
    
Total
  
Consolidated
                  
June 30, 2015
   $ (9 )   $ (64 )   $ (73 )
March 31, 2015
     (1 )     (54 )     (55 )
December 31, 2014
     (145 )     (136 )     (281 )
September 30, 2014
     (24 )     (141 )     (165 )
June 30, 2014
     (3 )     (127 )     (130 )
March 31, 2014
     (136 )     (109 )     (245 )
Bimini Capital Only
                        
June 30, 2015
   $ (9 )   $ (64 )   $ (73 )
March 31, 2015
     (1 )     (54 )     (55 )
December 31, 2014
     -       (136 )     (136 )
September 30, 2014
     -       (141 )     (141 )
June 30, 2014
     -       (127 )     (127 )
March 31, 2014
     (106 )     (109 )     (215 )
 
                   
(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
Six Months Ended
  
Agreements
    
Debt
    
Total
  
Consolidated
                  
June 30, 2015
   $ (10 )   $ (118 )   $ (128 )
June 30, 2014
     (139 )     (236 )     (375 )
Bimini Capital Only
                        
June 30, 2015
   $ (10 )   $ (118 )   $ (128 )
June 30, 2014
     (106 )     (236 )     (342 )

Gains (Losses) on Derivative Instruments - Attributed to Future Periods (Non-GAAP)
  
(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
Three Months Ended
  
Agreements
    
Debt
    
Total
  
Consolidated
                  
June 30, 2015
   $ 16     $ 63     $ 79  
March 31, 2015
     (686 )     (274 )     (960 )
December 31, 2014
     (9,574 )     (151 )     (9,725 )
September 30, 2014
     3,281       290       3,571  
June 30, 2014
     (5,754 )     10       (5,744 )
March 31, 2014
     (1,557 )     85       (1,472 )
Bimini Capital Only
                        
June 30, 2015
   $ 16     $ 63     $ 79  
March 31, 2015
     (686 )     (274 )     (960 )
December 31, 2014
     (158 )     (151 )     (309 )
September 30, 2014
     199       290       489  
June 30, 2014
     (29 )     10       (19 )
March 31, 2014
     106       85       191  
                         

 
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(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
Six Months Ended
  
Agreements
    
Debt
    
Total
  
Consolidated
                  
June 30, 2015
   $ (670 )   $ (211 )   $ (881 )
June 30, 2014
     (7,311 )     95       (7,216 )
Bimini Capital Only
                        
June 30, 2015
   $ (670 )   $ (211 )   $ (881 )
June 30, 2014
     77       95       172  

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
    
Basis(3)
  
Consolidated
  
June 30, 2015
   $ 1,074     $ 98     $ (9 )   $ 107     $ 976     $ 967  
March 31, 2015
     1,207       100       (1 )     101       1,107       1,106  
December 31, 2014
     13,168       1,213       (145 )     1,358       11,955       11,810  
September 30, 2014
     10,035       886       (24 )     910       9,149       9,125  
June 30, 2014
     7,119       728       (3 )     731       6,391       6,388  
March 31, 2014
     4,116       454       (136 )     590       3,662       3,526  
Bimini Capital Only
  
June 30, 2015
   $ 1,074     $ 98     $ (9 )   $ 107     $ 976     $ 967  
March 31, 2015
     1,207       100       (1 )     101       1,107       1,106  
December 31, 2014
     1,022       87       1       86       935       936  
September 30, 2014
     749       67       -       67       682       682  
June 30, 2014
     530       52       (1 )     53       478       477  
March 31, 2014
     333       43       (106 )     149       290       184  
 
                                     
(in thousands)
  
         
Interest Expense on Repurchase Agreements
    
Net Portfolio
  
               
Effect of
          
Interest Income
  
   
Interest
    
GAAP
    
Non-GAAP
    
Economic
    
GAAP
    
Economic
  
Six Months Ended
  
Income
    
Basis
    
Hedges(1)
    
Basis(2)
    
Basis
    
Basis(3)
  
Consolidated
  
June 30, 2015
   $ 2,281     $ 198     $ (10 )   $ 208     $ 2,083     $ 2,073  
June 30, 2014
     11,235       1,182       (139 )     1,321       10,053       9,914  
Bimini Capital Only
  
June 30, 2015
   $ 2,281     $ 198     $ (10 )   $ 208     $ 2,083     $ 2,073  
June 30, 2014
     863       95       (107 )     202       768       661  

(1)  
Reflects the effect of derivative instrument hedges for only the period presented.
(2)  
Calculated by adding the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense.
(3)  
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest income.


 
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Economic Net Interest Income
  
(in thousands)
  
   
Net Portfolio
    
Interest Expense on Junior Subordinated Notes
              
   
Interest Income
          
Effect of
          
Net Interest Income
  
   
GAAP
    
Economic
    
GAAP
    
Non-GAAP
    
Economic
    
GAAP
    
Economic
  
Three Months Ended
  
Basis
    
Basis(1)
    
Basis
    
Hedges(2)
    
Basis(3)
    
Basis
    
Basis(4)
  
Consolidated
  
June 30, 2015
   $ 976     $ 967     $ 248     $ (64 )   $ 312     $ 728     $ 655  
March 31, 2015
     1,107       1,106       243       (54 )     297       864       809  
December 31, 2014
     11,955       11,810       248       (136 )     384       11,707       11,426  
September 30, 2014
     9,149       9,125       248       (141 )     389       8,901       8,736  
June 30, 2014
     6,391       6,388       245       (127 )     372       6,146       6,016  
March 31, 2014
     3,662       3,526       243       (109 )     352       3,419       3,174  
Bimini Capital Only
  
June 30, 2015
   $ 976     $ 967     $ 248     $ (64 )   $ 312     $ 728     $ 655  
March 31, 2015
     1,107       1,106       243       (54 )     297       864       809  
December 31, 2014
     935       935       248       (136 )     384       687       551  
September 30, 2014
     682       682       248       (141 )     389       434       293  
June 30, 2014
     478       478       245       (127 )     372       233       106  
March 31, 2014
     290       184       243       (109 )     352       47       (168 )
                                                         
 
(in thousands)
  
   
Net Portfolio
    
Interest Expense on Junior Subordinated Notes
                  
   
Interest Income
            
Effect of
            
Net Interest Income
  
   
GAAP
    
Economic
    
GAAP
    
Non-GAAP
    
Economic
    
GAAP
    
Economic
  
Six Months Ended
  
Basis
    
Basis(1)
    
Basis
    
Hedges(2)
    
Basis(3)
    
Basis
    
Basis(4)
  
Consolidated
  
June 30, 2015
   $ 2,083     $ 2,073     $ 491     $ (118 )   $ 609     $ 1,592     $ 1,464  
June 30, 2014
     10,053       9,914       488       (236 )     724       9,565       9,190  
Bimini Capital Only
  
June 30, 2015
   $ 2,083     $ 2,073     $ 491     $ (118 )   $ 609     $ 1,592     $ 1,464  
June 30, 2014
     768       662       488       (236 )     724       280       (62 )

(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 subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP net interest income.

Net Portfolio Income

During the six months ended June 30, 2015, the Company generated $2.1 million of net portfolio interest income, consisting of $2.3 million of interest income from MBS assets offset by $0.2 million of interest expense on repurchase liabilities.  For the comparable period ended June 30, 2014, the Company generated $10.1 million of net portfolio interest income, consisting of $11.2 million of interest income from MBS assets offset by $1.2 million of interest expense on repurchase liabilities.  The $8.9 million decrease in interest income and $1 million decrease in interest expense for the six months ended June 30, 2015 primarily reflects the deconsolidation of Orchid’s assets and liabilities from the balance sheet beginning December 31, 2014 and the effect this had on the Company’s consolidated statement of operations.

The Company’s economic interest expense on repurchase liabilities for the six months ended June 30, 2015 and 2014 was $0.2 million and $1.3 million, respectively, resulting in $2.1 million and $9.9 million of economic net portfolio interest income, respectively.


 
-34-
 


During the three months ended June 30, 2015, the Company generated $1.0 million of net portfolio interest income, consisting of $1.1 million of interest income from MBS assets offset by $0.1 million of interest expense on repurchase liabilities.  For the three months ended June 30, 2014, the Company generated $6.4 million of net portfolio interest income, consisting of $7.1 million of interest income from MBS assets offset by $0.7 million of interest expense on repurchase liabilities.  The deployment of the proceeds from Orchid’s capital raising activities in 2014 on a leveraged basis, followed by the deconsolidation of Orchid as of December 31, 2014, were the main reasons for the decrease in both interest income and interest expense for the three months ended June 30, 2015 as compared to the same period in 2014.

The Company’s economic interest expense on repurchase liabilities for the three months ended June 30, 2015 and 2014 was $0.1 million and $0.7 million, respectively, resulting in $1.0 million and $6.4 million of economic net portfolio interest income, respectively.

The discussion above and in the following sections related to the Company’s net portfolio income during the six and three months ended June 30, 2014 includes the activities of Orchid as a VIE.  Orchid’s activities are not included for the six and three months June 30, 2015.  During the six months ended June 30, 2015, Bimini Capital generated $2.1 million of net portfolio interest income, consisting of $2.3 million of interest income from MBS assets offset by $0.2 million of interest expense on repurchase liabilities.  For the comparable period ended June 30, 2014, Bimini Capital generated $0.8 million of net portfolio interest income, consisting of $0.9 million of interest income from MBS assets offset by $0.1 million of interest expense on repurchase liabilities.

During the three months ended June 30, 2015, Bimini Capital generated $0.98 million of net portfolio interest income, consisting of $1.07 million of interest income from MBS assets offset by $0.10 million of interest expense on repurchase liabilities.  For the three months ended June 30, 2014, Bimini Capital generated $0.48 million of net portfolio interest income, consisting of $0.53 million of interest income from MBS assets offset by $0.05 million of interest expense on repurchase liabilities.

The tables below provide consolidated information on our portfolio average balances, interest income, yield on assets, average repurchase agreement balances, interest expense, cost of funds, net interest income and net interest rate spread for the six months ended June 30, 2015 and 2014 and each quarter in 2015 and 2014 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
    
Basis(2)
    
Basis
    
Basis(3)
  
Consolidated
                                                
June 30, 2015
   $ 111,674     $ 1,074       3.85 %   $ 103,750     $ 98     $ 107       0.38 %     0.41 %
March 31, 2015
     116,709       1,207       4.14 %     108,129       100       101       0.37 %     0.37 %
December 31, 2014
     1,466,048       13,168       3.59 %     1,442,905       1,213       1,358       0.34 %     0.38 %
September 30, 2014
     1,108,367       10,035       3.62 %     1,096,611       886       910       0.32 %     0.33 %
June 30, 2014
     882,591       7,119       3.23 %     783,323       728       731       0.37 %     0.37 %
March 31, 2014
     601,441       4,116       2.74 %     533,008       454       590       0.34 %     0.44 %
Bimini Capital Only
                                                                
June 30, 2015
   $ 111,674     $ 1,074       3.85 %   $ 103,750     $ 98     $ 107       0.38 %     0.41 %
March 31, 2015
     116,709       1,207       4.14 %     108,129       100       101       0.37 %     0.37 %
December 31, 2014
     103,696       1,022       3.94 %     96,591       87       86       0.36 %     0.36 %
September 30, 2014
     82,599       749       3.63 %     76,772       67       67       0.35 %     0.35 %
June 30, 2014
     70,710       530       3.00 %     65,849       53       53       0.32 %     0.32 %
March 31, 2014
     51,951       333       2.57 %     48,106       43       149       0.36 %     1.24 %
                                                                 

 
-35-
 


($ in thousands)
                                                
   
Average
          
Yield on
    
Average
    
Interest Expense
    
Average Cost of Funds
  
   
MBS
    
Interest
    
Average
    
Repurchase
    
GAAP
    
Economic
    
GAAP
    
Economic
  
Six Months Ended
  
Held(1)
    
Income(2)
    
MBS
    
Agreements(1)
    
Basis
    
Basis(2)
    
Basis
    
Basis(3)
  
Consolidated
                                                
June 30, 2015
   $ 114,192     $ 2,281       4.00 %   $ 105,939     $ 198     $ 208       0.37 %     0.39 %
June 30, 2014
     742,016       11,235       3.03 %     658,165       1,182       1,321       0.36 %     0.40 %
Bimini Capital Only
                                                                
June 30, 2015
   $ 114,192     $ 2,281       4.00 %   $ 105,939     $ 198     $ 208       0.37 %     0.39 %
June 30, 2014
     61,330       863       2.82 %     56,978       96       202       0.34 %     0.71 %

($ in thousands)
                        
   
Net Portfolio
    
Net Portfolio
  
   
Interest Income
    
Interest Spread
  
   
GAAP
    
Economic
    
GAAP
    
Economic
  
Three Months Ended
  
Basis
    
Basis(2)
    
Basis
    
Basis(4)
  
Consolidated
                        
June 30, 2015
   $ 976     $ 967       3.47 %     3.44 %
March 31, 2015
     1,107       1,106       3.77 %     3.77 %
December 31, 2014
     11,955       11,810       3.25 %     3.21 %
September 30, 2014
     9,149       9,125       3.30 %     3.29 %
June 30, 2014
     6,391       6,388       2.86 %     2.86 %
March 31, 2014
     3,662       3,526       2.40 %     2.30 %
Bimini Capital Only
                                
June 30, 2015
   $ 976     $ 967       3.47 %     3.44 %
March 31, 2015
     1,107       1,106       3.77 %     3.77 %
December 31, 2014
     935       935       3.58 %     3.58 %
September 30, 2014
     682       682       3.28 %     3.28 %
June 30, 2014
     478       478       2.68 %     2.68 %
March 31, 2014
     290       184       2.21 %     1.33 %
 
                                 
($ in thousands)
                                
   
Net Portfolio
    
Net Portfolio
  
   
Interest Income
    
Interest Spread
  
   
GAAP
    
Economic
    
GAAP
    
Economic
  
Six Months Ended
  
Basis
    
Basis(2)
    
Basis
    
Basis(4)
  
Consolidated
                                
June 30, 2015
   $ 2,083     $ 2,073       3.63 %     3.61 %
June 30, 2014
     10,053       9,914       2.67 %     2.63 %
Bimini Capital Only
                                
June 30, 2015
   $ 2,083     $ 2,073       3.63 %     3.61 %
June 30, 2014
     768       662       2.48 %     2.11 %

(1)  
Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 37-40 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 39 include the effect of derivative instrument hedges for only the period presented.
(3)  
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period related to hedging activities divided by Average MBS Held.
(4)  
Economic Net Interest Spread is calculated by subtracting Average Economic Cost of Funds from Yield on Average MBS.


 
-36-
 


Interest Income and Average Earning Asset Yield

Interest income for the Company was $2.3 million for the six months ended June 30, 2015 and $11.2 million for the six months ended June 30, 2014.  Average MBS holdings were $114.2 million and $742.0 million for the six months ended June 30, 2015 and 2014, respectively. The $8.9 million decrease in interest income was due to a $627.8 million decrease in average MBS holdings, combined with a 97 basis point increase in yields.  The decrease in average MBS during the six months ended June 30, 2015 reflects the deconsolidation of Orchid’s assets as of December 31, 2014.

Interest income for the Company was $1.1 million for the three months ended June 30, 2015 and $7.1 million for the three months ended June 30, 2014.  Average MBS holdings were $111.7 million and $882.6 million for the three months ended June 30, 2015 and 2014, respectively. The $6.0 million decrease in interest income was due to a $770.9 million decrease in average MBS holdings as a result of the deconsolidation of Orchid as of December 31, 2014, combined with a 62 basis point increase in yields.

Interest income for Bimini Capital was $2.3 million for the six months ended June 30, 2015 and $0.9 million for the six months ended June 30, 2014.  Average MBS holdings were $114.2 million and $61.3 million for the six months ended June 30, 2015 and 2014, respectively. The $1.4 million increase in interest income was due to a combination of a 118 basis point increase in yields and a $52.9 million increase in average MBS holdings.

Interest income for Bimini Capital was $1.07 million for the three months ended June 30, 2015 and $0.53 million for the three months ended June 30, 2014.  Average MBS holdings were $111.7 million and $70.7 million for the three months ended June 30, 2015 and 2014, respectively. The $0.54 million increase in interest income was due to a combination of a 85 basis point increase in yields and a $41.0 million increase in average MBS holdings.

The tables below present the consolidated average portfolio size, income and yields of our respective sub-portfolios, consisting of structured MBS and pass-through MBS (“PT MBS”) for the six months ended June 30, 2015 and 2014 and for each quarter during 2015 and 2014.
 
($ in thousands)
                                                      
   
Average MBS Held
    
Interest Income
    
Realized Yield on Average MBS
  
   
PT
    
Structured
          
PT
    
Structured
          
PT
    
Structured
        
Three Months Ended
  
MBS
    
MBS
    
Total
    
MBS
    
MBS
    
Total
    
MBS
    
MBS
    
Total
  
Consolidated
  
June 30, 2015
   $ 105,368     $ 6,306     $ 111,674     $ 1,031     $ 43     $ 1,074       3.91 %     2.75 %     3.85 %
March 31, 2015
     111,035       5,674       116,709       1,090       117       1,207       3.93 %     8.25 %     4.14 %
December 31, 2014
     1,397,518       68,530       1,466,048       13,719       (551 )     13,168       3.93 %     (3.21 )%     3.59 %
September 30, 2014
     1,048,424       59,943       1,108,367       10,266       (231 )     10,035       3.92 %     (1.55 )%     3.62 %
June 30, 2014
     833,497       49,094       882,591       8,303       (1,184 )     7,119       3.98 %     (9.64 )%     3.23 %
March 31, 2014
     564,540       36,901       601,441       4,852       (736 )     4,116       3.44 %     (7.97 )%     2.74 %
Bimini Capital Only
  
June 30, 2015
   $ 105,368     $ 6,306     $ 111,674     $ 1,031     $ 43     $ 1,074       3.91 %     2.75 %     3.85 %
March 31, 2015
     111,035       5,674       116,709       1,090       117       1,207       3.93 %     8.25 %     4.14 %
December 31, 2014
     98,552       5,144       103,696       957       65       1,022       3.89 %     5.01 %     3.94 %
September 30, 2014
     79,390       3,209       82,599       784       (35 )     749       3.95 %     (4.36 )%     3.63 %
June 30, 2014
     69,298       1,412       70,710       629       (99 )     530       3.63 %     (27.87 )%     3.00 %
March 31, 2014
     50,315       1,636       51,951       450       (117 )     333       3.58 %     (28.49 )%     2.57 %
                                                                         

 
-37-
 


($ in thousands)
                                                      
   
Average MBS Held
    
Interest Income
    
Realized Yield on Average MBS
  
   
PT
    
Structured
          
PT
    
Structured
          
PT
    
Structured
        
Six Months Ended
  
MBS
    
MBS
    
Total
    
MBS
    
MBS
    
Total
    
MBS
    
MBS
    
Total
  
Consolidated
  
June 30, 2015
   $ 108,202     $ 5,990     $ 114,192     $ 2,121     $ 160     $ 2,281       3.92 %     5.36 %     4.00 %
June 30, 2014
     699,018       42,998       742,016       13,155       (1,920 )     11,235       3.76 %     (8.93 )%     3.03 %
Bimini Capital Only
  
June 30, 2015
   $ 108,202     $ 5,990     $ 114,192     $ 2,121     $ 160     $ 2,281       3.92 %     5.36 %     4.00 %
June 30, 2014
     59,806       1,524       61,330       1,079       (216 )     863       3.61 %     (28.21 )%     2.82 %

Interest Expense on Repurchase Agreements and the Cost of Funds

Average outstanding repurchase agreements for the Company were $105.9 million and $658.2 million, generating interest expense of $0.2 million and $1.2 million for the six months ended June 30, 2015 and 2014, respectively.  Our average cost of funds was 0.37% and 0.36% for six months ended June 30, 2015 and 2014, respectively.  There was a 1 basis point increase in the average cost of funds and a $552.2 million decrease in average outstanding repurchase agreements during the six months ended June 30, 2015 as compared to the six months ended June 30, 2014.  The decrease in average outstanding repurchase agreements, and the corresponding decrease in interest expense, reflects the deconsolidation of Orchid as of December 31, 2014.

The Company’s economic interest expense was $0.2 million and $1.3 million for the six months ended June 30, 2015 and 2014, respectively. There was a 1 basis point decrease in the average economic cost of funds to 0.39% for the six months ended June 30, 2015 from 0.40% for the six months ended June 30, 2014.  The increase in economic interest expense was primarily due to the increase in average outstanding repurchase agreements during the six months ended June 30, 2015, partially offset by the decrease in the economic cost of funds rate.

Average outstanding repurchase agreements for the Company were $103.7 million and $783.3 million, generating interest expense of $0.1 million and $0.7 million for the three months ended June 30, 2015 and 2014, respectively.  Our average cost of funds was 0.38% and 0.37% for three months ended June 30, 2015 and 2014, respectively.  There was a 1 basis point increase in the average cost of funds and a $679.6 million decrease in average outstanding repurchase agreements during the three months ended June 30, 2015 as compared to the three months ended June 30, 2014.  
 
 
The Company’s economic interest expense was $0.1 million and $0.7 million for the three months ended June 30, 2015 and 2014, respectively. There was a 4 basis point increase in the average economic cost of funds to 0.41% for the three months ended June 30, 2015 from 0.37% for the three months ended June 30, 2014.  The increase in economic interest expense was primarily due to the increase in average outstanding repurchase agreements during the three months ended June 30, 2015, partially offset by the decrease in the economic cost of funds rate.

Average outstanding repurchase agreements for Bimini Capital were $105.9 million and total interest expense was $0.2 million for the six months ended June 30, 2015.  During the six months ended June 30, 2014, average outstanding repurchase agreements for Bimini Capital were $57.0 million and total interest expense was $0.1 million.  Bimini Capital’s average cost of funds was 0.37% and 0.34% for the six months ended June 30, 2015 and 2014, respectively.  

Bimini Capital’s economic interest expense was $0.2 million for each of the six months ended June 30, 2015 and 2014. There was a 32 basis point decrease in the average economic cost of funds to 0.39% for the six months ended June 30, 2015 from 0.71% for the six months ended June 30, 2014.


 
-38-
 


Average outstanding repurchase agreements for Bimini Capital were $103.7 million and total interest expense was $0.10 million for the three months ended June 30, 2015.  During the three months ended June 30, 2014, average outstanding repurchase agreements for Bimini Capital were $65.8 million and total interest expense was $0.05 million.  Bimini Capital’s average cost of funds was 0.38% and 0.32% for the three months ended June 30, 2015 and 2014, respectively.  

Bimini Capital’s economic interest expense was $0.11 million and $0.05 million for the three months ended June 30, 2015 and 2014, respectively. There was a 9 basis point increase in the average economic cost of funds to 0.41% for the three months ended June 30, 2015 from 0.32% for the three months ended June 30, 2014.

Because all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense.  The Company’s average cost of funds calculated on a GAAP basis was 20 basis points above the average one-month LIBOR and 2 basis points below the average six-month LIBOR for the quarter ended June 30, 2015.  The Company’s average economic cost of funds was 23 basis points above the average one-month LIBOR and 1 basis point above the average six-month LIBOR for the quarter ended June 30, 2015. The average term to maturity of the outstanding repurchase agreements increased from 14 days at December 31, 2014 to 20 days at June 30, 2015.

The tables below present the consolidated 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 six months ended June 30, 2015 and 2014 and each quarter in 2015 and 2014 on both a GAAP and economic basis.
 
($ in thousands)
                              
   
Average
                          
   
Balance of
    
Interest Expense
    
Average Cost of Funds
  
   
Repurchase
    
GAAP
    
Economic
    
GAAP
    
Economic
  
Three Months Ended
  
Agreements
    
Basis
    
Basis
    
Basis
    
Basis
  
Consolidated
                              
June 30, 2015
   $ 103,750     $ 98     $ 107       0.38 %     0.41 %
March 31, 2015
     108,129       100       101       0.37 %     0.37 %
December 31, 2014
     1,442,905       1,213       1,358       0.34 %     0.38 %
September 30, 2014
     1,096,611       886       910       0.32 %     0.33 %
June 30, 2014
     783,323       728       731       0.37 %     0.37 %
March 31, 2014
     533,008       454       590       0.34 %     0.44 %
Bimini Capital Only
                                        
June 30, 2015
   $ 103,750     $ 98     $ 107       0.38 %     0.41 %
March 31, 2015
     108,129       100       101       0.37 %     0.37 %
December 31, 2014
     96,591       87       86       0.36 %     0.36 %
September 30, 2014
     76,772       67       67       0.35 %     0.35 %
June 30, 2014
     65,849       53       53       0.32 %     0.32 %
March 31, 2014
     48,106       43       149       0.36 %     1.24 %
 
                                         
($ in thousands)
                                        
   
Average
                                  
   
Balance of
    
Interest Expense
    
Average Cost of Funds
  
   
Repurchase
    
GAAP
    
Economic
    
GAAP
    
Economic
  
Six Months Ended
  
Agreements
    
Basis
    
Basis
    
Basis
    
Basis
  
Consolidated
                                        
June 30, 2015
   $ 105,939     $ 198     $ 208       0.37 %     0.39 %
June 30, 2014
     658,165       1,182       1,321       0.36 %     0.40 %
Bimini Capital Only
                                        
June 30, 2015
   $ 105,939     $ 198     $ 208       0.37 %     0.39 %
June 30, 2014
     56,978       96       202       0.34 %     0.71 %
 
 
 
-39-
 

 
               
Average GAAP Cost of Funds
    
Average Economic Cost of Funds
  
               
Relative to Average
    
Relative to Average
  
   
Average LIBOR
    
One-Month
    
Six-Month
    
One-Month
    
Six-Month
  
Three Months Ended
  
One-Month
    
Six-Month
    
LIBOR
    
LIBOR
    
LIBOR
    
LIBOR
  
Consolidated
                                    
June 30, 2015
     0.18 %     0.40 %     0.20 %     (0.02 )%     0.23 %     0.01 %
March 31, 2015
     0.17 %     0.35 %     0.20 %     0.02 %     0.20 %     0.02 %
December 31, 2014
     0.16 %     0.34 %     0.18 %     0.00 %     0.22 %     0.04 %
September 30, 2014
     0.15 %     0.33 %     0.17 %     (0.01 )%     0.18 %     0.00 %
June 30, 2014
     0.15 %     0.33 %     0.22 %     0.04 %     0.22 %     0.04 %
March 31, 2014
     0.16 %     0.34 %     0.18 %     0.00 %     0.28 %     0.10 %
Bimini Capital Only
                                                
June 30, 2015
     0.18 %     0.40 %     0.20 %     (0.02 )%     0.23 %     0.01 %
March 31, 2015
     0.17 %     0.35 %     0.20 %     0.02 %     0.20 %     0.02 %
December 31, 2014
     0.16 %     0.34 %     0.20 %     0.02 %     0.20 %     0.02 %
September 30, 2014
     0.15 %     0.33 %     0.20 %     0.02 %     0.20 %     0.02 %
June 30, 2014
     0.15 %     0.33 %     0.17 %     (0.01 )%     0.17 %     (0.01 )%
March 31, 2014
     0.16 %     0.34 %     0.20 %     0.02 %     1.08 %     0.90 %
 
                                                 
                                                 
                   
Average GAAP Cost of Funds
    
Average Economic Cost of Funds
  
                   
Relative to Average
    
Relative to Average
  
   
Average LIBOR
    
One-Month
    
Six-Month
    
One-Month
    
Six-Month
  
Six Months Ended
  
One-Month
    
Six-Month
    
LIBOR
    
LIBOR
    
LIBOR
    
LIBOR
  
Consolidated
                                                
June 30, 2015
     0.18 %     0.38 %     0.19 %     (0.01 )%     0.21 %     0.01 %
June 30, 2014
     0.16 %     0.33 %     0.20 %     0.03 %     0.24 %     0.07 %
Bimini Capital Only
                                                
June 30, 2015
     0.18 %     0.38 %     0.19 %     (0.01 )%     0.21 %     0.01 %
June 30, 2014
     0.16 %     0.33 %     0.18 %     0.01 %     0.55 %     0.38 %

Junior Subordinated Notes

Interest expense on the Company’s junior subordinated debt securities was $0.5 million for each of the six months ended June 30, 2015 and 2014.  The average rate of interest paid for the six months ended June 30, 2015 was 3.76% compared to 3.74% for the comparable period in 2014.

Interest expense on the Company’s junior subordinated debt securities was $0.2 million for each of the three month periods ended June 30, 2015 and 2014.  The average rate of interest paid for the three months ended June 30, 2015 was 3.77% compared to 3.73% for the comparable period in 2014.

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 June 30, 2015, the interest rate was 3.79%.


 
-40-
 


Gains or Losses and Other Income

The table below presents the Company’s gains or losses and other income for the six and three months ended June 30, 2015 and 2014.
(in thousands)
                                    
   
Six Months Ended June 30,
    
Three Months Ended June 30,
  
   
2015
    
2014
    
Change
    
2015
    
2014
    
Change
  
Realized gains on sales of MBS
   $ -     $ 4,049     $ (4,049 )   $ -     $ 2,980     $ (2,980 )
Unrealized (losses) gains on MBS
     (197 )     11,266       (11,463 )     (1,027 )     9,698       (10,725 )
Total (losses) gains on MBS
     (197 )     15,315       (15,512 )     (1,027 )     12,678       (13,705 )
(Losses) gains on Eurodollar futures
     (1,009 )     (6,306 )     5,297       6       (4,745 )     4,751  
Gains on retained interests
     2,539       2,447       92       1,053       2,253       (1,200 )
Loss on payer swaption
     -       (1,285 )     1,285       -       (1,129 )     1,129  
Unrealized losses on Orchid Island Capital, Inc.
     (1,806 )     -       (1,806 )     (1,993 )     -       (1,993 )
Orchid Island Capital, Inc. dividends
     1,060       -       1,060       530       -       530  
Mangement fees
     1,869       -       1,869       1,014       -       1,014  

We invest in MBS with the intent to earn net income from the realized yield on those assets over the related funding and hedging costs, and not for purposes of making short term gains from trading in these securities.   However, we have sold, and may continue to sell, existing assets to 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 six months ended June 30, 2015, the Company did not dispose of any MBS.  For the six and three months ended June 30, 2014, the Company received proceeds of $434.6 million and $279.5 million, respectively, from the sales of MBS.

The higher MBS trading activities in the six and three months ended June 30, 2014 reflects the repositioning of our portfolio following Orchid’s capital raising activities.  The fair value adjustments on MBS for the six months ended June 30, 2015 and 2014 were the result of changes in market conditions.  Losses on Eurodollar futures contracts reflect the declining LIBOR during the six months ended June 30, 2015 and 2014. The table below presents historical interest rate data for each quarter end during 2015 and 2014.

         
15 Year
    
30 Year
    
Three
  
   
10 Year
    
Fixed-Rate
    
Fixed-Rate
    
Month
  
Three Months Ended
  
Treasury Rate(1)
    
Mortgage Rate(2)
    
Mortgage Rate(2)
    
Libor(3)
  
June 30, 2015
     2.34 %     3.19 %     3.98 %     0.28 %
March 31, 2015
     1.93 %     3.04 %     3.77 %     0.27 %
December 31, 2014
     2.17 %     3.13 %     3.86 %     0.25 %
September 30, 2014
     2.51 %     3.31 %     4.16 %     0.23 %
June 30, 2014
     2.52 %     3.27 %     4.16 %     0.23 %
March 31, 2014
     2.72 %     3.36 %     4.34 %     0.23 %

(1)  
Historical 10 Year Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.
 
(2)  
Historical 30 Year and 15 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.
 

The retained interests in securitizations represent the residual net interest spread remaining after payments on the notes issued through the securitization.  Fluctuations in value of retained interests are primarily driven by projections of future interest rates (the forward LIBOR curve), the discount rate used to determine the present value of the residual cash flows and prepayment and loss estimates on the underlying mortgage loans.  During the six and three months ended June 30, 2015, the Company recorded gains on retained interests of $2.5 million and $1.1 million, respectively, compared to gains of $2.4 million and $2.3 million, respectively, for the six and three months ended June 30, 2014.


 
-41-
 


Operating Expenses

For the six and three months ended June 30, 2015, the Company’s total operating expenses were approximately $6.3 million and $1.5 million, respectively, compared to approximately $3.6 million and $2.3 million for the six and three months ended June 30, 2014, respectively.   The table below presents a breakdown of operating expenses for the six and three months ended June 30, 2015 and 2014.
(in thousands)
                                    
   
Six Months Ended June 30,
    
Three Months Ended June 30,
  
   
2015
    
2014
    
Change
    
2015
    
2014
    
Change
  
Compensation and benefits
   $ 1,263     $ 1,357     $ (94 )   $ 595     $ 911     $ (316 )
Legal fees
     713       624       89       536       445       91  
Accounting, auditing and other professional fees
     335       465       (130 )     177       244       (67 )
Directors’ fees and liability insurance
     343       544       (201 )     175       303       (128 )
Direct REIT operating expenses
     37       229       (192 )     18       114       (96 )
Settlement of litigation
     3,500       -       3,500       -       -       -  
Other G&A expenses
     118       391       (273 )     33       236       (203 )
    $ 6,309     $ 3,610     $ 2,699     $ 1,534     $ 2,253     $ (719 )

In May 2015, Bimini Capital agreed to settle a legal action as more fully described in Note 10 to the consolidated financial statements.  A loss of $3.5 million has been charged to operations for the six months ended June 30, 2015.

Financial Condition:

Mortgage-Backed Securities

As of June 30, 2015, the Company’s MBS portfolio consisted of $107.8 million of agency or government MBS at fair value and had a weighted average coupon of 4.32%.  During the six months ended June 30, 2015, the Company received principal repayments of $10.9 million compared to $28.8 million for the comparable period ended June 30, 2014.  The average prepayment speeds for the quarters ended June 30, 2015 and 2014 were 15.9% and 8.6%, respectively.

The following table presents the constant prepayment rate (“CPR”) experienced on the Company’s structured and PT MBS sub-portfolios, on an annualized basis, for the quarterly periods presented (including the impact of Orchid for all periods presented prior to Orchid’s deconsolidation on December 31, 2014).  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.  Assets that were not owned for the entire quarter have been excluded from the calculation.  The exclusion of certain assets during periods of high trading activity can create a very high, and often volatile, reliance on a small sample of underlying loans. The increase in prepayments during the three months ended June 30, 2015 was primarily due to the effects of lower residential mortgage rates in the previous quarter.
 
         
Structured
        
   
PT MBS
    
MBS
    
Total
  
Three Months Ended
  
Portfolio (%)
    
Portfolio (%)
    
Portfolio (%)
  
June 30, 2015
     16.2       15.3       15.9  
March 31, 2015
     9.6       12.3       10.5  
December 31, 2014
     4.3       15.0       8.1  
September 30, 2014
     7.9       18.5       12.3  
June 30, 2014
     4.1       17.0       8.6  
March 31, 2014
     3.9       16.0       9.8  


 
-42-
 


The following tables summarize certain characteristics of the Bimini Capital’s PT MBS and structured MBS as of June 30, 2015 and December 31, 2014:
($ in thousands)
                  
         
Weighted
  
Weighted
    
     
Percentage
  
Average
  
Average
Weighted
Weighted
     
of
Weighted
Maturity
  
Coupon
Average
Average
   
Fair
Entire
Average
in
Longest
Reset in
Lifetime
Periodic
Asset Category
  
Value
Portfolio
Coupon
Months
Maturity
Months
Cap
Cap
June 30, 2015
                  
Fixed Rate MBS
$
101,160
93.9%
4.29%
321
1-Dec-44
NA
NA
NA
Hybrid Adjustable Rate MBS
  
121
0.1%
4.00%
319
20-Jan-42
21.03
9.00%
1.00%
Total PT MBS
  
101,281
94.0%
4.29%
321
1-Dec-44
NA
NA
NA
Interest-Only Securities
  
3,345
3.1%
3.24%
251
25-Dec-39
NA
NA
n/a
Inverse Interest-Only Securities
  
3,135
2.9%
6.35%
308
25-Apr-41
NA
6.54%
n/a
Total Structured MBS
  
6,480
6.0%
4.75%
278
25-Apr-41
NA
NA
NA
Total Mortgage Assets
$
107,761
100.0%
4.32%
318
1-Dec-44
NA
NA
NA
December 31, 2014
                  
Fixed Rate MBS
$
112,174
95.2%
4.30%
327
1-Dec-44
NA
NA
NA
Hybrid Adjustable Rate MBS
  
442
0.4%
4.00%
325
20-Jan-42
27.03
9.00%
1.00%
Total PT MBS
  
112,616
95.6%
4.30%
327
1-Dec-44
NA
NA
NA
Interest-Only Securities
  
2,276
1.9%
3.11%
240
25-Dec-39
NA
NA
NA
Inverse Interest-Only Securities
  
2,939
2.5%
6.35%
313
25-Apr-41
NA
0.80%
NA
Total Structured MBS
  
5,215
4.4%
4.94%
281
25-Apr-41
NA
NA
NA
Total Mortgage Assets
$
117,831
100.0%
4.33%
325
1-Dec-44
NA
NA
NA

($ in thousands)
                        
   
June 30, 2015
    
December 31, 2014
  
         
Percentage of
          
Percentage of
  
Agency
  
Fair Value
    
Entire Portfolio
    
Fair Value
    
Entire Portfolio
  
Fannie Mae
   $ 60,122       55.8 %   $ 66,974       56.8 %
Freddie Mac
     46,356       43.0 %     50,415       42.8 %
Ginnie Mae
     1,283       1.2 %     442       0.4 %
Total Portfolio
   $ 107,761       100.0 %   $ 117,831       100.0 %

   
June 30, 2015
    
December 31, 2014
  
Weighted Average Pass-through Purchase Price
   $ 107.95     $ 107.95  
Weighted Average Structured Purchase Price
   $ 6.07     $ 5.98  
Weighted Average Pass-through Current Price
   $ 108.00     $ 108.53  
Weighted Average Structured Current Price
   $ 10.41     $ 9.08  
Effective Duration (1)
     2.625       2.663  

(1)  
Effective duration is the approximate percentage change in price for a 100 basis point change in rates.  An effective duration of 2.625 indicates that an interest rate increase of 1.0% would be expected to cause a 2.625% decrease in the value of the MBS in the Company’s investment portfolio at June 30, 2015.  An effective duration of 2.663 indicates that an interest rate increase of 1.0% would be expected to cause a 2.663% decrease in the value of the MBS in the Company’s investment portfolio at December 31, 2014. These figures include the structured securities in the portfolio but do include the effect of the Company’s funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.


 
-43-
 


The following table presents a summary of the Company’s portfolio assets acquired during the six months ended June 30, 2015 and 2014.
($ in thousands)
                                    
 
2015
  
2014
  
   
Total Cost
    
Average Price
    
Weighted Average Yield
    
Total Cost
    
Average Price
    
Weighted Average Yield
  
PT MBS
   $ -     $ -       0.00 %   $ 978,252     $ 107.50       3.07 %
Structured MBS
     986       8.18       10.23 %     32,155       14.65       (5.02 )%

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

The duration of the Company’s 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 durations 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) cause their price movements - and model duration - to be affected by changes in both prepayments and one month LIBOR - both current and anticipated levels.  As a result, the duration of IIO securities will also vary greatly.

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

The Company faces the risk that the market value of its PT MBS assets will increase or decrease at different rates than that of its structured MBS or liabilities, including its hedging instruments. Accordingly, the Company assesses its interest rate risk by estimating the duration of its assets and the duration of its liabilities. The Company generally calculates duration and effective duration using various third-party models or obtains these quotes from third parties.  However, empirical results and various third-party models may produce different duration numbers for the same securities.


 
-44-
 


The following sensitivity analysis shows the estimated impact on the fair value of our interest rate-sensitive investments and hedge positions as of June 30, 2015, assuming rates instantaneously fall 100 basis points (“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 in interest rates.
($ in thousands)
                                          
   
Fair
    
$ Change in Fair Value
    
% Change in Fair Value
  
MBS Portfolio
  
Value
    
-100BPS
    
+100BPS
    
+200BPS
    
-100BPS
    
+100BPS
    
+200BPS
  
Hybrid Adjustable Rate MBS
   $ 121     $ 2     $ (2 )   $ (5 )     1.25 %     (1.69 )%     (3.78 )%
Fixed Rate MBS
     101,160       2,992       (4,989 )     (10,776 )     2.96 %     (4.93 )%     (10.65 )%
Interest-Only MBS
     3,345       (1,552 )     1,042       1,592       (46.40 )%     31.14 %     47.59 %
Inverse Interest-Only MBS
     3,135       (289 )     (208 )     (724 )     (9.23 )%     (6.64 )%     (23.10 )%
Total MBS Portfolio
   $ 107,761     $ 1,153     $ (4,157 )   $ (9,913 )     1.07 %     (3.86 )%     (9.20 )%

($ in thousands)
                                          
   
Notional
    
$ Change in Fair Value
    
% Change in Fair Value
  
   
Amount(1)
    
-100BPS
    
+100BPS
    
+200BPS
    
-100BPS
    
+100BPS
    
+200BPS
  
Eurodollar Futures Contracts
                                          
Repurchase Agreement Hedges
   $ 646,000     $ (1,294 )   $ 1,615     $ 3,230       (0.81 )%     1.01 %     2.03 %
Junior Subordinated Debt Hedges
     312,000       (603 )     780       1,560       (0.78 )%     1.01 %     2.03 %
    $ 958,000     $ (1,897 )   $ 2,395     $ 4,790       (0.80 )%     1.01 %     2.03 %
                                                         
Gross Totals
           $ (744 )   $ (1,762 )   $ (5,123 )                        

(1)  
Represents the total cumulative contract/notional amount of Eurodollar futures contracts.

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

Repurchase Agreements

As of June 30, 2015, the Company 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 the Company. These borrowings are secured by the Company’s MBS and cash and bear interest rates that are based on a spread to LIBOR.

As of June 30, 2015, the Company had obligations outstanding under the repurchase agreements of approximately $101.2 million with a net weighted average borrowing cost of 0.39%. The remaining maturity of the Company’s outstanding repurchase agreement obligations ranged from 6 to 76 days, with a weighted average maturity of 20 days.  Securing the repurchase agreement obligation as of June 30, 2015 are MBS with an estimated fair value, including accrued interest and receivable for securities sold, of $106.2 million and a weighted average maturity of 320 months and cash pledged to counterparties of approximately $2.1 million.  Through August 5, 2015, the Company has been able to maintain its repurchase facilities with comparable terms to those that existed at June 30, 2015 with maturities through October 6, 2015.


 
-45-
 


The table below presents information about our period-end and average repurchase agreement obligations for each quarter in 2015 and 2014.
($ in thousands)
  
               
Difference Between Ending
  
   
Ending Balance
    
Average Balance
    
Repurchase Agreements and
  
   
of Repurchase
    
of Repurchase
    
Average Repurchase Agreements
  
Three Months Ended
  
Agreements
    
Agreements
    
Amount
    
Percent
  
June 30, 2015
     101,206       103,750       (2,544 )     (2.45 )%
March 31, 2015
   $ 106,294     $ 108,129     $ (1,835 )     (1.70 )%
December 31, 2014
     109,964       1,442,905       (1,332,941 )     (92.38 )%(1)
September 30, 2014
     1,339,196       1,096,611       242,585       22.12 %(2)
June 30, 2014
     854,026       783,323       70,703       9.03 %
March 31, 2014
     712,620       533,008       179,612       33.70 %(3)
 
(1)  
The lower ending balance relative to the average balance during the quarter ended December 31, 2014 reflects the deconsolidation of Orchid at December 31, 2014.
(2)  
The higher ending balance relative to the average balance during the quarter ended September 30, 2014 reflects deployment of the proceeds, on a leveraged basis, of certain equity offerings by Orchid.  During the quarter ended September 30, 2014, the Company’s investment in PT RMBS increased $294.4 million.
(3)  
The higher ending balance relative to the average balance during the quarter ended March 31, 2014 reflects the deployment of the proceeds, on a leveraged basis, of Orchid’s January and March 2014 equity offerings.  During the quarter ended March 31, 2014, the Company’s investment in PT RMBS increased $402.5 million.

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, fulfill margin calls and pay dividends.  Our principal immediate sources of liquidity include cash balances, unencumbered assets, the availability to borrow under repurchase agreements, and fees and dividends received from Orchid.  Our borrowing capacity will vary over time as the market value of our interest earning assets varies.  Our balance sheet also generates liquidity on an on-going basis through payments of principal and interest we receive on our MBS portfolio, and from cash flows received from the retained interests and the collection of servicing advances.  Management believes that we currently have sufficient liquidity and capital resources available for (a) the acquisition of additional investments consistent with the size and nature of our existing MBS portfolio, (b) the repayments on borrowings, (c) the payment of overhead and operating expenses, and (d) the payment of other accrued obligations.

Because our PT MBS portfolio consists entirely of government and agency securities, we do not anticipate having difficulty converting our assets to cash should our liquidity needs ever exceed our immediately available sources of cash.  Our structured MBS portfolio also consists entirely of governmental agency securities, although they typically do not trade with comparable bid / ask spreads as PT MBS.  However, we anticipate that we would be able to liquidate such securities readily, even in distressed markets, although we would likely do so at prices below where such securities could be sold in a more stable market. To enhance our liquidity even further, we may pledge a portion of our structured MBS as part of a repurchase agreement funding but retain the cash in lieu of acquiring additional assets.  In this way, we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash.

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

As discussed above, the Company invests a portion of its capital in structured MBS.  We do not fund the purchase of these investments in the repurchase market but instead purchase them directly, thus reducing – but not eliminating - the Company’s reliance on access to repurchase agreement funding.  The leverage inherent in the 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 will not pledge these securities in order to acquire additional assets.

In future periods we expect to continue to finance our activities through repurchase agreements.  As of June 30, 2015, the Company had cash and cash equivalents of $7.0 million.  We generated cash flows of $13.2 million from principal and interest payments on our MBS portfolio and $2.3 million from retained interests and had average repurchase agreements outstanding of $105.9 million during the six months ended June 30, 2015.  In addition, during the six months ended June 30, 2015, the Company received approximately $2.3 million in management fees and expense reimbursements as manager of Orchid and approximately $1.1 million in dividends from its investment in Orchid common shares.

In May 2015, Bimini Capital agreed to settle a legal action as more fully described in Note 10 to the consolidated financial statements.  A loss of $3.5 million has been charged to operations for the six months ended June 30, 2015.  Although payments under the settlement agreement will reduce the Company’s liquidity, management believes that the Company will be able to generate sufficient cash from its operations to meet the payment obligations as they come due.

The table below summarizes the effect on our liquidity and cash flows from certain future contractual obligations as of June 30, 2015.
(in thousands)
                              
   
Obligations Maturing
  
   
Within One Year
    
One to Three Years
    
Three to Five Years
    
More than Five Years
    
Total
  
Repurchase agreements
   $ 101,206     $ -     $ -     $ -     $ 101,206  
Interest expense on repurchase agreements(1)
     68       -       -       -       68  
Junior subordinated notes(2)
     -       -       -       26,000       26,000  
Interest expense on junior subordinated notes(1)
     1,044       1,996       1,999       15,437       20,476  
Litigation settlement
     2,500       500       500       -       3,500  
Totals
   $ 104,818     $ 2,496     $ 2,499     $ 41,437     $ 151,250  

(1)  
Interest expense on repurchase agreements and junior subordinated notes are based on current interest rates as of June 30, 2015 and the remaining term of liabilities existing at that date.
(2)  
The Company holds a common equity interest in Bimini Capital Trust II.  The amount presented represents the net cash outlay of the Company.


 
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Outlook

Bimini Capital

Prior to 2008, MortCo incurred significant losses in the operation of a mortgage loan origination business.  Bimini Capital materially downsized its investment portfolio to raise cash to fund the MortCo operations, leaving Bimini Capital with a significantly smaller capital base.  This smaller capital base made it difficult to generate sufficient net interest income to cover expenses.  Since MortCo terminated its operations in 2007, Bimini Capital has taken several significant steps designed to increase its probability of generating profits going forward, including a re-structuring of the portfolio, reducing expenses, retiring debt, and settling various litigation matters.  In general, Bimini Capital still needed to increase its capital base, and/or create alternative sources of revenues, to ensure the generation of profits over the long-term.  However, primarily because of litigation arising out of MortCo’s prior mortgage business, raising capital directly into Bimini Capital was not possible.  Therefore, Orchid was formed as a new entity into which capital could be raised.

Orchid Island Capital Inc.

To the extent Orchid is able to increase its capital base over time, Bimini Capital will benefit via increased management fees.  Bimini Advisors will receive a monthly management fee in the amount of:

•      One-twelfth of 1.5% of the first $250 million of Orchid’s equity, as defined in the management agreement,
•      One-twelfth of 1.25% of Orchid’s equity that is greater than $250 million and less than or equal to $500 million, and
•      One-twelfth of 1.00% of Orchid’s equity that is greater than $500 million.

During the year ended December 31, 2014, Orchid completed additional offerings of its common stock. As of March 31, 2014, Orchid reached $100 million of stockholders equity for the first time.  As a result, pursuant to the management agreement between Bimini Advisors and Orchid, commencing on July 1, 2014 Bimini Advisors began to allocate certain overhead costs to Orchid on a pro rata basis.  As a stockholder of Orchid, Bimini will also continue to share in distributions, if any, paid by Orchid to its stockholders.

The independent Board of Directors of Orchid has the ability to terminate the management agreement and thus end the ability of the Bimini Advisors and Bimini Capital to collect management fees and share overhead costs.  Should Orchid terminate the management agreement without cause, it shall pay to 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 initial term or automatic renewal term.

Tax Matters

For the year ended December 31, 2014, Bimini Capital generated a REIT taxable loss.  As more fully described in footnote 11 to the accompanying consolidated financial statements, REIT taxable income or loss generated by qualifying REIT activities is computed in accordance with the Internal Revenue Code, which is different from the Company’s financial statement income or loss as computed in accordance with GAAP.  Bimini Capital had REIT tax NOL carryforwards of approximately $17.3 million as of December 31, 2014 which are immediately available to offset future REIT taxable income.


 
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The Company has used the term “REIT taxable income” throughout this document as being the amount available for distribution to its stockholders before any NOLs are applied, and before any distributions.  In arriving at income that could be subjected to taxation at the REIT entity level for a given year, dividends paid in the current year and any NOLs carried-over from prior periods are deducted (in that order) from current period income first.  NOLs expire 20 years from the year they are incurred.  Since Bimini Capital currently has NOLs from prior periods, which begin to expire in 2028, and are available to offset income in 2015 and in future periods, Bimini Capital has the option, but not the obligation, to apply such NOLs against REIT taxable income.  As a result, Bimini Capital could have income in 2015 and in future years, but not make distributions to stockholders.  This would occur if Bimini Capital had sufficient NOLs available to entirely offset the REIT income earned in a given year and chose to apply such NOLs.  Bimini Capital could also apply available NOLs against a portion of future period earnings and reduce the distributions to stockholders. Bimini Capital is unlikely to declare and pay dividends to stockholders until existing NOLs have been consumed.

 
Interest Rates

Volatility in global interest rates continued in the second quarter of 2015.  Interest rates rose across all sectors in the global bond markets, thereby depressing bond prices across sectors. Spreads on U.S. Treasuries of the same durations as Agency MBS incrementally widened during the second quarter, putting downward pressure on book value for many mortgage REITs. Both U.S. Treasuries and Agency MBS yields ended the second quarter higher than the close of the first quarter 2015.  The rise in rates was led by growing sentiment that the European economies are recovering and the need for continued aggressive monetary stimulus by the European Central Bank (the "ECB") would diminish somewhat over the next few quarters. However, European markets decreased during the second quarter primarily due to fears stoked by uncertainty over Greek sovereign finances and its future as an ECB member and a member of the Eurozone.

We believe that the U.S. economy appears to be on a trajectory of slow, sustainable growth.  The consensus forecast for 2015 economic growth in the U.S. remains at approximately 2.7%, accompanied by moderate growth in payrolls and inflation within the Federal Reserve's target range. The Federal Reserve continues to guide capital markets to anticipate the possibility of an interest rate hike in September or December 2015. Federal Reserve Chair Yellen, in her June 17, 2015 remarks following the June Federal Reserve Open Market Committee ("FOMC") policy meeting, stated that she anticipates a long period of continued accommodative monetary policy following an initial rise in the Federal Funds Rate later this year. These statements, which Chair Yellen reiterated in Congressional testimony on July 15 and 16, 2015, generally are in line with market participants' expectations for the balance of 2015. As of June 30, 2015, the bond market appears to have priced in an increase in the federal funds rate in September 2015 and a slow rise over the next few years.  With the Federal Reserve ostensibly tying the start of interest rate increases to evidence of further improvement in the economy, data releases remain materially influential events. We believe that data dependency and analysis of the Federal Reserve will continue to drive the direction and volatility of U.S. rates, with the uncertainty that this dynamic creates further volatility in the interest rate and fixed income markets.

Recent Regulatory Developments

In March 2015, housing and mortgage financial reform legislation, H.R. 1491, was proposed by congressmen John Delaney (D-MD), John Camey (D-DE) and James A. Himes (D­-CT), each of whom is a member of the House Financial Services Committee. The bill is called The Partnership to Strengthen Homeownership Act, and is similar to a bill introduced by the same congressmen in the last Congress (H.R. 5055), which never made it out of committee.   Under this proposed legislation, all government guaranteed single-family and multi-family mortgage­ backed securities will be supported by a minimum of 5% private sector capital, which will stand in a first loss position. The remaining 95% of the risk will be shared between Ginnie Mae and a private reinsurer on a pari passu basis. Fees paid to Ginnie Mae for providing these securities will be allocated to affordable housing programs.  Under the bill, Freddie Mac and Fannie Mae would be wound down over a five-year period, and their multifamily businesses will be spun out as separate entities. Ginnie Mae would be required to create and implement a workable multifamily guarantee that utilizes private sector pricing consistent with the single family model. The GSEs' current multifamily businesses would continue to function within the new multifamily housing market as purely private organizations with an explicit government guarantee provided by Ginnie Mae and a private sector reinsurer.

 
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In May 2015, Senate Banking Committee Chairman Richard Shelby (R-AL) released a draft bill entitled The Regulatory Relief Bill of 2015 (the "Regulatory Relief Bill"). If enacted, this bill would increase the threshold for a financial institution to be deemed a Systemically Important Financial Institution ("SIFI") from $50 billion to $500 billion while giving the Financial Stability Oversight Council discretion to designate banks with greater than $50 billion in assets as SIFIs, give non-banks an opportunity to file a remedial plan addressing regulators' concerns before being designated as SIFIs, require an affirmative vote every five years to renew the SIFI designation of non-banks, provide regulatory relief for community banks and broaden the Consumer Financial Protection Bureau Qualified Mortgage rule.

We expect debate and discussion on residential housing and mortgage reform to continue in 2015.  However, we cannot be certain if H.R. 1491, the Regulatory Relief Bill or any other housing- and/or mortgage-related bill will be approved by Congress, and if so, what the effect will be.

Effect on Us

Regulatory developments, movements in interest rates and prepayment rates as well as loan modification programs 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 in prepayment rates would reduce the effective term of our POs and accelerate the yields earned on those assets, which would increase our net income.

Because we base our investment decisions on risk management principles rather than anticipated movements in interest rates, in a volatile interest rate environment we may allocate more capital to structured Agency MBS with shorter durations, such as short-term fixed and floating rate CMOs. 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 pass-through Agency MBS, particularly pass-through Agency MBS backed by fixed-rate mortgages.

 
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We do not believe our investment portfolio will be materially affected by loan modification programs because Agency MBS backed by loans that would qualify for such programs (e.g., seriously delinquent loans) will be purchased by Fannie Mae and Freddie Mac at their par value prior to the implementation of such programs. However, if Fannie Mae and Freddie Mac were to modify or end their repurchase programs or if the U.S. Government modified its loan modification programs to modify non-delinquent mortgage loans, our investment portfolio could be negatively impacted.

Effects on our borrowing costs

We leverage our pass-through Agency 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 market levels of both the Federal Funds Rate and LIBOR. An increase in the U.S. Federal Funds Rate or LIBOR would 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 by 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 effectively convert our floating-rate repurchase agreement debt to fixed-rate debt, or utilize other hedging instruments such as Eurodollar futures contracts or interest rate swaptions.

Summary

Over the past several quarters there has been a relatively large spread between short and long-term interest rates has positively affected our net interest margin. However, if prepayment rates remain elevated or accelerate further they could continue to negatively affect our net interest margin and the value of our assets. Furthermore, increases in the Federal Funds Rate and LIBOR could significantly increase our financing costs, which could lower our net interest margin.

Critical Accounting Policies

Management’s discussion and analysis of financial condition and results of operations is based on the amounts reported in our consolidated financial statements.  These consolidated financial statements are prepared in accordance with GAAP. The Company’s significant accounting policies are described in Note 1 to the Company’s accompanying consolidated financial statements.
 
 
GAAP requires the Company’s management to make complex and subjective decisions and assessments.  The Company’s most critical accounting policies involve decisions and assessments which could significantly affect reported assets and liabilities, as well as reported revenues and expenses. The Company believes that all of the decisions and assessments upon which its financial statements are based were reasonable at the time made based upon information available to it at that time. There have been no changes to our critical accounting policies as discussed in our annual report on Form 10-K for the year ended December 31, 2014.

Capital Expenditures

At June 30, 2015, we had no material commitments for capital expenditures.

Off-Balance Sheet Arrangements

At June 30, 2015, we did not have any off-balance sheet arrangements.


 
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Inflation

Virtually all of our assets and liabilities are interest rate sensitive in nature. As a result, interest rates and other factors influence our performance far more so than does inflation. Changes in interest rates do not necessarily correlate with inflation rates or changes in inflation rates. Our financial statements are prepared in accordance with GAAP and our distributions will be determined by our Board of Directors consistent with our obligation to distribute to our stockholders at least 90% of our REIT taxable income on an annual basis in order to maintain our REIT qualification; in each case, our activities and balance sheet are measured with reference to historical cost and/or fair market value without considering inflation.

ITEM 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
 

Not Applicable.
 


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, as amended (“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 its 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 Controls over Financial Reporting

There were no significant 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.

 
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PART II.  OTHER INFORMATION

ITEM 1.  LEGAL PROCEEDINGS

The Company may from time to time be involved in various lawsuits and claims, both pending and threatened, including some that it has asserted against others, in which monetary and other damages are sought. These lawsuits and claims relate primarily to contractual disputes arising out of the ordinary course of the Company’s business. The outcome of such lawsuits and claims, as well as the costs to defend them, is inherently unpredictable, and management may choose to settle certain matters based on a cost-benefit analysis.

A complaint by a note-holder in Preferred Term Securities XX (“PreTSL XX”) was filed on July 16, 2010 in the Supreme Court of the State of New York, New York County, against Bimini Capital, the Bank of New York Mellon (“BNY Mellon”) and Hexagon Securities LLC (“Hexagon”) and nominal defendants BNY Mellon and Preferred Term Securities XX, Ltd. (“PreTSL XX”), captioned Hildene Capital Management, LLC, et al. v. The Bank of New York Mellon, et. al.  The complaint, filed by Hildene Capital Management, LLC and Hildene Opportunities Fund, Ltd. (“Hildene”), alleged that Hildene suffered losses as a result of Bimini Capital’s repurchase of all outstanding fixed/floating rate capital securities of Bimini Capital Trust II for less than par value from PreTSL XX in October 2009.  Hildene alleged claims against BNY Mellon for breach of the Indenture, breach of fiduciary duties and breach of the covenant of good faith and fair dealing, and claims against Bimini Capital for tortious interference with contract, aiding and abetting breach of fiduciary duty, unjust enrichment and “rescission/illegality.” Hildene also alleged derivative claims brought in the name of Nominal Defendant BNY Mellon.  (Subsequently, Hexagon and Nominal Defendant PreTSL XX were voluntarily dismissed without prejudice by Hildene.)  PreTSL XX, Ltd. moved to intervene as an additional plaintiff in the action, and Bimini and BNY Mellon opposed that motion.  The court granted PreTSL XX, Ltd.’s motion to intervene and the Appellate Division, First Department affirmed that decision.  In May 2013, Hildene voluntarily dismissed its purported derivative claims brought in the name of BNY Mellon, including its claim for “rescission/illegality.”  On April 14, 2014 and May 18, 2014, Stipulations of Partial Discontinuance were filed with the court that dismissed all claims between and among Hildene and BNY Mellon, and PreTSL XX and BNY Mellon.
 
 
On May 15, 2015, Hildene and Bimini Capital reached an agreement to settle the case, and on July 10, 2015, a Stipulation of Discontinuance was filed dismissing all claims and counterclaims between and among Hildene and Bimini Capital.  In connection with the settlement and in accordance with GAAP, a loss of $3.5 million has been charged to operations for the six months ended June 30, 2015.

 

ITEM 1A.  RISK FACTORS.

Except as set forth below, there have been no material changes from the risk factors disclosed in the “Risk Factors” section of our Annual Report on Form 10-K filed with the SEC on March 16, 2015.

 Risks Related to Our Business
 

Payments to be made in the settlement of a legal action could have an adverse effect on our liquidity, financial condition and results of operations.

In May 2015, Bimini Capital reached an agreement to settle a legal action as more fully described in Note 10 to the financial statements.  Although payments under the settlement agreement will reduce the Company’s liquidity, management believes that the Company will be able to generate sufficient cash from its operations to meet the payment obligations as they come due.  If the Company is unable to generate sufficient cash, it may be required to liquidate a portion of its MBS portfolio, which could have an adverse effect of the Company’s ability to generate interest income, its results of operations, and its financial condition.


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

During the three months ended June 30, 2015, the Company issued 9,822 and 4,048 shares of Class A Common Stock to Robert J. Dwyer and Frank E. Jaumot, respectively, in consideration for their service on the Company’s Board of Directors and on certain committees of the Board of Directors.  The shares were issued pursuant to the exemption from registration under the Securities Act of 1933, as amended, contained in Section 4(a)(2) thereof.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4.  MINE SAFETY DISCLOSURES.

Not Applicable.

ITEM 5.  OTHER INFORMATION

None.


 
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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
  
10.1
Settlement Agreement and Release by and among Bimini Capital Management, Inc. Preferred Term Securities XX, Ltd., Hildene Capital Management, LLC and Hildene Opportunities Master Fund, Ltd. Dated May 15, 2015.*
  
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.

 
-55-
 

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:           August 5, 2015
  
By:
   /s/ Robert E. Cauley  
     
Robert E. Cauley
Chairman and Chief Executive Officer



Date:           August 5, 2015
  
By:
   /s/ G. Hunter Haas, IV  
     
G. Hunter Haas, IV
President, Chief Financial Officer, Chief Investment Officer and Treasurer (Principal Financial Officer and Principal Accounting Officer)

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EXHIBIT 10.1
 
 
SETTLEMENT AGREEMENT AND RELEASE
 
This CONFIDENTIAL SETTLEMENT AGREEMENT AND RELEASE (the “Agreement”), dated as of May 15, 2015, is entered into by and between HILDENE CAPITAL MANAGEMENT, LLC (“Hildene Capital”), HILDENE OPPORTUNITIES MASTER FUND, LTD., individually and derivatively (“Hildene Master” and, together with Hildene Capital, “Hildene”), PREFERRED TERM SECURITIES XX, LTD  (“PreTSL XX”), and BIMINI CAPITAL MANAGEMENT, INC. (“Bimini,” and together with Hildene and PreTSL XX, the “Settling Parties”).
 
RECITALS
 
WHEREAS, on July 16, 2010, Hildene commenced an action by filing a complaint (the “Hildene Complaint”) against defendants Bimini, the Bank of New York Mellon (“BNYM”) and Hexagon Securities LLC (“Hexagon”) and nominal defendants BNYM and PreTSL XX in the Supreme Court of the State of New York, County of New York, captioned Hildene Capital Management, LLC, et al. v. The Bank of New York Mellon, et. al., Index No. 650980/2010 (Sherwood, J.) (the “Action”);
 
WHEREAS, the Action alleged1 causes of action for breach of contract, breach of the covenant of good faith and fair dealing, tortious interference with contract, breach of fiduciary duty, aiding and abetting breach of fiduciary duty, unjust enrichment and rescission/illegality in connection with the offer by Bimini to repurchase the capital securities of Bimini Capital Trust II (the “TruPS”) from the PreTSL XX collateral pool (the “Bimini TruPS Repurchase”);
 
WHEREAS, the PreTSL XX notes were issued pursuant to an Indenture, dated December 15, 2005 (the “Indenture”), by and between PreTSL XX, Preferred Term Securities XX, Inc., and BNYM, as Indenture Trustee;
 
WHEREAS, on October 19, 2011, nominal defendant PreTSL XX moved to intervene in the Action as a plaintiff in order to assert causes of action against defendants Bimini and BNYM, seeking to recover damages on behalf of all PreTSL XX noteholders to be distributed according to the Priority of Payment provisions in the Indenture;
 
WHEREAS, by Decision and Order, dated August 23, 2012 (the “August 23 Order”), PreTSL XX’s motion to intervene was granted and the Court ordered that the proposed complaint in intervention (the “PreTSL XX Complaint”) was deemed served as of the date of filing of the August 23 Order with Notice of Entry;
 
WHEREAS, on May 3, 2013, a Stipulation of Voluntary Partial Discontinuance was filed with the Court, whereby Hildene voluntarily dismissed without prejudice its derivative claims brought in the name of BNYM, including its claim for rescission/illegality;
 
 
 
 
WHEREAS, on May 15, 2013, Bimini served and filed an answer to the Hildene Complaint denying all allegations of wrongdoing;
 
WHEREAS, on May 15, 2013, Bimini served and filed an answer to the PreTSL XX Complaint denying all allegations of wrongdoing, and asserting counterclaims against PreTSL XX for contribution and set-off (the “PreTSL XX Counterclaims”);
 
WHEREAS, on April 17, 2014, the Court entered a Stipulation of Partial Discontinuance that dismissed all claims between and among Hildene and BNYM;
 
WHEREAS, on May 19, 2014, the Court entered a Stipulation of Partial Discontinuance that dismissed all claims between and among PreTSL XX and BNYM;
 
WHEREAS, on January 6, 2015, the Court entered a Decision and Order on the parties’ motions for summary judgment, granting Bimini’s motion for summary judgment on Hildene’s and PreTSL XX’s claims for aiding and abetting breach of fiduciary duty and unjust enrichment, and granting PreTSL XX’s motion for summary judgment on Bimini’s counterclaims for contribution and set-off;
 
WHEREAS, the Settling Parties deny each and every allegation of wrongdoing asserted against them in the Action; and
 
WHEREAS, Hildene, PreTSL XX and Bimini wish to settle and resolve the Action in its entirety as against each other so that, subject to the terms set forth below: (a) each cause of action asserted by Hildene against Bimini in the Action will be discontinued with prejudice as against Bimini; (b) each cause of action asserted by PreTSL XX against Bimini in the Action will be discontinued with prejudice as against Bimini; (c) the PreTSL XX Counterclaims will be discontinued with prejudice; and (d) each notice of appeal filed by PreTSL XX, Hildene and Bimini will be withdrawn.
 
NOW, THEREFORE, in consideration of the matters set forth in the recitals hereto, the respective promises, covenants, representations, warranties and agreements hereinafter set forth and the exchange of consideration, including but not limited to the monetary consideration set forth in Paragraph 4 below, the payment and sufficiency of such consideration being hereby acknowledged, the Settling Parties agree as follows:
 
                        1. Notice to PreTSL XX Holders.  Following the execution of this Agreement by all Settling Parties as set forth in Paragraph 24, PreTSL XX through BNYM as Indenture Trustee shall give notice of this Agreement to Holders (as defined in the Indenture) through the Depository Trust Company (“DTC”) (the “Notice”).
 
                        2. Effect of a New Holder Objection to the Agreement.  PreTSL XX, at its option, may void this Agreement in its entirety, including but not limited to the releases set forth in this Agreement in Paragraphs 6 through 9 below, upon the occurrence of all of the events described below in subparagraphs (a) through (c):
 
(a)  
on or before the 30th day following DTC’s receipt of the Notice, PreTSL XX receives, from a Holder other than Hildene (a “New Holder”), a written objection to this Agreement with a request to PreTSL XX to void this Agreement as between PreTSL XX and Bimini;
 
 
 
 
 
 
 
 
 
(b)
on or before five (5) days following PreTSL XX’s receipt of a written objection, the New Holder executes an indemnification agreement agreeing to indemnify PreTSL XX for all costs, including liability in this Action, if any, and reasonable attorney’s fees arising out of PreTSL XX’s prosecution of this Action as against Bimini, in a form agreeable to PreTSL XX, and on or before five (5) days following PreTSL XX’s receipt of a written objection, the New Holder executes an agreement to pay PreTSL XX all costs and expenses incurred by it to date in prosecuting the Action (subparagraphs (a) and (b) of this Paragraph, together, an “Objection”);
 
 
(c)
PreTSL XX, within seven (7) days following an Objection, delivers written notice to all Settling Parties that this Agreement is voided as between the parties pursuant to this Paragraph.
 
Within one (1) business day2 of receipt of a written objection as set forth in Paragraph 2(a) or an Objection, PreTSL XX must provide written notice to Bimini of PreTSL XX’s receipt of such written objection or Objection.  Bimini may void the Agreement in its entirety upon the occurrence of either of the events described in Paragraph 2(a) or 2(b), if within seven (7) days of the receipt of notice from PreTSL XX of a written objection or Objection, Bimini provides written notice to all Settling Parties that the Agreement is voided as between the parties pursuant to this Paragraph.  In the event that this Agreement is voided by PreTSL XX or Bimini pursuant to this Paragraph, the Settling Parties shall not he deemed to have waived any arguments pertaining to alleged conflicts of interest, if any, should Quinn Emanuel Urquhart & Sullivan, LLP be asked to jointly represent (i) Hildene and PreTSL XX against Bimini and (ii) PreTSL XX as against Bimini.
 
3. Hildene’s Non-solicitation.  Hildene agrees not to solicit, fund or assist in soliciting or funding an Objection or additional litigation concerning the Bimini TruPS Repurchase, and agrees not to pay or agree to pay any indemnity, liability or costs or expenses, including but not limited to attorney’s fees, owed by a New Holder, either directly or indirectly.
                   4. Settlement Payments:  Bimini agrees to pay $3,500,000 U.S. pursuant to the following payment schedule, provided that neither PreTSL XX nor Bimini exercises its right to void this Agreement as set forth in Paragraph 2.  The payments shall be made as follows to Hildene Master, and PreTSL XX for distribution according to the Priority of Payment provisions in the Indenture:
 
(i)  
$2,250,000.00 U.S. to Hildene Master on the “Effective Date”, which is defined as 15 days after the deadline for any New Holders to file an Objection as set forth in Paragraph 2;
 
 
 
 
 
 
(ii)  
$250,000.00 U.S. to Hildene Master to be paid no later than 180 days after the Effective Date;
 
(iii)  
$250,000.00 U.S. to PreTSL XX to be paid no later than 1 year from the Effective Date;
 
(iv)  
$250,000.00 U.S. to PreTSL XX to be paid no later than 2 years from the Effective Date;
 
(v)  
$250,000.00 U.S. to PreTSL XX to be paid no later than 3 years from the Effective Date; and
 
(vi)  
$250,000.00 U.S. to PreTSL XX to be paid no later than 4 years from the Effective Date.
 
Payment can be made by check or wire.
 
Wire instructions for Hildene Master are as follows:
 
                                U.S. Bank National Association
                               ABA [xxx-xxx-xxx]
                               Account #:  [xxxxxxxxxxxxx]
                               Account Name:  Hildene Opp Fd Ltd
                               Ref: Hildene Opp Fd Ltd/ [xxxxx-xxx]
                              Attn:  Greg Myers, Legal settlement - PreTSL XX

Wire instructions for PreTSL XX are as follows:
 
The Bank of New York Mellon
New York, NY
ABA# [xxxxxxxx]
Account# [xxxxxxxxxxx]
Account Name: Preferred Term Securities XX

In the event of non-payment by Bimini of any the amounts set forth in this Paragraph 4 within fifteen (15) days of the scheduled payment date, Hildene and/or PreTSL XX shall have the right to immediately seek entry of a judgment against Bimini for all amounts in Paragraph 4 that remain unpaid.
 
5. Discontinuance of the Action.  If no timely Objection is received by PreTSL XX as described in Paragraph 2, or an Objection is received and neither PreTSL XX nor Bimini chooses to void the Agreement as permitted in Paragraph 2, then PreTSL XX and Hildene shall file, no later than two (2) business days after the Effective Date, a Stipulation of Discontinuance in the form attached hereto as Exhibit A.
 
6. Release of Hildene’s Claims against Bimini.  Simultaneous with the receipt of payment described in Paragraph 4(i), Hildene, including its corporate parent, successors, predecessors, assigns, assignees, trustees, shareholders, noteholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments, and affiliates, hereby releases, waives, and forever discharges Bimini, its successors, predecessors, assigns, assignees, trustees, shareholders, noteholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments, affiliates, any agent acting or purporting to act for Bimini or on Bimini’s behalf, and/or all other persons who could claim through Bimini, from any and all past claims, demands, actions, liabilities and causes of action, of every kind and character, whether asserted or unasserted, known or unknown, suspected or unsuspected in law, admiralty or equity, for or by reason of any matter, cause or thing whatsoever (i) arising out of or relating to the matters alleged, or that could have been alleged in the Action, or (ii) arising out of or relating to the Bimini TruPS Repurchase.
 
 
 
 
7. Release of PreTSL XX’s Claims against Bimini.  Simultaneous with the receipt of payment described in Paragraph 4(i), PreTSL XX, its successors, predecessors, assigns, assignees, trustees, shareholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments, and affiliates hereby releases, waives, and forever discharges Bimini, its successors, predecessors, assigns, assignees, trustees, shareholders, noteholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments, affiliates, any agent acting or purporting to act for Bimini or on Bimini’s behalf, and/or all other persons who could claim through Bimini, from any and all past claims, demands, actions, and causes of action, of every kind and character, whether asserted or unasserted, known or unknown, suspected or unsuspected in law, admiralty or equity, for or by reason of any matter, cause or thing whatsoever (i) arising out of or relating to the matters alleged, or that could have been alleged in the Action or (ii) arising out of or relating to the Bimini TruPS Repurchase.   PreTSL XX agrees that in any subsequent legal action commenced by any PreTSL XX noteholder against Bimini, that it will not take any position inconsistent with the position asserted in this Paragraph 7, i.e., that it has full authority to grant a release on behalf of PreTSL XX to Bimini.
 
8. Release of Bimini’s Claims against Hildene.  Simultaneous with the receipt of payment described in Paragraph 4(i), Bimini including its successors, predecessors, assigns, assignees, trustees, shareholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments and affiliates, hereby releases, waives, and forever discharges Hildene, its corporate parent, successors, predecessors, assigns, assignees, trustees, shareholders, noteholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments, affiliates, any agent acting or purporting to act for Hildene or on Hildene’s behalf, and/or all other persons who could claim through Hildene, from any and all past claims, demands, actions, liabilities and causes of action, of every kind and character, whether asserted or unasserted, known or unknown, suspected or unsuspected in law, admiralty or equity, for or by reason of any matter, cause or thing whatsoever (i) arising out of or relating to the matters alleged, or that could have been alleged in the Action or (ii) arising out of or relating to the Bimini TruPS Repurchase.
 
 
 
 
9. Release of Bimini’s Claims against PreTSL XX.  Simultaneous with the receipt of payment described in Paragraph 4(i), Bimini including its successors, predecessors, assigns, assignees, trustees, shareholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments and affiliates, hereby releases, waives, and forever discharges PreTSL XX, its successors, predecessors, assigns, assignees, trustees, shareholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments, affiliates, any agent acting or purporting to act for PreTSL XX or on PreTSL XX’s behalf, and/or all other persons who could claim through PreTSL XX, from any and all past claims, demands, actions, liabilities and causes of action, of every kind and character, whether asserted or unasserted, known or unknown, suspected or unsuspected in law, admiralty or equity, for or by reason of any matter, cause or thing whatsoever (i) arising out of or relating to the matters alleged, or that could have been alleged in the Action or the PreTSL XX Counterclaims or (ii) arising out of or relating to the Bimini TruPS Repurchase.
 
10. No Admission of Liability.  This Agreement is not an admission of any liability, but is a compromise, and shall not be treated as an admission of liability.  The Settling Parties expressly deny any action or omission on their part that would give rise to damages to each other.  The Settling Parties acknowledge that this Agreement is entered into to avoid the uncertainties of litigation and constitutes a full compromise and settlement of all claims released in Paragraphs 6 through 9 above.
 
11. Disclosure of Agreement.  The parties agree that Bimini has the right to publicly-file this Agreement to the extent it determines it necessary or appropriate to do so for financial reporting purposes, or to comply with any applicable laws, rules or regulations.  To the extent Hildene or PreTSL XX wish to issue any press release or formal public statement concerning the settlement of this action, other than provided for in Paragraph 1, Hildene and PreTSL XX agree that they/it (i) shall not do so until Bimini publicly issues it financial statements or earnings press release for the first quarter of 2015, (ii) shall give Bimini three days notice of their/its intent to issue such press release or public statement, and (iii) shall give Bimini three days notice to review such press release or public statement and shall consider in good faith any comments that Bimini may have concerning the prejudicial impact to Bimini of such release or statement.  In no event shall Hildene or PreTSL XX issue any press release or formal public statement in which it is stated or implied that Bimini has been found liable of any claim or conceded liability for any claim that was brought in the Action.
 
12. Breach or Failure to Perform.  The obligations of each of the Settling Parties hereunder are expressly conditioned upon the full and complete performance of the obligations of the other Settling Parties hereunder.  Any party who successfully obtains judgment in any action or proceeding to enforce this Agreement will be entitled to recover all costs of the suit, including actual attorneys' fees and court costs.
 
13. Notices.  Any notices required to be given between and among the Settling Parties hereunder shall be provided, by (a) facsimile, (b) overnight courier and (c) certified mail with return receipt requested, to the below addresses, each effective upon sending or mailing:
 
 
 
 
Hildene:
Jonathan E. Pickhardt, Esq.
Quinn Emanuel Urquhart & Sullivan, LLP,
51 Madison Avenue, 22nd Floor
New York, New York 10010
Fax: (212) 849-7100


PreTSL XX:
Jonathan E. Pickhardt, Esq.
Quinn Emanuel Urquhart & Sullivan, LLP,
51 Madison Avenue, 22nd Floor
New York, New York 10010
Fax: (212) 849-7100


Randall R. Rainer, Esq.
Wollmuth Maher & Deutsch LLP
500 Fifth Avenue
New York, New York 10110
Fax: (212) 382-0050

Bimini:
Christopher J. St. Jeanos, Esq.
Willkie Farr & Gallagher LLP
787 Seventh Ave
New York, New York 10019
Fax: (212) 728-9730

14. Governing Law.  This Agreement and the rights and duties of the Settling Parties hereunder shall be governed by, construed, enforced and performed in accordance with the laws of the State of New York, without giving effect to the principles of conflicts of laws that would require the application of the law of any other jurisdiction.
 
15. Successors and Assigns.  This Agreement shall be binding upon, and inure to the benefit of the Settling Parties hereto and their respective, successors, predecessors, assigns, assignees, trustees, shareholders, bondholders, members, owners, partners, joint venturers, principals, creditors, attorneys, representatives, employees, managers, directors, officers, subsidiaries, divisions, subdivisions, departments, affiliates, any agent acting or purporting to act for them or on their behalf, and/or all other persons who could claim through them.
 
16. No Assignment of Claims.  Each of the Settling Parties represents and warrants that it has not assigned any claim, counterclaim or cross-claim that it had or may have against each or any of the Settling Parties, their affiliates, parents, subsidiaries, predecessors, divisions, past and present directors, past and present officers, past and present shareholders or bondholders, past and present employees, agents, attorneys, and successors and assigns, arising out of or concerning any of the matters asserted, or which could have been asserted, in the Actions.
 
 
 
 
17. Authority of Signatories.  The respective signatories below acknowledge that they have read and fully understand the terms and conditions of this Agreement, and any required document attached hereto; that they have been afforded reasonable opportunity to consider the terms and conditions of this Agreement; that they have been given an opportunity to consult, with their respective counsel prior to executing this Agreement; that they are executing this Agreement voluntarily and understand that this Agreement contains a release of all claims that they have or may have against each other up to the present time; and that each is fully authorized to enter into and execute this Agreement.
 
18. Severability.  This Agreement is intended to be performed in accordance with and only to the extent permitted by all applicable laws, ordinances, rules and regulations.  If any provision of this Agreement is determined to be invalid, illegal or unenforceable, the remaining provisions of this Agreement will remain in force.
 
19. Entire Agreement.  This Agreement constitutes the entire agreement between the Settling Parties with respect to the subject matter hereof.  This Agreement supersedes, merges and replaces all prior oral or written negotiations, offers, representations and agreements with respect to the subject matter hereof.  It is expressly understood and agreed that the Settling Parties are not relying upon any agreements, understandings, representations or warranties other than those set forth herein.  This Agreement may not be altered, amended, or otherwise modified in any respect except by a writing, duly executed by all of the Settling Parties.
 
20. Attorneys’ Fees and Costs.  The Settling Parties, as between each other, agree that they shall bear their own attorneys’ fees, costs and expenses incurred in connection with the Action and the negotiation, drafting and execution of this Agreement and the consummation of the settlement.
 
21. Voluntary Agreement.  The Settling Parties covenant, warrant and represent that they (a) have carefully read this Agreement and know the contents thereof; (b) are entering into this Agreement freely and voluntarily; (c) have ascertained and weighed all the facts and circumstances likely to influence their judgment herein; (d) have given due consideration to the provisions contained herein; and (e) thoroughly understand and consent to all provisions hereof.
 
22. Captions.  Paragraph titles or captions contained in this Agreement are used for convenience or reference only and are not intended to and shall not in any way enlarge, define, limit, extend or describe the rights or obligations of the Settling Parties or affect the meaning or construction of this Agreement, or any provision hereof.
 
23. Construction.  The Settling Parties have had an equal opportunity to review and revise this Agreement, and have participated equally in its drafting and revision. The Settling Parties agree that any rule of construction to the effect that any ambiguities in this Agreement are to be resolved against the drafting party shall not be employed in the construction or interpretation of this Agreement.
 
 
 
 
24. Counterparts.  This Agreement may be executed in one or more counterparts, each of which shall be deemed an original, and will become effective and binding upon the Settling Parties at such time as all of the signatories hereto have signed a counterpart of this Agreement.  All counterparts so executed shall constitute one Agreement binding on all of the Settling Parties, notwithstanding that all of the Settling Parties are not a signatory to the same counterpart.  A signed fax or .pdf of this Agreement shall be as effective and enforceable as a signed original.
 
[REMAINDER OF THIS PAGE INTENTIONALLY LEFT BLANK]
 

 
 
 


IN WITNESS WHEREOF, the Settling Parties have executed this Agreement as of the date set forth above.
 
HILDENE CAPITAL MANAGEMENT, LLC, on behalf of itself and HILDENE OPPORTUNITIES MASTER FUND, LTD.
By: /s/    Brett Jefferson                                                           
Name:  Brett Jefferson
Title:  President
 
  

 
PREFERRED TERM SECURITIES XX, LTD.,
 

 
By: /s/     Carrie Bunton                                                         
 
Name: Carrie Bunton
 
Title: Director
 



 
BIMINI CAPITAL MANAGEMENT, INC.
 

 
By: /s/    Robert E. Cauley                                                           
 
Name: Robert E Cauley
 
Title: CEO
 EX-31.1 4 bmnm10q20150630x311.htm EXHIBIT 31.1 bmnm10q20150630x311.htm
Exhibit 31.1

CERTIFICATIONS
 
 

I, Robert E. Cauley, certify that:
 
1.  
I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management, Inc. (the "registrant");
  
2.  
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;
  
3.  
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;
  
4.  
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:
  
 
a)
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;
  
 
b)
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;
  
 
c)
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
  
 
d)
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
 
5.  
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):
 
 
a)
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
  
 
b)
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: August 5, 2015
  
   
  /s/ Robert E. Cauley  
Robert E. Cauley
  
Chairman of the Board and Chief Executive Officer
  
 
 
 EX-31.2 5 bmnm10q20150630x312.htm EXHIBIT 31.2 bmnm10q20150630x312.htm
Exhibit 31.2

CERTIFICATIONS
 
 

I, G. Hunter Haas, certify that:
 
1.  
I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management, Inc. (the "registrant");
  
2.  
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;
  
3.  
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;
  
4.  
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:
  
 
a)
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;
  
 
b)
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;
  
 
c)
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
  
 
d)
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
 
5.  
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):
 
 
a)
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
  
 
b)
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: August 5, 2015
  
   
  /s/ G. Hunter Haas, IV  
G. Hunter Haas, IV
  
President and Chief Financial Officer
  

EX-32.1 6 bmnm10q20150630x321.htm EXHIBIT 32.1 bmnm10q20150630x321.htm
Exhibit 32.1

 
CERTIFICATION
PURSUANT TO SECTION 906 OF THE
SARBANES-OXLEY ACT OF 2002, 10 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 June 30, 2015 (the “Report”) filed with the Securities and Exchange Commission:
 
 
1.  
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2.  
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



August 5, 2015
    /s/ Robert E. Cauley  
   
Robert E. Cauley,
Chairman of the Board and
Chief Executive Officer

EX-32.2 7 bmnm10q20150630x322.htm EXHIBIT 32.2 bmnm10q20150630x322.htm
Exhibit 32.2

 

 
CERTIFICATION
PURSUANT TO SECTION 906 OF THE
SARBANES-OXLEY ACT OF 2002, 10 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 June 30, 2015 (the “Report”) filed with the Securities and Exchange Commission:
 
 
1.  
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2.  
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



August 5, 2015
    /s/ G. Hunter Haas, IV  
   
G. Hunter Haas, IV
President and Chief Financial Officer

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2014-06-30 0001275477 bmnm:PerformanceUnitsMemberMember 2015-01-01 2015-06-30 0001275477 bmnm:PerformanceUnitsMemberMember 2014-10-01 2014-12-31 0001275477 us-gaap:RetainedInterestMember 2013-12-31 0001275477 us-gaap:DirectorMember 2014-01-01 2014-06-30 0001275477 bmnm:OrchidIslandCapitalIncMember 2014-01-01 2014-06-30 0001275477 us-gaap:VariableInterestEntityPrimaryBeneficiaryMember 2014-04-01 2014-06-30 0001275477 us-gaap:CommonClassAMember 2014-06-30 0001275477 us-gaap:CommonClassBMember 2014-06-30 0001275477 bmnm:SouthStreetMember 2015-06-30 0001275477 bmnm:CrtMember 2015-06-30 0001275477 bmnm:SouthStreetMember 2015-01-01 2015-06-30 0001275477 bmnm:CrtMember 2015-01-01 2015-06-30 0001275477 bmnm:BiminiAdvisorsincMember us-gaap:InternalRevenueServiceIRSMember 2015-06-30 0001275477 bmnm:BiminiAdvisorsincMember us-gaap:StateAndLocalJurisdictionMember 2015-06-30 0001275477 bmnm:BiminiAdvisorsincMember us-gaap:InternalRevenueServiceIRSMember 2015-01-01 2015-06-30 0001275477 bmnm:BiminiAdvisorsincMember us-gaap:StateAndLocalJurisdictionMember 2015-01-01 2015-06-30 0001275477 bmnm:BiminiAdvisorsincMember 2015-06-30 0001275477 bmnm:BiminiAdvisorsincMember 2014-01-01 2014-06-30 0001275477 bmnm:MortcoTrsLlcMember us-gaap:InternalRevenueServiceIRSMember 2014-01-01 2014-06-30 0001275477 bmnm:MortcoTrsLlcMember us-gaap:StateAndLocalJurisdictionMember 2014-01-01 2014-06-30 0001275477 bmnm:MortcoTrsLlcMember 2015-06-30 iso4217:USD xbrli:pure xbrli:shares iso4217:USD xbrli:shares 258000 0 0 1900000 1900000 1900000 476000 116431000 0.0036 117831032 117831032 476000 105812917 1948249 107761166 7009072 2547550 116026180 1804852 117831032 4699059 733660 2141458 440267 1899684 460326 3537405 3584603 101205930 26804440 89111 109963995 26804440 94397 4065873 132165354 814597 137677429 0 0 12410 334571864 -328226876 6357398 12388 334522850 -325333469 9201769 138522752 146879198 2652616 138522752 2960042 146879198 49036 47198 471310 -197399 221498 54629 -2154025 15315905 0 -1285300 -20059 -307426 -5286 3251276 2368595 239673 218451 245850 986194 0 10858661 2296806 1813890 0 0 1003577756 434601973 28820992 1842410 1435035 34550 1219000 10355383 -541000966 451679644 460437709 0 0 3523211129 3022580809 75115922 7378350 -98000 -8758065 568465892 2310013 25203251 37162543 11959292 695081 137001 1452682 22267 <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 2</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. MORTGAGE-BACKED SECURITIES </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table presents the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >MBS</font><font style='font-family:Arial Narrow;font-size:11pt;' > portfolio as of</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >: </font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Pass-Through MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Hybrid Adjustable-rate Mortgages </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >121</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >442</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fixed-rate Mortgages </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,160</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >112,174</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Pass-Through MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,281</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >112,616</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Structured MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest-Only Securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,345</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,276</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Inverse Interest-Only Securities</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,135</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,939</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Structured MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6,480</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,215</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the Company&#8217;s MBS portfolio as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > according to the contractual maturities</font><font style='font-family:Arial Narrow;font-size:11pt;' > of the securities in the portfolio</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Actual maturities of MBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payme</font><font style='font-family:Arial Narrow;font-size:11pt;' >nts of principal, and prepayments of principal.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than five years and less than ten years </font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than or equal to ten years</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,751</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,815</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 3</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. RETAINED INTERESTS</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > IN SECURITIZATIONS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the </font><font style='font-family:Arial Narrow;font-size:11pt;' >estimated fair value of the </font><font style='font-family:Arial Narrow;font-size:11pt;' >Company&#8217;s re</font><font style='font-family:Arial Narrow;font-size:11pt;' >tained </font><font style='font-family:Arial Narrow;font-size:11pt;' >interests in asset backed securities as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:116.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:236.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Series</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Issue Date</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-2</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >May 10, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >216</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >320</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-3</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >June 30, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >694</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >753</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-4</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >August 16, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >368</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >496</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-5</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >September 28, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >386</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >331</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-6</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >November 17, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >477</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Total</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 4</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. REPURCHASE AGREEMENTS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company</font><font style='font-family:Arial Narrow;font-size:11pt;' > had outstanding repurchase </font><font style='font-family:Arial Narrow;font-size:11pt;' >agreement </font><font style='font-family:Arial Narrow;font-size:11pt;' >obligations of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$101.2</font><font style='font-family:Arial Narrow;font-size:11pt;' > million with a net weighted average borrowing rate of </font><font style='font-family:Arial Narrow;font-size:11pt;' >0.39%</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' > These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$106.2</font><font style='font-family:Arial Narrow;font-size:11pt;' > million, and cash pledged to counterparties of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$2.1</font><font style='font-family:Arial Narrow;font-size:11pt;' > million</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:11pt;' > As of December&#160;31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company had out</font><font style='font-family:Arial Narrow;font-size:11pt;' >standing repurchase agreement obligations of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$110.0</font><font style='font-family:Arial Narrow;font-size:11pt;' > million with a net weighted average borrowing rate of </font><font style='font-family:Arial Narrow;font-size:11pt;' >0.36%</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >These agreements were collateralized by MBS with a fair value</font><font style='font-family:Arial Narrow;font-size:11pt;' >, including accrued interest,</font><font style='font-family:Arial Narrow;font-size:11pt;' > of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$116.4</font><font style='font-family:Arial Narrow;font-size:11pt;' > million</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >and cash pledged to count</font><font style='font-family:Arial Narrow;font-size:11pt;' >erparties of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.3</font><font style='font-family:Arial Narrow;font-size:11pt;' > million.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company&#8217;s</font><font style='font-family:Arial Narrow;font-size:11pt;' > repurchase agreements had remaining maturities as summarized below:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >OVERNIGHT</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 2</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 31</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >GREATER </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1 DAY OR</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >THAN</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >LESS)</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >30 DAYS</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >TOTAL</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >87,826</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >18,377</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >106,203</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >84,939</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16,267</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,206</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.38%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.43%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.39%</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >114,433</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,998</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >116,431</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >108,074</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,890</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,964</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.36%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.33%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.36%</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >If, during the term of a repurchase agreement, a lender file</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > for bankruptcy, the Company might experience difficulty recovering its pledged assets</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > 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</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >, including the accrued interest recei</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >vable</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' > </font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >and cash posted by the Company as collateral, if any. </font><font style='font-family:Arial Narrow;font-size:11pt;' >At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest </font><font style='font-family:Arial Narrow;font-size:11pt;' >payable, and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$7.0</font><font style='font-family:Arial Narrow;font-size:11pt;' > million and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$6.7</font><font style='font-family:Arial Narrow;font-size:11pt;' > million, respectively. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Summary information regarding amoun</font><font style='font-family:Arial Narrow;font-size:11pt;' >ts at risk with individual counterparties greater than </font><font style='font-family:Arial Narrow;font-size:11pt;' >10</font><font style='font-family:Arial Narrow;font-size:11pt;' >% of </font><font style='font-family:Arial Narrow;font-size:11pt;' >stockholders&#8217; equity </font><font style='font-family:Arial Narrow;font-size:11pt;' >at</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' > is as follows:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >% of</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:63.75pt;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Stockholders&#39;</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:63.75pt;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Maturity</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Counterparties</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >at Risk</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >at Risk</font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(in Days)</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Citigroup Global Markets, Inc.</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,532</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >39.8%</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 14 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >JVB Financial Group, LLC</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,517</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >23.9%</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 10 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >ED&amp;F Man Capital Markets Inc.</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,465</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >23.0%</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 33 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >South Street Securities, LLC</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >812</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12.8%</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 20 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >CRT Capital Group, LLC</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >685</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10.8%</font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 15 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >JVB Financial Group, LLC</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,807</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >19.6%</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 8 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >ED&amp;F Man Capital Markets Inc.</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,490</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16.2%</font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 22 </font></td></tr></table></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 5</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. DERIVATIVE FINANCIAL INSTRUMENTS</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding</font><font style='font-family:Arial Narrow;font-size:11pt;' > and junior subordinated notes</font><font style='font-family:Arial Narrow;font-size:11pt;' > by entering into derivative</font><font style='font-family:Arial Narrow;font-size:11pt;' >s, such as Eurodollar f</font><font style='font-family:Arial Narrow;font-size:11pt;' >utures contracts and interest rate swaptions, but may enter into other contracts in the future</font><font style='font-family:Arial Narrow;font-size:11pt;' >. The Company has not elected hedging treatment under GAAP, and as such all gains or losses (realiz</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed and unrealized) on these instruments are reflected in earnings for all periods presented.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, such instruments were comprised entirely of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Eurodollar futures contracts</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Eurodollar futures are cash settled futures</font><font style='font-family:Arial Narrow;font-size:11pt;' > contracts on an interest rate, with gains or losses credited or charged to the Company&#8217;s account on a daily basis and reflected in earnings as they occur. A minimum balance, or &#8220;margin&#8221;, is required to be maintained in the account on a daily basis. The Co</font><font style='font-family:Arial Narrow;font-size:11pt;' >mpany is exposed to the changes in value of the futures by the amount of margin held by the broker. This margin represents the collateral the Company has posted for its open positions and is recorded on the consolidated balance sheets as part of restricte</font><font style='font-family:Arial Narrow;font-size:11pt;' >d cash.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >During the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company</font><font style='font-family:Arial Narrow;font-size:11pt;' >, through Orchid, was a party to </font><font style='font-family:Arial Narrow;font-size:11pt;' >interest rate swaption agreement</font><font style='font-family:Arial Narrow;font-size:11pt;' >s which granted</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company</font><font style='font-family:Arial Narrow;font-size:11pt;' > the right but not the obligation to enter into underlying pay fixed interest rate swap (&#8220;paye</font><font style='font-family:Arial Narrow;font-size:11pt;' >r swaption&#8221;). The Company may also enter into swaption agreements that provide the Company the option to enter into </font><font style='font-family:Arial Narrow;font-size:11pt;' >a </font><font style='font-family:Arial Narrow;font-size:11pt;' >receive fixed interest rate swap (&#8220;receiver swaption&#8221;).</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >tables below present</font><font style='font-family:Arial Narrow;font-size:11pt;' > information related to the Company&#8217;s Eurodollar futures positions at </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:248.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:248.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >43,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.79%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.48%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(67)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.45%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.04%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(231)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.81%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(239)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.65%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(118)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >53,833</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.84%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.44%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(655)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.65%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.45%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(156)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.77%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.04%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(189)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.81%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(177)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.94%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(93)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.18%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.39%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(615)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:249pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:249pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >36,500</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.65%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.63%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(5)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.45%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.54%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >46</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(3)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.65%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.51%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(38)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >50,429</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.72%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.72%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.48%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.57%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(237)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.77%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.54%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(61)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(67)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.94%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.51%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(56)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.06%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.60%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(421)</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:10pt;' >Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Loss (Gain) </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >From Derivative Instruments, Net</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below presents the effect of the Company&#8217;s derivative financial instruments on the consolidated statements of operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:266.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Parent-Only</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended June 30,</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts (short positions)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(6,306)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(170)</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Payer swaptions</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,285)</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net losses on derivative instruments</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7,591)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(170)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:266.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Parent-Only</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended June 30,</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts (short positions)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(4,745)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(146)</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Payer swaptions</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,129)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net gains (losses) on derivative instruments</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(5,874)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(146)</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Credit Risk-Related Contingent Features</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the </font><font style='font-family:Arial Narrow;font-size:11pt;' >contracts. We attempt to </font><font style='font-family:Arial Narrow;font-size:11pt;' >minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties.</font><font style='font-family:Arial Narrow;font-size:11pt;' > In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, we may </font><font style='font-family:Arial Narrow;font-size:11pt;' >not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are i</font><font style='font-family:Arial Narrow;font-size:11pt;' >ncluded in restricted cash on our consolidated balance sheets.</font></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 6</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >OFFSETTING ASSETS AND LIABILITIES</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company&#8217;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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The following table</font><font style='font-family:Arial Narrow;font-size:11pt;' > presents</font><font style='font-family:Arial Narrow;font-size:11pt;' > information regarding those assets and liabilities subject to such arra</font><font style='font-family:Arial Narrow;font-size:11pt;' >ngements as if the Company had presented them on a net basis as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='13' rowspan='1' style='width:541.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:541.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offsetting of Liabilities</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount Not Offset in the</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net Amount</font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated Balance Sheet</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Calibri;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Financial</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offset in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Presented in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Instruments</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Recognized</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,206</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,206</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(99,146)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(2,060)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,964</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,964</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(109,706)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(258)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >balance sheet to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Notes 4 and 5 for a disc</font><font style='font-family:Arial Narrow;font-size:11pt;' >ussion of collateral posted for,</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >or received against,</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >repurchase obligations and derivative instruments.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 7</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. TRUST PREFERRED SECURITIES</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >During 2005, </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital sponsored </font><font style='font-family:Arial Narrow;font-size:11pt;' >the formation of a </font><font style='font-family:Arial Narrow;font-size:11pt;' >statutory trust, known as Bimini Capital Trust II (&#8220;BCTII&#8221;) of which 100% of the common eq</font><font style='font-family:Arial Narrow;font-size:11pt;' >uity is owned by Bimini Capital. It was</font><font style='font-family:Arial Narrow;font-size:11pt;' > 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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >BCTII</font><font style='font-family:Arial Narrow;font-size:11pt;' > are the sole assets of </font><font style='font-family:Arial Narrow;font-size:11pt;' >BCTII</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > 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&#39;s BCTII </font><font style='font-family:Arial Narrow;font-size:11pt;' >Junior Subordinated Notes have a rate of interest that floats at a spread of 3.50% over the prevailing three-month LIBOR rate. </font><font style='font-family:Arial Narrow;font-size:11pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the interest rate was </font><font style='font-family:Arial Narrow;font-size:11pt;' >3.79%</font><font style='font-family:Arial Narrow;font-size:11pt;' >. The BCTII trust preferred securities and Bimini Capital&#39;s BCTII Junior </font><font style='font-family:Arial Narrow;font-size:11pt;' >Subordinated Notes require quarterly interest distributions and became</font><font style='font-family:Arial Narrow;font-size:11pt;' > redeemable at Bimini Capital&#39;s option, in whole or in part and without penalty, beginning December 15, 2010. Bimini Capital&#39;s BCTII Junior Subordinated Notes are subordinate and junior in </font><font style='font-family:Arial Narrow;font-size:11pt;' >right of payment of all present and future senior indebtedness. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >BCTII is a VIE because the holders of the equity investment at risk do not have adequate decision making ability over BCTII&#8217;s activities. Since Bimini Capital&#39;s investment in BCTII&#8217;s common </font><font style='font-family:Arial Narrow;font-size:11pt;' >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&#39;s common share investment in BCTII is not a variable inte</font><font style='font-family:Arial Narrow;font-size:11pt;' >rest, 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.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying consolidated financial statements present Bimini Ca</font><font style='font-family:Arial Narrow;font-size:11pt;' >pital&#39;s BCTII Junior Subordinated Notes issued to BCTII as a liability and Bimini Capital&#39;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 in</font><font style='font-family:Arial Narrow;font-size:11pt;' >terest on the Junior Subordinated Notes issued to BCTII as interest expense.</font></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 8. </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >COMMON</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > STOCK</font></p><p style='text-align:left;line-height:12pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:12pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:0pt;' >At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, Bimini Capital&#8217;s common stock is comprised of the following:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:15.75pt;' ><td style='width:6pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:11.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:343.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:343.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:11.25pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Preferred stock, $0.001 par value; 10,000,000 shares authorized; designated, 1,800,000</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >shares as Class A Redeemable and 2,000,000 shares as Class B Redeemable; no</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >shares issued and outstanding as of June 30, 2015 and December 31, 2014</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class A Common Stock, $0.001 par value; 98,000,000 shares designated: 12,346,376</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >shares issued and outstanding as of June 30, 2015 and 12,324,391 shares</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >issued and outstanding as of December 31, 2014</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,324</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class B Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >issued and outstanding as of June 30, 2015 and December 31, 2014</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class C Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >issued and outstanding as of June 30, 2015 and December 31, 2014</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:343.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:343.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,410</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,388</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Issuances of Common Stock</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below presents information related to the Bimini Capital&#8217;s Class A Common Stock issued during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:232.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares Issued Related To:</font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Directors&#39; compensation</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >21,985</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27,531</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Vesting incentive plan shares</font><sup><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1)</font></sup></td><td style='width:75pt;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >500,000</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Shares sold directly to employees</font><sup><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1)</font></sup></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >257,895</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total shares of Class A Common Stock issued</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >21,985</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >785,426</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:10pt;' >See Note 9, Stock Incentive Plans, for details of these issuances</font><font style='font-family:Arial Narrow;font-size:10pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >There were no issuances of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#39;s Class B Common Stock and Class C Common Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 13</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. FAIR VALUE</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an </font><font style='font-family:Arial Narrow;font-size:11pt;' >exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, incl</font><font style='font-family:Arial Narrow;font-size:11pt;' >uding 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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >fair value based on inputs the Company uses to derive fair value measurements. These stratifications are:</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><ul><li style='list-style:disc;text-align:justify;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include </font><font style='font-family:Arial Narrow;font-size:11pt;' >exchanges and over-the-counter markets with sufficient volume),</font></li><li style='list-style:disc;text-align:justify;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >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 ar</font><font style='font-family:Arial Narrow;font-size:11pt;' >e not active and model-based valuation techniques for which all significant assumptions are observable in the market, and</font></li><li style='list-style:disc;text-align:justify;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in th</font><font style='font-family:Arial Narrow;font-size:11pt;' >e market, but observable based on Company-specific data. These unobservable assumptions reflect the Company&#8217;s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option </font><font style='font-family:Arial Narrow;font-size:11pt;' >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.</font></li></ul><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company&#8217;s MBS are valued using Level 2 valua</font><font style='font-family:Arial Narrow;font-size:11pt;' >tions, and such valuations currently are determined by the Company based on independent pricing sources and/or third-party broker quotes, when available. Because the price estimates may vary, the Company must make certain judgments and assumptions about th</font><font style='font-family:Arial Narrow;font-size:11pt;' >e appropriate price to use to calculate the fair values. Alternatively, the Company could opt to have the value of all of our MBS positions determined by either an independent third-party or do so internally. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >MBS, retained interests, Eurodollar futures c</font><font style='font-family:Arial Narrow;font-size:11pt;' >ontracts, Orchid </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock and interest rate swaptions were recorded at fair value on a recurring basis during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >. When determining fair value measurements, the Company considers th</font><font style='font-family:Arial Narrow;font-size:11pt;' >e 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 ident</font><font style='font-family:Arial Narrow;font-size:11pt;' >ical assets are not traded in active markets, the Company looks to market observable data for similar assets. Fair value measurements for the retained interests are generated by a model that requires management to make a significant number of assumptions.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table presents financial assets and liabilities measured at fair value on a recurring basis as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Quoted Prices</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >in Active</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Significant</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Markets for</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Other</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Significant</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Identical </font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Observable</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Unobservable</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Assets</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Inputs</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Inputs</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Measurements</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Level 1)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Level 2)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Level 3)</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Mortgage-backed securities</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >488</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >488</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Orchid Island Capital, Inc. common stock</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,004</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,004</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Mortgage-backed securities</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >476</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >476</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Orchid Island Capital, Inc. common stock</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,811</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,811</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table illustrates a roll forward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:153.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:153.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Retained Interests</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, January 1</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,531</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Gain included in earnings</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,539</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,447</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Collections</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(2,298)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,843)</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, June 30</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,135</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >During the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Our retained interests are valued based on a discounted cash flow approach. These values are sensitive to changes in unobservable inputs, including: estimated prepayment speeds, default rates and loss severity, weighted-average life, and discount rates. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Significant increases or decreases in any of these inputs may result in significantly different fair value measurements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the significant quantitative information about our level 3 fair value measurements as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests fair value </font><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 2,141 </font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >CPR Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Prepayment Assumption</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Constant Prepayment Rate</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10% (10%)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Severity</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Default Assumptions</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Probability of Default</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Range Of Loss Timing</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Real Estate Owned</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >35%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Next 10 Months</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans in Foreclosure</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >35%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Month 4 - 13</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 90 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 60 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >85%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 30 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >75%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Current Loans</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.5%</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 29 and Beyond</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Remaining Life Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Discount Rate Range</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash Flow Recognition</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Valuation Technique</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Nominal Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.2 - 13.2 (6.5)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.2 - 3.6 (1.0)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 14. RELATED PARTY TRANSACTIONS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >F</font><font style='font-family:Arial Narrow;font-size:11pt;' >rank E. Jaumot is a shareholder in an accounting firm from which the Company receive</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > accounting and tax services. Mr. Jaumot is both a director and a shareholder of Bimini Capital</font><font style='font-family:Arial Narrow;font-size:11pt;' > and a shareholder of Orchid</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Professional fee</font><font style='font-family:Arial Narrow;font-size:11pt;' >s incurred with this firm were </font><font style='font-family:Arial Narrow;font-size:11pt;' >$52,000</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$52,000</font><font style='font-family:Arial Narrow;font-size:11pt;' > for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Note 15. </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >CONSOLIDATED </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >Variable Interest Entit</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >Y AND NONCONTROLLING INTERESTs</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >A VIE is an entity that either (</font><font style='font-family:Arial Narrow;font-size:11pt;' >i</font><font style='font-family:Arial Narrow;font-size:11pt;' >) has insufficient equity to permit the entity to finance its activities without additional subordinated financial support or (ii) has equity </font><font style='font-family:Arial Narrow;font-size:11pt;' >investors who lack the characteristics of a controlling financial interest. A VIE is consolidated by its primary beneficiary. The primary beneficiary has both the power to direct the activities that most significantly impact the entity&#39;s economic performan</font><font style='font-family:Arial Narrow;font-size:11pt;' >ce and the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the VIE.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As discussed in Note 1, Orchid completed its IPO on February 20, 2013. Management concluded that, after the clos</font><font style='font-family:Arial Narrow;font-size:11pt;' >e of its IPO, Orchid was a VIE because Orchid&#39;s equity holders lack the ability through voting rights to make decisions about its activities that have a significant effect on its success. Management also concluded that Bimini Capital was the primary benefi</font><font style='font-family:Arial Narrow;font-size:11pt;' >ciary of Orchid because, under the terms of the management agreement, Bimini Capital had the power to direct the activities of Orchid that most significantly impact its economic performance including asset selection, asset and liability management and inve</font><font style='font-family:Arial Narrow;font-size:11pt;' >stment portfolio risk management. As a result, subsequen</font><font style='font-family:Arial Narrow;font-size:11pt;' >t to Orchid&#8217;s IPO, and until December 31, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company continued to consolidate Orchid in its consolidated financial statements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Orchid completed additional offerings of its common stock during </font><font style='font-family:Arial Narrow;font-size:11pt;' >the </font><font style='font-family:Arial Narrow;font-size:11pt;' >year ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >December 31, 2014. M</font><font style='font-family:Arial Narrow;font-size:11pt;' >anagement continued to re-evaluate the conditions resulting in the consolidation of Orchid and at December 31, 2014 concluded that, due to Bimini&#8217;s decreased </font><font style='font-family:Arial Narrow;font-size:11pt;' >percentage </font><font style='font-family:Arial Narrow;font-size:11pt;' >ownership interest in Orchid, the</font><font style='font-family:Arial Narrow;font-size:11pt;' >re was no longer a</font><font style='font-family:Arial Narrow;font-size:11pt;' > variable interest requiring consolidation</font><font style='font-family:Arial Narrow;font-size:11pt;' >. In accordance with ASC 810, the Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014. Orchid&#8217;s activities </font><font style='font-family:Arial Narrow;font-size:11pt;' >were</font><font style='font-family:Arial Narrow;font-size:11pt;' > included in the consolidated statements of operations, equ</font><font style='font-family:Arial Narrow;font-size:11pt;' >ity and cash f</font><font style='font-family:Arial Narrow;font-size:11pt;' >lows through December 31, 2014 and are</font><font style='font-family:Arial Narrow;font-size:11pt;' > excluded in subsequent periods</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:10pt;' > </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below presents the effects of the above on the changes in equity attributable to Bimini Capital stockholders during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net income attributable to Bimini Capital</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,699</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Transfers from the noncontrolling interests</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:369pt;text-align:left;border-color:Black;min-width:369pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Decrease in Bimini Capital&#39;s paid-in capital for the sale of 6,290,443 common shares of Orchid</font></td><td style='width:9pt;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >and the effect of the 24,000 shares of unvested restricted shares of Orchid</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,004)</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Change from net income attributable to Bimini Capital and transfers from noncontrolling interest</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >4,695</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Net income of Orchid for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' > is</font><font style='font-family:Arial Narrow;font-size:11pt;' > allocated between the noncontrolling interests and to Bimini Capital in proportion to their relative ownership interests in Orchid. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The following is a roll</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >forward of the noncontrolling interest during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balance, January 1, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,615</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Issuance of common shares of Orchid Island Capital, Inc.</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >76,120</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net income attributed to noncontrolling interest</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,538</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Amortization of Orchid Island Capital, Inc. equity plan compensation</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Cash dividends paid to noncontrolling interest</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7,378)</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balance, June 30, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >112,911</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the operating results of Orchid (excluding intercompany transactions</font><font style='font-family:Arial Narrow;font-size:11pt;' >)</font><font style='font-family:Arial Narrow;font-size:11pt;' > for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > which are reflected in the consolidated statements of operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:225pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:225pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2014</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest income</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10,372</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6,589</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest expense</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,087)</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(676)</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net interest income</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >9,285</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,913</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unrealized gains on mortgage-backed securities</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10,124</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8,584</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Realized gains on mortgage-backed securities</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,891</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,980</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Losses on derivative instruments</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7,421)</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(5,728)</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net portfolio income</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >15,879</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,749</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:225pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expenses:</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Accrued incentive compensation</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >225</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >225</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Directors&#39; fees and liability insurance</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >240</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >156</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Audit, legal and other professional fees</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >245</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >172</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Direct REIT operating expenses</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >88</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >44</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Other administrative</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >118</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >88</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Total expenses</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >916</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >685</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:225pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net income</font></td><td style='width:12.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >14,963</font></td><td style='width:12.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,064</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Pass-Through MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Hybrid Adjustable-rate Mortgages </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >121</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >442</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fixed-rate Mortgages </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,160</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >112,174</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Pass-Through MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,281</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >112,616</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Structured MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest-Only Securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,345</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,276</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Inverse Interest-Only Securities</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,135</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,939</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Structured MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6,480</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,215</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:248.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:248.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >43,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.79%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.48%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(67)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.45%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.04%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(231)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.81%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(239)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.65%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(118)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >53,833</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.84%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.44%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(655)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.65%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.45%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(156)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.77%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.04%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(189)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.81%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(177)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.94%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(93)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.18%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.39%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(615)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:249pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:249pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >36,500</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.65%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.63%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(5)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.45%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.54%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >46</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(3)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.65%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.51%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(38)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >50,429</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.72%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.72%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.48%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.57%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(237)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.77%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.54%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(61)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(67)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.94%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.51%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(56)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.06%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.60%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(421)</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:266.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Parent-Only</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended June 30,</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts (short positions)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(6,306)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(170)</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Payer swaptions</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,285)</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net losses on derivative instruments</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7,591)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,009)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(170)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:266.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:121.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:121.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Parent-Only</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended June 30,</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts (short positions)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(4,745)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(146)</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Payer swaptions</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,129)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:266.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:266.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net gains (losses) on derivative instruments</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(5,874)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(146)</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='13' rowspan='1' style='width:541.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:541.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offsetting of Liabilities</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount Not Offset in the</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net Amount</font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated Balance Sheet</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Calibri;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Financial</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offset in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Presented in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Instruments</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Recognized</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,206</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,206</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(99,146)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(2,060)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,964</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,964</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(109,706)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(258)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:15.75pt;' ><td style='width:6pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:11.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:343.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:343.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:11.25pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Preferred stock, $0.001 par value; 10,000,000 shares authorized; designated, 1,800,000</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >shares as Class A Redeemable and 2,000,000 shares as Class B Redeemable; no</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >shares issued and outstanding as of June 30, 2015 and December 31, 2014</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class A Common Stock, $0.001 par value; 98,000,000 shares designated: 12,346,376</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >shares issued and outstanding as of June 30, 2015 and 12,324,391 shares</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >issued and outstanding as of December 31, 2014</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,324</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class B Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >issued and outstanding as of June 30, 2015 and December 31, 2014</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:360.75pt;text-align:left;border-color:Black;min-width:360.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class C Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:354.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:354.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >issued and outstanding as of June 30, 2015 and December 31, 2014</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td style='width:6pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:6pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:343.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:343.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,410</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,388</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:232.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares Issued Related To:</font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Directors&#39; compensation</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >21,985</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27,531</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Vesting incentive plan shares</font><sup><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1)</font></sup></td><td style='width:75pt;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >500,000</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Shares sold directly to employees</font><sup><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1)</font></sup></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >257,895</font></td></tr><tr style='height:12.75pt;' ><td style='width:232.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total shares of Class A Common Stock issued</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >21,985</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >785,426</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:10pt;' >See Note 9, Stock Incentive Plans, for details of these issuances</font><font style='font-family:Arial Narrow;font-size:10pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Quoted Prices</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >in Active</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Significant</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Markets for</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Other</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Significant</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Identical </font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Observable</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Unobservable</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Assets</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Inputs</font></td><td style='width:14.25pt;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Inputs</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Measurements</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Level 1)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Level 2)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Level 3)</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Mortgage-backed securities</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >488</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >488</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Orchid Island Capital, Inc. common stock</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,004</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,004</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Mortgage-backed securities</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >476</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >476</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Orchid Island Capital, Inc. common stock</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,811</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,811</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:202.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:202.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:153.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:153.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Retained Interests</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, January 1</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,531</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Gain included in earnings</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,539</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,447</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Collections</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(2,298)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,843)</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, June 30</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,135</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests fair value </font><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 2,141 </font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >CPR Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Prepayment Assumption</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Constant Prepayment Rate</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10% (10%)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Severity</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Default Assumptions</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Probability of Default</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Range Of Loss Timing</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Real Estate Owned</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >35%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Next 10 Months</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans in Foreclosure</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >35%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Month 4 - 13</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 90 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 60 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >85%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 30 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >75%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Current Loans</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.5%</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 29 and Beyond</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Remaining Life Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Discount Rate Range</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash Flow Recognition</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Valuation Technique</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Nominal Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.2 - 13.2 (6.5)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.2 - 3.6 (1.0)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net income attributable to Bimini Capital</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,699</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Transfers from the noncontrolling interests</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:369pt;text-align:left;border-color:Black;min-width:369pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Decrease in Bimini Capital&#39;s paid-in capital for the sale of 6,290,443 common shares of Orchid</font></td><td style='width:9pt;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >and the effect of the 24,000 shares of unvested restricted shares of Orchid</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Calibri;font-size:11pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,004)</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Change from net income attributable to Bimini Capital and transfers from noncontrolling interest</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >4,695</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:76.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:76.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balance, January 1, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,615</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Issuance of common shares of Orchid Island Capital, Inc.</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >76,120</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net income attributed to noncontrolling interest</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,538</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Amortization of Orchid Island Capital, Inc. equity plan compensation</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Cash dividends paid to noncontrolling interest</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7,378)</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:378pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:378pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balance, June 30, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >112,911</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:225pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:225pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2014</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest income</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10,372</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >6,589</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest expense</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,087)</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(676)</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net interest income</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >9,285</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,913</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unrealized gains on mortgage-backed securities</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10,124</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8,584</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Realized gains on mortgage-backed securities</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,891</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,980</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Losses on derivative instruments</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7,421)</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(5,728)</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net portfolio income</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >15,879</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,749</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:225pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expenses:</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Accrued incentive compensation</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >225</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >225</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Directors&#39; fees and liability insurance</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >240</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >156</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Audit, legal and other professional fees</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >245</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >172</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Direct REIT operating expenses</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >88</font></td><td style='width:12.75pt;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >44</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Other administrative</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >118</font></td><td style='width:12.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >88</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Total expenses</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >916</font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >685</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:225pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:225pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:90pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:240pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:240pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net income</font></td><td style='width:12.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:12.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >14,963</font></td><td style='width:12.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:12.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:90pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >11,064</font></td></tr></table></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Consolidation </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors and MortCo.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The</font><font style='font-family:Arial Narrow;font-size:11pt;' > accounts of Orchid are included in the consolidated statements of operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, and in the statement of cash flows for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >. All inter-company accounts and transactions have </font><font style='font-family:Arial Narrow;font-size:11pt;' >been eliminated from the consolidated financial statements. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Financial Accounting Standards Board (the &#8220;FASB&#8221;) Accounting Standards Codification (&#8220;ASC&#8221;) T</font><font style='font-family:Arial Narrow;font-size:11pt;' >opic 810, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Consolidation</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires </font><font style='font-family:Arial Narrow;font-size:11pt;' >the </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidat</font><font style='font-family:Arial Narrow;font-size:11pt;' >ion of a</font><font style='font-family:Arial Narrow;font-size:11pt;' > VIE </font><font style='font-family:Arial Narrow;font-size:11pt;' >by an enterprise </font><font style='font-family:Arial Narrow;font-size:11pt;' >if it is deemed the pr</font><font style='font-family:Arial Narrow;font-size:11pt;' >imary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, an</font><font style='font-family:Arial Narrow;font-size:11pt;' > ongoing assessment of whether an enterprise is the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, and</font><font style='font-family:Arial Narrow;font-size:11pt;' > additional disclosures for entities that</font><font style='font-family:Arial Narrow;font-size:11pt;' > have variable interests in VIEs</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >From the effective date of Orchid&#8217;s IPO and until December 31, 2014, </font><font style='font-family:Arial Narrow;font-size:11pt;' >management </font><font style='font-family:Arial Narrow;font-size:11pt;' >concluded</font><font style='font-family:Arial Narrow;font-size:11pt;' >, pursuant to ASC 810, that </font><font style='font-family:Arial Narrow;font-size:11pt;' >Orchid</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >wa</font><font style='font-family:Arial Narrow;font-size:11pt;' >s a </font><font style='font-family:Arial Narrow;font-size:11pt;' >VIE. As a result, subsequent to Orchid&#8217;s IPO and until December 31, 2014, the Company conso</font><font style='font-family:Arial Narrow;font-size:11pt;' >lidated Orchid in its financial statements. The</font><font style='font-family:Arial Narrow;font-size:11pt;' > results of operations of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Orchid</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >were</font><font style='font-family:Arial Narrow;font-size:11pt;' > included in </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company&#8217;s 2014 c</font><font style='font-family:Arial Narrow;font-size:11pt;' >onsolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' >tatements</font><font style='font-family:Arial Narrow;font-size:11pt;' > of operations and cash flows,</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >however, </font><font style='font-family:Arial Narrow;font-size:11pt;' >net </font><font style='font-family:Arial Narrow;font-size:11pt;' >income </font><font style='font-family:Arial Narrow;font-size:11pt;' >attributable to </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital </font><font style='font-family:Arial Narrow;font-size:11pt;' >stockholders d</font><font style='font-family:Arial Narrow;font-size:11pt;' >id</font><font style='font-family:Arial Narrow;font-size:11pt;' > not include the portion </font><font style='font-family:Arial Narrow;font-size:11pt;' >of net income </font><font style='font-family:Arial Narrow;font-size:11pt;' >attributable to noncontrolling interests.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 2014, management re-evaluated the conditions resulting in the consolidation of Orchid and concluded that, due to Bimini&#8217;s decreased </font><font style='font-family:Arial Narrow;font-size:11pt;' >percentage </font><font style='font-family:Arial Narrow;font-size:11pt;' >ownership interest </font><font style='font-family:Arial Narrow;font-size:11pt;' >in Orchid, t</font><font style='font-family:Arial Narrow;font-size:11pt;' >here was no longer a variable interest requiring consolidation</font><font style='font-family:Arial Narrow;font-size:11pt;' >. As a result, in accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014. However, as a VIE which was deconsolidated</font><font style='font-family:Arial Narrow;font-size:11pt;' > on December 31, 2014, Orchid&#8217;s results of operations </font><font style='font-family:Arial Narrow;font-size:11pt;' >were</font><font style='font-family:Arial Narrow;font-size:11pt;' > included in the consolidated statements of operations and cash flows through December 31, 2014, and </font><font style='font-family:Arial Narrow;font-size:11pt;' >are excluded in subsequent periods</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Assets recognized as a result of consolidating Orchid in pri</font><font style='font-family:Arial Narrow;font-size:11pt;' >or periods did not represent additional assets that could be used to satisfy claims against Bimini Capital&#8217;s assts. Conversely, liabilities recognized as a result of consolidating Orchid did not represent additional claims on Bimini Capital&#8217;s assets; rath</font><font style='font-family:Arial Narrow;font-size:11pt;' >er, they represented claims against the assets of Orchid. Creditors and stockholders of Orchid have no recourse to the assets of Bimini Capital.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As further described in Note 7, Bimini Capital has a common share investment in a trust used in connectio</font><font style='font-family:Arial Narrow;font-size:11pt;' >n with the issuance of Bimini Capital&#8217;s junior subordinated notes. Pursuant to ASC 810, Bimini Capital&#8217;s common share investment in the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has bee</font><font style='font-family:Arial Narrow;font-size:11pt;' >n accounted for on the equity method. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Basis of Presentation </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying unaudited </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements have been prepared in accordance with accounting principles </font><font style='font-family:Arial Narrow;font-size:11pt;' >generally accepted in the United States (&#8220;GAAP&#8221;) for interim financial information and with the instructions to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete </font><font style='font-family:Arial Narrow;font-size:11pt;' >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 fo</font><font style='font-family:Arial Narrow;font-size:11pt;' >r the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > month periods</font><font style='font-family:Arial Narrow;font-size:11pt;' > ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not </font><font style='font-family:Arial Narrow;font-size:11pt;' >necessarily indicative of the results that may be expected for the year end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ing</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >balance sheet at December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' > has been derived from the audited financial statements at that date but does not include</font><font style='font-family:Arial Narrow;font-size:11pt;' > all of the information and footnotes required by GAAP for complete </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >A</font><font style='font-family:Arial Narrow;font-size:11pt;' >nnual </font><font style='font-family:Arial Narrow;font-size:11pt;' >R</font><font style='font-family:Arial Narrow;font-size:11pt;' >eport on Form 10-K for the year ended</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Use of Estimates</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 a</font><font style='font-family:Arial Narrow;font-size:11pt;' >nd liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial</font><font style='font-family:Arial Narrow;font-size:11pt;' > statements include the fair values of MBS, investment in Orchid common shares, Eurodollar futures contracts, interest rate swaptions, retained interests, asset valuation allowances and deferred tax allowances.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Statement of Comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >(Loss) </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >Income</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In accordance with ASC Topic 220, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Comprehensive Income</font><font style='font-family:Arial Narrow;font-size:11pt;' >, a statement of comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;' >(loss) </font><font style='font-family:Arial Narrow;font-size:11pt;' >income has not been included as the Company has no items of other comprehensive income</font><font style='font-family:Arial Narrow;font-size:11pt;' > (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; Comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;' >(loss) income</font><font style='font-family:Arial Narrow;font-size:11pt;' > is the same as net </font><font style='font-family:Arial Narrow;font-size:11pt;' >(loss) income</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >f</font><font style='font-family:Arial Narrow;font-size:11pt;' >or all periods presented.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Cash and Cash Equivalents and Restricted Cash</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. </font><font style='font-family:Arial Narrow;font-size:11pt;' > At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, restricted cash consisted of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million of cash held by a broker as margin on Eurodollar futures contracts and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$2.1</font><font style='font-family:Arial Narrow;font-size:11pt;' > million of cash held on deposit as collateral with repurchase agreement counterpartie</font><font style='font-family:Arial Narrow;font-size:11pt;' >s. At December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, restricted cash consisted of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million of cash held by a broker as margin on Eurodollar futures </font><font style='font-family:Arial Narrow;font-size:11pt;' >contracts</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.3</font><font style='font-family:Arial Narrow;font-size:11pt;' > million</font><font style='font-family:Arial Narrow;font-size:11pt;' > of cash held on deposit as collateral with repurchase agreement counterparties</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company maintains cash balances at four banks, and</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > at times, balances may exceed federally insured limits. The Company has not experienced any losses related to these ba</font><font style='font-family:Arial Narrow;font-size:11pt;' >lances. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Federal Deposit Insurance Corporation insures </font><font style='font-family:Arial Narrow;font-size:11pt;' >eligible accounts </font><font style='font-family:Arial Narrow;font-size:11pt;' >up to $250,000 per depositor at each financial institution. At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company&#8217;s cash deposits exceeded federally insured limits by approximately</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >$6.0</font><font style='font-family:Arial Narrow;font-size:11pt;' > million. R</font><font style='font-family:Arial Narrow;font-size:11pt;' >estricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >limits uninsured balances to only </font><font style='font-family:Arial Narrow;font-size:11pt;' >large, well-known bank</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > and derivative counterparties and belie</font><font style='font-family:Arial Narrow;font-size:11pt;' >ves that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Mortgage-Backed Securities</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company invests primarily in mortgage pass-through (&#8220;PT&#8221;) certificates, collateralized mor</font><font style='font-family:Arial Narrow;font-size:11pt;' >tgage obligations, </font><font style='font-family:Arial Narrow;font-size:11pt;' >and interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IO&#8221;) </font><font style='font-family:Arial Narrow;font-size:11pt;' >securities and inverse interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IIO&#8221;) securities representing interest in or obligations backed by pools of mortgage-backed loans (collectively, &#8220;MBS&#8221;). The</font><font style='font-family:Arial Narrow;font-size:11pt;' > Company has </font><font style='font-family:Arial Narrow;font-size:11pt;' >elected to account for its investment in MBS under the </font><font style='font-family:Arial Narrow;font-size:11pt;' >fair value option. Electing the fair value option </font><font style='font-family:Arial Narrow;font-size:11pt;' >requires</font><font style='font-family:Arial Narrow;font-size:11pt;' > the Company to record changes in fair value in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >statement of operations, which, in management&#8217;s view, more appropriately reflects the results of our operations for a particular rep</font><font style='font-family:Arial Narrow;font-size:11pt;' >orting period and is consistent with the underlying economics and how the portfolio is managed.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >with an offsetting liability recorded, whereas securit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >sold</font><font style='font-family:Arial Narrow;font-size:11pt;' > that have not settled as of the balance sheet date are removed from the MBS balance with an offsetting receivable recorded.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The fair value of the Company&#8217;s investment in MBS is governed by ASC</font><font style='font-family:Arial Narrow;font-size:11pt;' > Topic 820, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Fair Value Measurement</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date</font><font style='font-family:Arial Narrow;font-size:11pt;' >. 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</font><font style='font-family:Arial Narrow;font-size:11pt;' > asset or liability. Estimated fair values for MBS are based on independent pricing sources and/or third-party broker quotes, when available. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date</font><font style='font-family:Arial Narrow;font-size:11pt;' > of purchase are not amortized. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealize</font><font style='font-family:Arial Narrow;font-size:11pt;' >d gains (losses) on MBS in the c</font><font style='font-family:Arial Narrow;font-size:11pt;' >ons</font><font style='font-family:Arial Narrow;font-size:11pt;' >olidated statements of operations. </font><font style='font-family:Arial Narrow;font-size:11pt;' >For IO securities, the income is accrued based</font><font style='font-family:Arial Narrow;font-size:11pt;' > on the carrying value and the effective yield. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The difference between income accrued and the interest received on the security is characterized as a return of investment and serves </font><font style='font-family:Arial Narrow;font-size:11pt;' >to reduce the asset&#8217;s carrying value. </font><font style='font-family:Arial Narrow;font-size:11pt;' >At each reporting date, the </font><font style='font-family:Arial Narrow;font-size:11pt;' >effective yield is adjusted prospectively from the reporting period based on the new estimate </font><font style='font-family:Arial Narrow;font-size:11pt;' >of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the inde</font><font style='font-family:Arial Narrow;font-size:11pt;' >x 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.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >amount </font><font style='font-family:Arial Narrow;font-size:11pt;' >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 du</font><font style='font-family:Arial Narrow;font-size:11pt;' >ring the period.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Retained Interests in Securitizations</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >From 2004 to 2006, MortCo</font><font style='font-family:Arial Narrow;font-size:11pt;' > participated in securitization transactions as part of its mortgage origination business. Retained interests in the securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are ref</font><font style='font-family:Arial Narrow;font-size:11pt;' >lected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management&#8217;s best estimates of key assumptions, which include expected</font><font style='font-family:Arial Narrow;font-size:11pt;' > credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Derivative Financial Instruments</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company uses derivative instruments to manage interest rate risk, facilitate asset/liabil</font><font style='font-family:Arial Narrow;font-size:11pt;' >ity strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Eurodollar </font><font style='font-family:Arial Narrow;font-size:11pt;' >futures contracts and options to enter in interest rate swaps (&#8220;i</font><font style='font-family:Arial Narrow;font-size:11pt;' >nterest rate swaptions&#8221;), but it may enter into other transactions in the future. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company has elected to not treat any of its derivative financ</font><font style='font-family:Arial Narrow;font-size:11pt;' >ial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option. FASB ASC Topic 815, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Derivatives and Hedging</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires that all derivative instrument</font><font style='font-family:Arial Narrow;font-size:11pt;' >s be carried at fair value. Changes in fair value are recorded in earnings for each period.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, t</font><font style='font-family:Arial Narrow;font-size:11pt;' >he Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for unde</font><font style='font-family:Arial Narrow;font-size:11pt;' >r the terms of the agreement. To mitigate this risk, the Company uses well-established commercial banks as counterparties.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Financial Instruments</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >ASC Topic 825</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >, Financial Instruments</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires disclosure of the fair value of financial instruments for </font><font style='font-family:Arial Narrow;font-size:11pt;' >which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid Island Capital, Inc. common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in secu</font><font style='font-family:Arial Narrow;font-size:11pt;' >ritization transactions 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 13 of the consolidated financial statements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The estimated fa</font><font style='font-family:Arial Narrow;font-size:11pt;' >ir 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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > due to the short-term nature of these financial instruments. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >It is impractical to estimate the fair value of the Company&#8217;s junior subordinated notes. Currently, there is a limited market for these types of instruments and the Company is unable to ascer</font><font style='font-family:Arial Narrow;font-size:11pt;' >tain what interest rates would be available to the Company for similar financial instruments. Information regarding carrying amount, effective interest rate and maturity date for these instruments is presented in Note 7 to the consolidated financial st</font><font style='font-family:Arial Narrow;font-size:11pt;' >atements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Property and Equipment, net</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >buildings and improvements with depreciable lives of 30 years. Property and equipment is recorded at acquisition cost and depreciated using the straight-line method over the estimated useful lives of the assets.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Repurchase Agreements</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company finance</font><font style='font-family:Arial Narrow;font-size:11pt;' >s the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Transfers and Servicing</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >account</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Share-Based Compensation</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 718, Compensation &#8211; Stock Compensation, to account for stock and stock-based awards. For stock and stock-based awards issued to employees, a compensation charge is recorded against earnings over the vesting </font><font style='font-family:Arial Narrow;font-size:11pt;' >period based on the fair value of the award. Payments pursuant to dividend equivalent rights, which are granted along with certain equity based awards, are charged to stockholders&#8217; equity when dividends are declared. The Company applies a zero forfeiture</font><font style='font-family:Arial Narrow;font-size:11pt;' > rate for its equity based awards, as such awards have been granted to a limited number of employees and historical forfeitures have been minimal. A significant forfeiture, or an indication that significant forfeitures may occur, would result in a revised</font><font style='font-family:Arial Narrow;font-size:11pt;' > forfeiture rate which would be accounted for prospectively as a change in an estimate. For transactions with non-employees in which services are performed in exchange for the Company&#8217;s common stock or other equity instruments, the transactions are recorde</font><font style='font-family:Arial Narrow;font-size:11pt;' >d on the basis of the fair value of the service received or the fair value of the equity instruments issued, whichever is more readily measurable at the date of </font><font style='font-family:Arial Narrow;font-size:11pt;' >issuance.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Earnings Per Share</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 260, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Earnings Pe</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >r Share</font><font style='font-family:Arial Narrow;font-size:11pt;' >, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in </font><font style='font-family:Arial Narrow;font-size:11pt;' >dividend distributions</font><font style='font-family:Arial Narrow;font-size:11pt;' > to present both basic and diluted earnings per share (&#8220;EPS&#8221;) on the face of the co</font><font style='font-family:Arial Narrow;font-size:11pt;' >nsolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Diluted EPS is calculated using the treasury stock or two-class me</font><font style='font-family:Arial Narrow;font-size:11pt;' >thod, as applicable for common stock equivalents. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Outstanding shares of Class B Common Stock, participating and convertible into Class A Common</font><font style='font-family:Arial Narrow;font-size:11pt;' > Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in </font><font style='font-family:Arial Narrow;font-size:11pt;' >the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The shares of Class&#160;C Common Stock are not included in the basic EPS computation as these shares do not have participation right</font><font style='font-family:Arial Narrow;font-size:11pt;' >s. The outstanding shares of Class B and Class&#160;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&#160;A Common Stock were not met.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Income Taxes </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Bimini </font><font style='font-family:Arial Narrow;font-size:11pt;' >Capital </font><font style='font-family:Arial Narrow;font-size:11pt;' >has elected to be taxed as a real estate investment trust (&#8220;REIT&#8221;) under the Internal Revenue Code of 1986, as amended (the &#8220;Code&#8221;). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their </font><font style='font-family:Arial Narrow;font-size:11pt;' >stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, management believes that the Company has complied with the Code requirements an</font><font style='font-family:Arial Narrow;font-size:11pt;' >d Bimini Capital continues to qualify as a REIT. </font><font style='font-family:Arial Narrow;font-size:11pt;' >As further described in Note 11, Income Taxes, </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Advisors and MortC</font><font style='font-family:Arial Narrow;font-size:11pt;' >o </font><font style='font-family:Arial Narrow;font-size:11pt;' >are </font><font style='font-family:Arial Narrow;font-size:11pt;' >taxpaying entit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies</font><font style='font-family:Arial Narrow;font-size:11pt;' > for income tax purposes and </font><font style='font-family:Arial Narrow;font-size:11pt;' >are</font><font style='font-family:Arial Narrow;font-size:11pt;' > taxed separately from </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company&#8217;s U.S. federal income ta</font><font style='font-family:Arial Narrow;font-size:11pt;' >x returns for years end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed</font><font style='font-family:Arial Narrow;font-size:11pt;' > on or after December 31, 20</font><font style='font-family:Arial Narrow;font-size:11pt;' >11</font><font style='font-family:Arial Narrow;font-size:11pt;' > 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 material</font><font style='font-family:Arial Narrow;font-size:11pt;' >ly different from the </font><font style='font-family:Arial Narrow;font-size:11pt;' >tax returns filed by the Company, and those differences could result in significant costs or benefits to the Company.</font></p><p style='text-align:center;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Income </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Taxes</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Under that guidance, the Company assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. The measurement </font><font style='font-family:Arial Narrow;font-size:11pt;' >of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p></div> 2003-09-24 Maryland 20-Feb-13 13200000 3 3 8 20 30 30 2060000 488000 6000000 476000 250000 2011 0.9 106203000 0.0039 1900000 488000 2141000 2141000 2141000 107761166 488000 107761166 2447000 -1843000 1 1 1 0.85 0.75 0.025 0.025 0.35 0.35 0.45 0.45 0.45 0.45 0.35 0.35 0.45 0.45 0.45 0.45 0.35 0.35 0.45 0.45 0.45 0.45 Next 10 Months Month 4 - 13 Month 11-28 Month 11-28 Month 11-28 Month 29 and Beyond 0.275 0.275 0.275 0.275 0.275 0.275 0.2 13.2 6.5 1 3.6 0.2 52000 -2261675 712695 6825538 false 2015-06-30 2015 Bimini Capital Management, Inc. --12-31 BMNM 12355045 31938 31938 1074122 98142 975980 247988 727992 -1026695 0 5625 -293078 7119482 728277 6391205 245334 6145871 9698117 2980121 -5873958 12950151 1052824 -10174 593869 2252897 -10125 2242772 594653 174937 712674 18055 33735 1534054 911134 302950 688541 114133 236354 2253112 -1233263 12939811 -1504479 12914210 -1504479 3329976 12346224 12346224 31938 31938 12294879 12294879 31938 31938 -0.12 -0.12 -0.12 -0.12 0.27 0.27 0.27 0.27 -1500000 -1500000 0 -4000 -4000 Constant Prepayment Rate 0.1 0.1 0.1 Discounted Cash Flow Discounted Cash Flow 10372000 1087000 9285000 10124000 3891000 -7421000 15879000 245000 88000 118000 916000 14963000 <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 12</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. EARNINGS PER SHARE</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Shares of Class&#160;B Common Stock, participating and convertible into Class&#160;A Common Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class&#160;A Common Stock if, and when, </font><font style='font-family:Arial Narrow;font-size:11pt;' >authorized and declared by the Board of Directors. Following the provisions of FASB ASC 260, the Class&#160;B Common Stock is included in the computation of basic EPS using the two-class method, and consequently is presented separately from Class&#160;A Common Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Shares of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Class B </font><font style='font-family:Arial Narrow;font-size:11pt;' >C</font><font style='font-family:Arial Narrow;font-size:11pt;' >ommon </font><font style='font-family:Arial Narrow;font-size:11pt;' >Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not included in the computation of diluted Class&#160;A EPS as the conditions for conversion to Class&#160;A </font><font style='font-family:Arial Narrow;font-size:11pt;' >Common Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > were not met at </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Shares of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Class&#160;C </font><font style='font-family:Arial Narrow;font-size:11pt;' >C</font><font style='font-family:Arial Narrow;font-size:11pt;' >ommon </font><font style='font-family:Arial Narrow;font-size:11pt;' >Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not included in the basic EPS computation as these shares do not have participation rights. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Shares of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Class&#160;C </font><font style='font-family:Arial Narrow;font-size:11pt;' >C</font><font style='font-family:Arial Narrow;font-size:11pt;' >ommon </font><font style='font-family:Arial Narrow;font-size:11pt;' >Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not included in the computation of diluted Class&#160;A EPS as the conditions for conversion to Class&#160;A </font><font style='font-family:Arial Narrow;font-size:11pt;' >Common Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > were not met</font><font style='font-family:Arial Narrow;font-size:11pt;' > at</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company has </font><font style='font-family:Arial Narrow;font-size:11pt;' >dividend eligible stock incentive plan shares that were outstanding during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >. The basic and diluted per share computations include</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >these unvested incentive plan shares</font><font style='font-family:Arial Narrow;font-size:11pt;' > if there is income available to Class A Common Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' >, as they have dividend participation rights. The stock incentive plan shares h</font><font style='font-family:Arial Narrow;font-size:11pt;' >ave no contractual obligation to share in losses. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Because</font><font style='font-family:Arial Narrow;font-size:11pt;' > there is no such obligation, the incentive plan shares are not inc</font><font style='font-family:Arial Narrow;font-size:11pt;' >luded in the basic and diluted EPS computations </font><font style='font-family:Arial Narrow;font-size:11pt;' >when no income is available to Class A Common Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > even though they are </font><font style='font-family:Arial Narrow;font-size:11pt;' >considered </font><font style='font-family:Arial Narrow;font-size:11pt;' >participating securities.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below reconciles the numerator and denominator of EPS for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:217.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:217.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended June 30,</font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended June 30,</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class A common share:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income attributable to Class A common shares:</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(2,886)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,684</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,500)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,321</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class A common shares outstanding at the balance sheet date</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,295</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,295</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Effect of weighting </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(223)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,339</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,072</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,295</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income per Class A common share:</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.23)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.47</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.12)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.27</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:217.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:217.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended June 30,</font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended June 30,</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class B common share:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income attributable to Class B common shares:</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >15</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(4)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >9</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class B common shares outstanding at the balance sheet date</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income per Class B common share:</font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.23)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.47</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.12)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.27</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:217.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:217.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended June 30,</font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended June 30,</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class A common share:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income attributable to Class A common shares:</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(2,886)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5,684</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,500)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,321</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class A common shares outstanding at the balance sheet date</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,295</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,295</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Effect of weighting </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(223)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,339</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,072</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,346</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,295</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income per Class A common share:</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.23)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.47</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.12)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.27</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:15pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:217.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:217.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Six Months Ended June 30,</font></td><td colspan='4' rowspan='1' style='width:142.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:142.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended June 30,</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2014</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class B common share:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income attributable to Class B common shares:</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(7)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >15</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(4)</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >9</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class B common shares outstanding at the balance sheet date</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='3' rowspan='1' style='width:247.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:247.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(Loss) income per Class B common share:</font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:232.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:232.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.23)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.47</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.12)</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.27</font></td></tr></table></div> Q2 0001275477 Yes No Smaller Reporting Company No 10-Q <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than five years and less than ten years </font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than or equal to ten years</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,751</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,815</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,761</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >117,831</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:116.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:236.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Series</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Issue Date</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-2</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >May 10, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >216</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >320</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-3</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >June 30, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >694</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >753</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-4</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >August 16, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >368</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >496</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-5</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >September 28, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >386</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >331</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-6</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >November 17, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >477</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Total</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,141</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >% of</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:63.75pt;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Stockholders&#39;</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:63.75pt;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Maturity</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Counterparties</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >at Risk</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >at Risk</font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(in Days)</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Citigroup Global Markets, Inc.</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,532</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >39.8%</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 14 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >JVB Financial Group, LLC</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,517</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >23.9%</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 10 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >ED&amp;F Man Capital Markets Inc.</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,465</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >23.0%</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 33 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >South Street Securities, LLC</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >812</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12.8%</font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 20 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >CRT Capital Group, LLC</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >685</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10.8%</font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 15 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >JVB Financial Group, LLC</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,807</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >19.6%</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 8 </font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >ED&amp;F Man Capital Markets Inc.</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,490</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16.2%</font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 22 </font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >OVERNIGHT</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 2</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 31</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >GREATER </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1 DAY OR</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >THAN</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >LESS)</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >30 DAYS</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >TOTAL</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >87,826</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >18,377</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >106,203</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >84,939</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >16,267</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,206</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.38%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.43%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.39%</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >114,433</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,998</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >116,431</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >108,074</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,890</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,964</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.36%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.33%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.36%</font></td></tr></table></div> 11004464 12810728 -1992780 530099 1013900 0 0 0 0 9584234 9201769 39691 9345 6357398 12388 -325333469 334522850 0 0 -2893407 22 0 12410 39669 9345 334571864 0 0 -328226876 0 0 <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Orchid Island Capital, Inc.</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > Common Stock</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >At the date</font><font style='font-family:Arial Narrow;font-size:11pt;' > of Orchid&#8217;s deconsolidation, the Company elected the fair value option for its continuing investment in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the c</font><font style='font-family:Arial Narrow;font-size:11pt;' >onsolidated statements of operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >. We estimate the fair value of our investment in Orchid on a market approach using &#8220;Level 1&#8221; inputs based on the quoted market price of Orchid&#8217;s common stock.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >Electing the </font><font style='font-family:Arial Narrow;font-size:11pt;' >fair value option requires the Company to record changes in fair value in the consolidated statement</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > of operations, which, in management&#8217;s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 11</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. INCOME TAXES</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;margin-left:0pt;' >REIT Activities</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Generally, REITs are</font><font style='font-family:Arial Narrow;font-size:11pt;' > not subject to federal income tax on REIT taxable income distributed to its shareholders. </font><font style='font-family:Arial Narrow;font-size:11pt;' >REIT taxable</font><font style='font-family:Arial Narrow;font-size:11pt;' > income or loss</font><font style='font-family:Arial Narrow;font-size:11pt;' >, as generated by </font><font style='font-family:Arial Narrow;font-size:11pt;' >q</font><font style='font-family:Arial Narrow;font-size:11pt;' >ualifying REIT activities, is computed in accordance with the Internal Revenue Code, which is different from </font><font style='font-family:Arial Narrow;font-size:11pt;' >the </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statement net </font><font style='font-family:Arial Narrow;font-size:11pt;' >income or loss</font><font style='font-family:Arial Narrow;font-size:11pt;' > as computed in accordance with GAAP. Depending on the number and size of the various items or transactio</font><font style='font-family:Arial Narrow;font-size:11pt;' >ns being accounted for differently, the differences between the Company&#8217;s REIT taxable </font><font style='font-family:Arial Narrow;font-size:11pt;' >income or loss </font><font style='font-family:Arial Narrow;font-size:11pt;' >and its </font><font style='font-family:Arial Narrow;font-size:11pt;' >GAAP </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statement net </font><font style='font-family:Arial Narrow;font-size:11pt;' >income or loss </font><font style='font-family:Arial Narrow;font-size:11pt;' >can be substantial and each </font><font style='font-family:Arial Narrow;font-size:11pt;' >item can affect several years.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, Bimini Capital</font><font style='font-family:Arial Narrow;font-size:11pt;' > had a REIT tax net operating loss carryforward (&#8220;NOL carryforwards&#8221; or &#8220;NOLs&#8221;) of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$17.3</font><font style='font-family:Arial Narrow;font-size:11pt;' > million that is immediately available to offset future REIT taxable income. These REIT NOLs will expire in years 2028 through 2034, if not previo</font><font style='font-family:Arial Narrow;font-size:11pt;' >usly used to offset future REIT taxable income.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;margin-left:0pt;' >Taxable REIT Subsidiaries</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As taxable REIT subsidiaries (&#8220;TRS&#8221;), Bimini Advisors and MortCo are tax paying entities for income tax purposes and are taxed separately from Bimini Capital and from each other.&#160; </font><font style='font-family:Arial Narrow;font-size:11pt;' >Therefore, Bimini Advisors and MortCo each separately report an income tax provision or benefit based on their own taxable activities. &#160;For the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >MortCo and Bimini Advisors did not have </font><font style='font-family:Arial Narrow;font-size:11pt;' >taxable income primari</font><font style='font-family:Arial Narrow;font-size:11pt;' >ly due to the utilization of their respective NOL carryforwards.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company&#8217;s payment of taxes reported on the </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >statement of cash flows results from alternative minimum taxes </font><font style='font-family:Arial Narrow;font-size:11pt;' >(&#8220;AMT&#8221;) </font><font style='font-family:Arial Narrow;font-size:11pt;' >which become due when NOLs are used </font><font style='font-family:Arial Narrow;font-size:11pt;' >to</font><font style='font-family:Arial Narrow;font-size:11pt;' > offset taxable income</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The income tax provision (benefit) for the six and three months ended June 30, 2015 and 2014 is solely attributable to the TRSs. For Bimini </font><font style='font-family:Arial Narrow;font-size:11pt;' >Advisors, the provision for the year 2015 periods is determined by applying the statutory Federal rate of 35% to its</font><font style='font-family:Arial Narrow;font-size:11pt;' > pre-tax income or loss. During 2014, a benefit was recorded for the release of Bimini </font><font style='font-family:Arial Narrow;font-size:11pt;' >Advisor&#8217;s deferred tax valuation allowance related to an intangible asset and NOL carryforwards. For MortCo, its provision is generally zero, and it differs from the statutor</font><font style='font-family:Arial Narrow;font-size:11pt;' >y Federal rate due primarily to the recording of, and adjustments to, the deferred tax asset valuation allowances and the release of the deferred tax valuation allowance related to NOL carryforwards. The payment of AMT is included in the provision in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >period it is paid.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Bimini Advisors has available at </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > estimated federal and Florida NOL carryforwards of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.4</font><font style='font-family:Arial Narrow;font-size:11pt;' > million which begin to expire in 2031 and are fully available to offset future federal and Florida taxable income. </font><font style='font-family:Arial Narrow;font-size:11pt;' >In connection with Orchid&#8217;s IPO, Bimini Advisors paid for, and expensed</font><font style='font-family:Arial Narrow;font-size:11pt;' > for GAAP purposes</font><font style='font-family:Arial Narrow;font-size:11pt;' >, certain offering costs totaling approximately $3.2 million. </font><font style='font-family:Arial Narrow;font-size:11pt;' >For tax purposes, t</font><font style='font-family:Arial Narrow;font-size:11pt;' >hese offering costs created an intangible asset related to the management agreement with a tax basis of $3.2 million. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The deferred tax assets related to the NOL carryforwards </font><font style='font-family:Arial Narrow;font-size:11pt;' >and the intangible asset at </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > total approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$1.4</font><font style='font-family:Arial Narrow;font-size:11pt;' > million.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. During </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > the Company re-evaluated its previous posi</font><font style='font-family:Arial Narrow;font-size:11pt;' >tion regarding its ability to realize </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Advisors&#8217; deferred tax liability and determined that there was sufficient positive evidence to conclude that the realization of Bimini Advisors&#8217; deferred tax assets was more likely than not. As a result, Bimini</font><font style='font-family:Arial Narrow;font-size:11pt;' > Advisors recorded a deferred income tax benefit of approximately $</font><font style='font-family:Arial Narrow;font-size:11pt;' >2.2</font><font style='font-family:Arial Narrow;font-size:11pt;' > million during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >related to the release of the valuation allowance.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, MortCo has estimated federal NOL carryforwards of approxim</font><font style='font-family:Arial Narrow;font-size:11pt;' >ately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$261.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million and estimated available Florida NOLs of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$34.1</font><font style='font-family:Arial Narrow;font-size:11pt;' > million, both of which will begin to expire in 2025, and are fully available to offset future federal and Florida taxable income, respectively. The net de</font><font style='font-family:Arial Narrow;font-size:11pt;' >ferred tax assets for MortCo at </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > are approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$94.0</font><font style='font-family:Arial Narrow;font-size:11pt;' > million. As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, management did not believe that it had sufficient positive evidence to conclude that the realization of MortCo&#8217;s deferred tax</font><font style='font-family:Arial Narrow;font-size:11pt;' > assets was more likely than not; therefore, a valuation allowance was provided for the entire balance of MortCo&#8217;s deferred tax assets. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >MortCo holds residual interests in various real estate mortgage investment conduits (&#8220;REMICs&#8221;), which were issued in 2</font><font style='font-family:Arial Narrow;font-size:11pt;' >004, 2005 and 2006, some of which generate excess inclusion income (&#8220;EII&#8221;), a type of taxable income pursuant to specific provisions of the Code. In 2008, based on a re-evaluation of its tax position regarding REMIC income, MortCo recorded a liability of </font><font style='font-family:Arial Narrow;font-size:11pt;' >approximately $2.1 million for taxes, interest and penalties related to this uncertain tax position during 2008. During 2010 (as part of the filing of its 2009 tax returns), MortCo reached a tax filing position related to the EII taxable income, reported </font><font style='font-family:Arial Narrow;font-size:11pt;' >EII taxable income of approximately $2.1 million, paid $0.8 million of income tax, interest and penalties, and included a notice of inconsistent treatment in its tax returns. Because of the uncertainty surrounding the taxation of EII, MortCo accounted for</font><font style='font-family:Arial Narrow;font-size:11pt;' > the pre-2008 tax position as being more likely than not that the tax position would not be fully sustained upon examination. On September 15, 2013, the statute of limitations for the IRS to challenge MortCo&#8217;s pre-2008 tax position expired. As such, the </font><font style='font-family:Arial Narrow;font-size:11pt;' >remaining balance of the liability recorded in 2008 was reversed during the year ended December 31, 2013, which resulted in a tax benefit of $1.3 million. MortCo continues to file its tax returns following its 2009 tax filing position, and it continues to</font><font style='font-family:Arial Narrow;font-size:11pt;' > include a notice of inconsistent treatment in each return. </font></p></div> 121000 101160000 442000 112174000 101281000 112616000 3345000 3135000 2276000 2939000 6480000 5215000 10000 16000 107751000 117815000 216000 320000 694000 753000 368000 496000 386000 331000 477000 0 May 10, 2004 June 30, 2004 August 16, 2004 September 28, 2004 November 17, 2004 0 0 87826000 84939000 18377000 16267000 0 0 0 0.0038 0.0043 0 2532000 1517000 1465000 1807000 1490000 0.23 0.398 0.239 0.196 0.162 7000000 6700000 43000000 56000000 56000000 56000000 53833000 -67000 -231000 -239000 -118000 -655000 -5000 46000 -3000 -38000 0 50429000 36500000 56000000 56000000 56000000 0.0063 0.0154 0.0223 0.0251 0.0172 0.0048 0.0104 0.0181 0.0223 0.0144 101206000 0 0 109964000 101206000 109964000 -99146000 -109706000 -2060000 -258000 0 0 Bimini Capital Trust II Three Month LIBOR 0.035 0.0379 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 10000000 10000000 1800000 1800000 2000000 2000000 0 0 0 0 98000000 12346376 12346376 98000000 12324391 12324391 1000000 31938 31938 1000000 31938 31938 1000000 31938 31938 1000000 31938 31938 12346 32 32 12324 32 32 21985 0 0 21985 27531 500000 257895 785426 4000000 0.1 2/19/2014 500000 257895 190000 0.38 45946 55291 88200 59850 31500 31500 1.78 1.78 P2Y5M11D 76120000 12538000 16000 -7378000 31615000 112911000 3135000 2141000 11004000 11004000 12811000 12811000 3321000 3321000 9000 9000 0 0 0 0 <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 9</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. STOCK INCENTIVE PLANS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >On August 12, 2011, Bimini Capital&#8217;s shareholders approved the 2011 Long Term Compensation Plan (the &#8220;2011 Plan&#8221;) to assist the Company in recruiting and retaining employees, directors and other service providers by </font><font style='font-family:Arial Narrow;font-size:11pt;' >enabling them to participate in the success of Bimini Capital and to associate their interests with those of the Company and its stockholders. The 2011 plan is intended to permit the grant of stock options, stock appreciation rights (&#8220;SARs&#8221;), stock awards</font><font style='font-family:Arial Narrow;font-size:11pt;' >, performance units and other equity-based and incentive awards. The maximum aggregate number of shares of Common Stock that may be issued under the 2011 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based aw</font><font style='font-family:Arial Narrow;font-size:11pt;' >ards and the settlement of incentive awards and performance units is equal to 4,000,000 shares.</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;margin-left:0pt;' >Share Awards</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In February 201</font><font style='font-family:Arial Narrow;font-size:11pt;' >4</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Compensation Committee of the Board of Directors of Bimini Capital </font><font style='font-family:Arial Narrow;font-size:11pt;' >(the &#8220;Committee&#8221;) </font><font style='font-family:Arial Narrow;font-size:11pt;' >approved certain performance bonuses for members of management. These bonuses were awarded primarily in recognition of management&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >capital raising efforts in 2013. The bonuses, which were paid on February 1</font><font style='font-family:Arial Narrow;font-size:11pt;' >9, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' > (the &#8220;Bonus Date&#8221;), consisted of cash and fully vested shares of the Company&#8217;s common stock issued under the 2011 Plan. In particular, executive officers received bonuses </font><font style='font-family:Arial Narrow;font-size:11pt;' >totaling approximately $422,000, consisting of </font><font style='font-family:Arial Narrow;font-size:11pt;' >500</font><font style='font-family:Arial Narrow;font-size:11pt;' >,000 shares of the Company&#8217;s common stock with an approximate value of $190,000, and cash of approximately $232,000 which, at the officer&#8217;s election, could be used to purchase newly issued shares directly f</font><font style='font-family:Arial Narrow;font-size:11pt;' >rom the Company. Under this election, the officers purchased 257,895 shares of the Company&#8217;s common stock. For purposes of these bonuses, shares of the Company&#8217;s common stock were valued based on the closing price of the Company&#8217;s common stock on the Bon</font><font style='font-family:Arial Narrow;font-size:11pt;' >us Date.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The expense related to this bonus was accrued at December 31, 2013 and d</font><font style='font-family:Arial Narrow;font-size:11pt;' >oes</font><font style='font-family:Arial Narrow;font-size:11pt;' > not affect the results of operations for the</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >A summary of </font><font style='font-family:Arial Narrow;font-size:11pt;' >share award</font><font style='font-family:Arial Narrow;font-size:11pt;' > activity during </font><font style='font-family:Arial Narrow;font-size:11pt;' >the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' > is </font><font style='font-family:Arial Narrow;font-size:11pt;' >presented below:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted-</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:56.25pt;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Grant-Date</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares</font></td><td colspan='2' rowspan='1' style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fully vested shares granted</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >500,000</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.38</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;margin-left:0pt;' >P</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >erformance Units</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Committee may issue Performance Units under the 2011 Plan to certain officers and employees. &#8220;</font><font style='font-family:Arial Narrow;font-size:11pt;' >Performance Units&#8221; represent the participant&#8217;s right to receive an amount, based on the value of a specified number of shares of Common Stock, if the terms and conditions prescribed by the Committee are satisfied.&#160;&#160;The Committee will determine the requirem</font><font style='font-family:Arial Narrow;font-size:11pt;' >ents that must be satisfied before Performance Units are earned, including but not limited to any applicable performance period and performance goals.&#160;&#160;Performance goals may relate to the Company&#8217;s financial performance or the participant&#8217;s performance or </font><font style='font-family:Arial Narrow;font-size:11pt;' >such other criteria determined by the Committee, including goals stated with reference to the performance measures discussed below.&#160;&#160;If Performance Units are earned, they will be settled in cash, shares of Common Stock or a combination thereof.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The follow</font><font style='font-family:Arial Narrow;font-size:11pt;' >ing table presents information related to Performance Units outstanding at </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:15pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:88.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:88.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:88.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:88.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Nonvested performance units outstanding at period end</font></td><td style='width:15pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted-average grant date fair price</font></td><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unrecognized compensation expense at period end</font></td><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45,946</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >55,291</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted-average remaining vesting term (in years)</font></td><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.50</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3.00</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Intrinsic value of unvested shares at period end</font></td><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >88,200</font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >59,850</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69.75pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted-</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:56.25pt;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69.75pt;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Grant-Date</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares</font></td><td colspan='2' rowspan='1' style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fully vested shares granted</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:58.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:58.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >500,000</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.38</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:15pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:88.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:88.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >June 30, 2015</font></td><td colspan='2' rowspan='1' style='width:88.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:88.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2014</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Nonvested performance units outstanding at period end</font></td><td style='width:15pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted-average grant date fair price</font></td><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unrecognized compensation expense at period end</font></td><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45,946</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >55,291</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted-average remaining vesting term (in years)</font></td><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.50</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3.00</font></td></tr><tr style='height:12.75pt;' ><td style='width:337.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:337.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Intrinsic value of unvested shares at period end</font></td><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >88,200</font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >59,850</font></td></tr></table></div> 2300000 Hildene Capital New York 7/16/2010 2034-12-31 2028-12-31 2100000 800000 1300000 2281256 198334 2082922 491461 1591461 -197399 0 -1009075 384987 11235494 1182616 10052878 488517 9564361 11266428 4049477 -7590975 17289291 2538580 -1806264 1060198 1868700 -22153 3639061 2446586 0 0 0 -20253 2426333 1263444 342703 1047451 36858 3500000 118688 6309144 1357307 543512 1088791 229316 0 391075 3610001 -2285096 -2893407 0 -2893407 16105623 18237381 12538193 5699188 -0.23 -0.23 -0.23 -0.23 0.47 0.47 0.47 0.47 12339358 12339358 31938 31938 12071977 12071977 31938 31938 0 0 114433000 108074000 1998000 1890000 0 0 0 0.0036 0.0033 0 2532000 0.398 P8D P22D P14D P10D P33D -156000 -189000 -177000 -93000 -615000 26000000 26000000 26000000 26000000 26000000 0.0045 0.0104 0.0181 0.0223 0.0139 0.0057 0.0154 0.0223 0.0251 0.016 26000000 26000000 26000000 26000000 26000000 -237000 -61000 -67000 -56000 -421000 -1009000 0 -1009000 0 -1009000 -6306000 -1285000 -170000 0 -170000 6000 0 6000 0 6000 -4745000 -1129000 -146000 -146000 0 27531 500000 257895 785426 P2Y5M11D P3Y -2886000 5684000 -2886000 5684000 -7000 -223000 -7000 15000 -7000 15000 0 0 2531000 2539000 -2298000 52000 5699000 1004000 4695000 6290443 225000 240000 6589000 676000 5913000 8584000 2980000 -5728000 11749000 225000 156000 172000 44000 88000 685000 11064000 1428754 1900064 608311 -2131758 271216 25601 <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 1</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Organization and Business Description</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Bimini Capital Management, Inc., a </font><font style='font-family:Arial Narrow;font-size:11pt;' >Maryland corporation (&#8220;Bimini Capital&#8221;), was formed in September 2003 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (&#8220;MBS&#8221;). Bimini Capital has elected to be taxed as a real </font><font style='font-family:Arial Narrow;font-size:11pt;' >estate investment trust (&#8220;REIT&#8221;) under the Internal Revenue Code of 1986, as amended (the &#8220;Code&#8221;). As a REIT, Bimini Capital is generally not subject to federal income tax on its REIT taxable income provided that it distributes to its stockholders at leas</font><font style='font-family:Arial Narrow;font-size:11pt;' >t 90% of its REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its special tax status. Bimini Capital&#8217;s website is located at http://www.biminicapital.com.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >On February 20, 2013, Orchid Island </font><font style='font-family:Arial Narrow;font-size:11pt;' >Capital, Inc. (&#8220;Orchid&#8221;) completed the initial public offering (&#8220;IPO&#8221;) of its common stock. Prior to the completion of its IPO, Orchid was a wholly-owned qualified REIT subsidiary of Bimini Capital. Since Orchid&#8217;s IPO and until December 31, 2014, Orchid </font><font style='font-family:Arial Narrow;font-size:11pt;' >was consolidated as a variable interest entity (&#8220;VIE&#8221;). Effective December 31, 2014, Orchid was deconsolidated.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As used in this document, discussions related to REIT qualifying activities include the MBS portfolios of both Bimini Capital and Orchid for 20</font><font style='font-family:Arial Narrow;font-size:11pt;' >14, and only the MBS portfolio of Bimini Capital for 2015. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Discussions related to the &#8220;Company&#8221; refer to the consolidated entity, including Bimini Capital, our wholly-owned subsidiaries, and, through December 31, 2014, our VIE. References to &#8220;Bimini Capit</font><font style='font-family:Arial Narrow;font-size:11pt;' >al&#8221; and the &#8220;parent&#8221; refer to Bimini Capital Management, Inc. as a separate entity. Discussions related to Bimini Capital&#8217;s taxable REIT subsidiaries or non-REIT eligible assets refer to Bimini Advisors, Inc. and its wholly-owned subsidiary, Bimini Advisor</font><font style='font-family:Arial Narrow;font-size:11pt;' >s, LLC (together &#8220;Bimini Advisors&#8221;), and MortCo </font><font style='font-family:Arial Narrow;font-size:11pt;' >TRS, LLC </font><font style='font-family:Arial Narrow;font-size:11pt;' >and its consolidated subsidiaries </font><font style='font-family:Arial Narrow;font-size:11pt;' >(&#8220;MortCo&#8221;)</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Consolidation </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors and MortCo.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The</font><font style='font-family:Arial Narrow;font-size:11pt;' > accounts of Orchid are included in the consolidated statements of operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, and in the statement of cash flows for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >. All inter-company accounts and transactions have </font><font style='font-family:Arial Narrow;font-size:11pt;' >been eliminated from the consolidated financial statements. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Financial Accounting Standards Board (the &#8220;FASB&#8221;) Accounting Standards Codification (&#8220;ASC&#8221;) T</font><font style='font-family:Arial Narrow;font-size:11pt;' >opic 810, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Consolidation</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires </font><font style='font-family:Arial Narrow;font-size:11pt;' >the </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidat</font><font style='font-family:Arial Narrow;font-size:11pt;' >ion of a</font><font style='font-family:Arial Narrow;font-size:11pt;' > VIE </font><font style='font-family:Arial Narrow;font-size:11pt;' >by an enterprise </font><font style='font-family:Arial Narrow;font-size:11pt;' >if it is deemed the pr</font><font style='font-family:Arial Narrow;font-size:11pt;' >imary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, an</font><font style='font-family:Arial Narrow;font-size:11pt;' > ongoing assessment of whether an enterprise is the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, and</font><font style='font-family:Arial Narrow;font-size:11pt;' > additional disclosures for entities that</font><font style='font-family:Arial Narrow;font-size:11pt;' > have variable interests in VIEs</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >From the effective date of Orchid&#8217;s IPO and until December 31, 2014, </font><font style='font-family:Arial Narrow;font-size:11pt;' >management </font><font style='font-family:Arial Narrow;font-size:11pt;' >concluded</font><font style='font-family:Arial Narrow;font-size:11pt;' >, pursuant to ASC 810, that </font><font style='font-family:Arial Narrow;font-size:11pt;' >Orchid</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >wa</font><font style='font-family:Arial Narrow;font-size:11pt;' >s a </font><font style='font-family:Arial Narrow;font-size:11pt;' >VIE. As a result, subsequent to Orchid&#8217;s IPO and until December 31, 2014, the Company conso</font><font style='font-family:Arial Narrow;font-size:11pt;' >lidated Orchid in its financial statements. The</font><font style='font-family:Arial Narrow;font-size:11pt;' > results of operations of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Orchid</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >were</font><font style='font-family:Arial Narrow;font-size:11pt;' > included in </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company&#8217;s 2014 c</font><font style='font-family:Arial Narrow;font-size:11pt;' >onsolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' >tatements</font><font style='font-family:Arial Narrow;font-size:11pt;' > of operations and cash flows,</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >however, </font><font style='font-family:Arial Narrow;font-size:11pt;' >net </font><font style='font-family:Arial Narrow;font-size:11pt;' >income </font><font style='font-family:Arial Narrow;font-size:11pt;' >attributable to </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital </font><font style='font-family:Arial Narrow;font-size:11pt;' >stockholders d</font><font style='font-family:Arial Narrow;font-size:11pt;' >id</font><font style='font-family:Arial Narrow;font-size:11pt;' > not include the portion </font><font style='font-family:Arial Narrow;font-size:11pt;' >of net income </font><font style='font-family:Arial Narrow;font-size:11pt;' >attributable to noncontrolling interests.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 2014, management re-evaluated the conditions resulting in the consolidation of Orchid and concluded that, due to Bimini&#8217;s decreased </font><font style='font-family:Arial Narrow;font-size:11pt;' >percentage </font><font style='font-family:Arial Narrow;font-size:11pt;' >ownership interest </font><font style='font-family:Arial Narrow;font-size:11pt;' >in Orchid, t</font><font style='font-family:Arial Narrow;font-size:11pt;' >here was no longer a variable interest requiring consolidation</font><font style='font-family:Arial Narrow;font-size:11pt;' >. As a result, in accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014. However, as a VIE which was deconsolidated</font><font style='font-family:Arial Narrow;font-size:11pt;' > on December 31, 2014, Orchid&#8217;s results of operations </font><font style='font-family:Arial Narrow;font-size:11pt;' >were</font><font style='font-family:Arial Narrow;font-size:11pt;' > included in the consolidated statements of operations and cash flows through December 31, 2014, and </font><font style='font-family:Arial Narrow;font-size:11pt;' >are excluded in subsequent periods</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Assets recognized as a result of consolidating Orchid in pri</font><font style='font-family:Arial Narrow;font-size:11pt;' >or periods did not represent additional assets that could be used to satisfy claims against Bimini Capital&#8217;s assts. Conversely, liabilities recognized as a result of consolidating Orchid did not represent additional claims on Bimini Capital&#8217;s assets; rath</font><font style='font-family:Arial Narrow;font-size:11pt;' >er, they represented claims against the assets of Orchid. Creditors and stockholders of Orchid have no recourse to the assets of Bimini Capital.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As further described in Note 7, Bimini Capital has a common share investment in a trust used in connectio</font><font style='font-family:Arial Narrow;font-size:11pt;' >n with the issuance of Bimini Capital&#8217;s junior subordinated notes. Pursuant to ASC 810, Bimini Capital&#8217;s common share investment in the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has bee</font><font style='font-family:Arial Narrow;font-size:11pt;' >n accounted for on the equity method. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:12pt;font-weight:bold;margin-left:0pt;' >Liquidity</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >I</font><font style='font-family:Arial Narrow;font-size:11pt;' >n 2006 and 2007</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >there were significant losses incurred which were </font><font style='font-family:Arial Narrow;font-size:11pt;' >attributable to the former mortgage origination operations of MortCo</font><font style='font-family:Arial Narrow;font-size:11pt;' >. These losses</font><font style='font-family:Arial Narrow;font-size:11pt;' > significantly reduced Bimini Capital&#8217;s equity capital base and the size of its MBS portfolio when compared to pre-2006 levels. </font><font style='font-family:Arial Narrow;font-size:11pt;' >This </font><font style='font-family:Arial Narrow;font-size:11pt;' >caused the Company&#8217;s overhead to be high in relation to its portfolio size. The smaller capital base made it difficult to g</font><font style='font-family:Arial Narrow;font-size:11pt;' >enerate sufficient net interest income to cover expenses.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Beginning in 2007, the Company began a series of actions to respond to the losses and their impact on our capital base. One of these actions was to evaluate and pursue capital raising opportunitie</font><font style='font-family:Arial Narrow;font-size:11pt;' >s for Orchid. Orchid completed its initial public offering of common stock on February 20, 2013. </font><font style='font-family:Arial Narrow;font-size:11pt;' >In</font><font style='font-family:Arial Narrow;font-size:11pt;' > accordance with the management agreement between Bimini Advisors and Orchid, Bimini Advisors </font><font style='font-family:Arial Narrow;font-size:11pt;' >receives fees for managing the MBS portfolio of Orchid, and</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >certain overhead costs </font><font style='font-family:Arial Narrow;font-size:11pt;' >are allocated </font><font style='font-family:Arial Narrow;font-size:11pt;' >to Orchid on a pro rata basis commencing on July 1, 2014. As a stockholder of Orchid, Bimini Capital will share in distributions </font><font style='font-family:Arial Narrow;font-size:11pt;' >when</font><font style='font-family:Arial Narrow;font-size:11pt;' > paid by Orchid to its stockholders.</font><font style='font-family:Arial Narrow;font-size:11pt;' > These actions improved the Company&#8217;s liquidity </font><font style='font-family:Arial Narrow;font-size:11pt;' >outlook.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company had cash and cash equivalents of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$7.0</font><font style='font-family:Arial Narrow;font-size:11pt;' > million, an MBS portfolio of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$107.8</font><font style='font-family:Arial Narrow;font-size:11pt;' > million</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >and an equity capital base of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$6.4</font><font style='font-family:Arial Narrow;font-size:11pt;' > million. The Company generat</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed cash flows of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$13.2</font><font style='font-family:Arial Narrow;font-size:11pt;' > million from principal and interest payments on its MBS portfolio and approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$2.3</font><font style='font-family:Arial Narrow;font-size:11pt;' > million from retained interests in securitizations during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >. In add</font><font style='font-family:Arial Narrow;font-size:11pt;' >ition, during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company received </font><font style='font-family:Arial Narrow;font-size:11pt;' >approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$2.3</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >million </font><font style='font-family:Arial Narrow;font-size:11pt;' >in management fees and expense reimbursements as manager of Orchid and approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$1.1</font><font style='font-family:Arial Narrow;font-size:11pt;' > in dividends from its investment in Or</font><font style='font-family:Arial Narrow;font-size:11pt;' >chid</font><font style='font-family:Arial Narrow;font-size:11pt;' > common shares</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >However, if cash resources are, at any time, insufficient to satisfy the Company&#8217;s liquidity requirements, such as when cash flows from operations are materially negative, the Company may be required to pledge additional assets to me</font><font style='font-family:Arial Narrow;font-size:11pt;' >et margin calls, liquidate assets, sell additional debt or equity securities or pursue other financing alternatives. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In May 2015, Bimini Capital agreed to settle a legal action as more fully described in Note 10. </font><font style='font-family:Arial Narrow;font-size:11pt;' >In connection with the settlement and in</font><font style='font-family:Arial Narrow;font-size:11pt;' > accordance with GAAP, a loss of $3.5 million has been charged to operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;' > Although payments under the settlement agreement will reduce the Company&#8217;s liquidity, management believes that the Company will be a</font><font style='font-family:Arial Narrow;font-size:11pt;' >ble to generate sufficient cash from its operations to meet the payment obligations as they come due. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Basis of Presentation </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying unaudited </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements have been prepared in accordance with accounting principles </font><font style='font-family:Arial Narrow;font-size:11pt;' >generally accepted in the United States (&#8220;GAAP&#8221;) for interim financial information and with the instructions to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete </font><font style='font-family:Arial Narrow;font-size:11pt;' >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 fo</font><font style='font-family:Arial Narrow;font-size:11pt;' >r the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > month periods</font><font style='font-family:Arial Narrow;font-size:11pt;' > ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not </font><font style='font-family:Arial Narrow;font-size:11pt;' >necessarily indicative of the results that may be expected for the year end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ing</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >balance sheet at December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' > has been derived from the audited financial statements at that date but does not include</font><font style='font-family:Arial Narrow;font-size:11pt;' > all of the information and footnotes required by GAAP for complete </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >A</font><font style='font-family:Arial Narrow;font-size:11pt;' >nnual </font><font style='font-family:Arial Narrow;font-size:11pt;' >R</font><font style='font-family:Arial Narrow;font-size:11pt;' >eport on Form 10-K for the year ended</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Use of Estimates</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 a</font><font style='font-family:Arial Narrow;font-size:11pt;' >nd liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial</font><font style='font-family:Arial Narrow;font-size:11pt;' > statements include the fair values of MBS, investment in Orchid common shares, Eurodollar futures contracts, interest rate swaptions, retained interests, asset valuation allowances and deferred tax allowances.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Statement of Comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >(Loss) </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >Income</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In accordance with ASC Topic 220, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Comprehensive Income</font><font style='font-family:Arial Narrow;font-size:11pt;' >, a statement of comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;' >(loss) </font><font style='font-family:Arial Narrow;font-size:11pt;' >income has not been included as the Company has no items of other comprehensive income</font><font style='font-family:Arial Narrow;font-size:11pt;' > (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; Comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;' >(loss) income</font><font style='font-family:Arial Narrow;font-size:11pt;' > is the same as net </font><font style='font-family:Arial Narrow;font-size:11pt;' >(loss) income</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >f</font><font style='font-family:Arial Narrow;font-size:11pt;' >or all periods presented.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Cash and Cash Equivalents and Restricted Cash</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. </font><font style='font-family:Arial Narrow;font-size:11pt;' > At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, restricted cash consisted of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million of cash held by a broker as margin on Eurodollar futures contracts and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$2.1</font><font style='font-family:Arial Narrow;font-size:11pt;' > million of cash held on deposit as collateral with repurchase agreement counterpartie</font><font style='font-family:Arial Narrow;font-size:11pt;' >s. At December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >, restricted cash consisted of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million of cash held by a broker as margin on Eurodollar futures </font><font style='font-family:Arial Narrow;font-size:11pt;' >contracts</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.3</font><font style='font-family:Arial Narrow;font-size:11pt;' > million</font><font style='font-family:Arial Narrow;font-size:11pt;' > of cash held on deposit as collateral with repurchase agreement counterparties</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company maintains cash balances at four banks, and</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > at times, balances may exceed federally insured limits. The Company has not experienced any losses related to these ba</font><font style='font-family:Arial Narrow;font-size:11pt;' >lances. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Federal Deposit Insurance Corporation insures </font><font style='font-family:Arial Narrow;font-size:11pt;' >eligible accounts </font><font style='font-family:Arial Narrow;font-size:11pt;' >up to $250,000 per depositor at each financial institution. At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company&#8217;s cash deposits exceeded federally insured limits by approximately</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >$6.0</font><font style='font-family:Arial Narrow;font-size:11pt;' > million. R</font><font style='font-family:Arial Narrow;font-size:11pt;' >estricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >limits uninsured balances to only </font><font style='font-family:Arial Narrow;font-size:11pt;' >large, well-known bank</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > and derivative counterparties and belie</font><font style='font-family:Arial Narrow;font-size:11pt;' >ves that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Mortgage-Backed Securities</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company invests primarily in mortgage pass-through (&#8220;PT&#8221;) certificates, collateralized mor</font><font style='font-family:Arial Narrow;font-size:11pt;' >tgage obligations, </font><font style='font-family:Arial Narrow;font-size:11pt;' >and interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IO&#8221;) </font><font style='font-family:Arial Narrow;font-size:11pt;' >securities and inverse interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IIO&#8221;) securities representing interest in or obligations backed by pools of mortgage-backed loans (collectively, &#8220;MBS&#8221;). The</font><font style='font-family:Arial Narrow;font-size:11pt;' > Company has </font><font style='font-family:Arial Narrow;font-size:11pt;' >elected to account for its investment in MBS under the </font><font style='font-family:Arial Narrow;font-size:11pt;' >fair value option. Electing the fair value option </font><font style='font-family:Arial Narrow;font-size:11pt;' >requires</font><font style='font-family:Arial Narrow;font-size:11pt;' > the Company to record changes in fair value in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >statement of operations, which, in management&#8217;s view, more appropriately reflects the results of our operations for a particular rep</font><font style='font-family:Arial Narrow;font-size:11pt;' >orting period and is consistent with the underlying economics and how the portfolio is managed.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >with an offsetting liability recorded, whereas securit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >sold</font><font style='font-family:Arial Narrow;font-size:11pt;' > that have not settled as of the balance sheet date are removed from the MBS balance with an offsetting receivable recorded.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The fair value of the Company&#8217;s investment in MBS is governed by ASC</font><font style='font-family:Arial Narrow;font-size:11pt;' > Topic 820, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Fair Value Measurement</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date</font><font style='font-family:Arial Narrow;font-size:11pt;' >. 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</font><font style='font-family:Arial Narrow;font-size:11pt;' > asset or liability. Estimated fair values for MBS are based on independent pricing sources and/or third-party broker quotes, when available. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date</font><font style='font-family:Arial Narrow;font-size:11pt;' > of purchase are not amortized. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealize</font><font style='font-family:Arial Narrow;font-size:11pt;' >d gains (losses) on MBS in the c</font><font style='font-family:Arial Narrow;font-size:11pt;' >ons</font><font style='font-family:Arial Narrow;font-size:11pt;' >olidated statements of operations. </font><font style='font-family:Arial Narrow;font-size:11pt;' >For IO securities, the income is accrued based</font><font style='font-family:Arial Narrow;font-size:11pt;' > on the carrying value and the effective yield. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The difference between income accrued and the interest received on the security is characterized as a return of investment and serves </font><font style='font-family:Arial Narrow;font-size:11pt;' >to reduce the asset&#8217;s carrying value. </font><font style='font-family:Arial Narrow;font-size:11pt;' >At each reporting date, the </font><font style='font-family:Arial Narrow;font-size:11pt;' >effective yield is adjusted prospectively from the reporting period based on the new estimate </font><font style='font-family:Arial Narrow;font-size:11pt;' >of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the inde</font><font style='font-family:Arial Narrow;font-size:11pt;' >x 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.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >amount </font><font style='font-family:Arial Narrow;font-size:11pt;' >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 du</font><font style='font-family:Arial Narrow;font-size:11pt;' >ring the period.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Orchid Island Capital, Inc.</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > Common Stock</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >At the date</font><font style='font-family:Arial Narrow;font-size:11pt;' > of Orchid&#8217;s deconsolidation, the Company elected the fair value option for its continuing investment in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the c</font><font style='font-family:Arial Narrow;font-size:11pt;' >onsolidated statements of operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >six and three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >. We estimate the fair value of our investment in Orchid on a market approach using &#8220;Level 1&#8221; inputs based on the quoted market price of Orchid&#8217;s common stock.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >Electing the </font><font style='font-family:Arial Narrow;font-size:11pt;' >fair value option requires the Company to record changes in fair value in the consolidated statement</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > of operations, which, in management&#8217;s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Retained Interests in Securitizations</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >From 2004 to 2006, MortCo</font><font style='font-family:Arial Narrow;font-size:11pt;' > participated in securitization transactions as part of its mortgage origination business. Retained interests in the securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are ref</font><font style='font-family:Arial Narrow;font-size:11pt;' >lected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management&#8217;s best estimates of key assumptions, which include expected</font><font style='font-family:Arial Narrow;font-size:11pt;' > credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Derivative Financial Instruments</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company uses derivative instruments to manage interest rate risk, facilitate asset/liabil</font><font style='font-family:Arial Narrow;font-size:11pt;' >ity strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Eurodollar </font><font style='font-family:Arial Narrow;font-size:11pt;' >futures contracts and options to enter in interest rate swaps (&#8220;i</font><font style='font-family:Arial Narrow;font-size:11pt;' >nterest rate swaptions&#8221;), but it may enter into other transactions in the future. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company has elected to not treat any of its derivative financ</font><font style='font-family:Arial Narrow;font-size:11pt;' >ial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option. FASB ASC Topic 815, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Derivatives and Hedging</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires that all derivative instrument</font><font style='font-family:Arial Narrow;font-size:11pt;' >s be carried at fair value. Changes in fair value are recorded in earnings for each period.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, t</font><font style='font-family:Arial Narrow;font-size:11pt;' >he Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for unde</font><font style='font-family:Arial Narrow;font-size:11pt;' >r the terms of the agreement. To mitigate this risk, the Company uses well-established commercial banks as counterparties.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Financial Instruments</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >ASC Topic 825</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >, Financial Instruments</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires disclosure of the fair value of financial instruments for </font><font style='font-family:Arial Narrow;font-size:11pt;' >which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid Island Capital, Inc. common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in secu</font><font style='font-family:Arial Narrow;font-size:11pt;' >ritization transactions 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 13 of the consolidated financial statements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The estimated fa</font><font style='font-family:Arial Narrow;font-size:11pt;' >ir 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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2014</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > due to the short-term nature of these financial instruments. </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >It is impractical to estimate the fair value of the Company&#8217;s junior subordinated notes. Currently, there is a limited market for these types of instruments and the Company is unable to ascer</font><font style='font-family:Arial Narrow;font-size:11pt;' >tain what interest rates would be available to the Company for similar financial instruments. Information regarding carrying amount, effective interest rate and maturity date for these instruments is presented in Note 7 to the consolidated financial st</font><font style='font-family:Arial Narrow;font-size:11pt;' >atements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Property and Equipment, net</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >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 </font><font style='font-family:Arial Narrow;font-size:11pt;' >buildings and improvements with depreciable lives of 30 years. Property and equipment is recorded at acquisition cost and depreciated using the straight-line method over the estimated useful lives of the assets.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Repurchase Agreements</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company finance</font><font style='font-family:Arial Narrow;font-size:11pt;' >s the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Transfers and Servicing</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >account</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Share-Based Compensation</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 718, Compensation &#8211; Stock Compensation, to account for stock and stock-based awards. For stock and stock-based awards issued to employees, a compensation charge is recorded against earnings over the vesting </font><font style='font-family:Arial Narrow;font-size:11pt;' >period based on the fair value of the award. Payments pursuant to dividend equivalent rights, which are granted along with certain equity based awards, are charged to stockholders&#8217; equity when dividends are declared. The Company applies a zero forfeiture</font><font style='font-family:Arial Narrow;font-size:11pt;' > rate for its equity based awards, as such awards have been granted to a limited number of employees and historical forfeitures have been minimal. A significant forfeiture, or an indication that significant forfeitures may occur, would result in a revised</font><font style='font-family:Arial Narrow;font-size:11pt;' > forfeiture rate which would be accounted for prospectively as a change in an estimate. For transactions with non-employees in which services are performed in exchange for the Company&#8217;s common stock or other equity instruments, the transactions are recorde</font><font style='font-family:Arial Narrow;font-size:11pt;' >d on the basis of the fair value of the service received or the fair value of the equity instruments issued, whichever is more readily measurable at the date of </font><font style='font-family:Arial Narrow;font-size:11pt;' >issuance.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Earnings Per Share</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 260, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Earnings Pe</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >r Share</font><font style='font-family:Arial Narrow;font-size:11pt;' >, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in </font><font style='font-family:Arial Narrow;font-size:11pt;' >dividend distributions</font><font style='font-family:Arial Narrow;font-size:11pt;' > to present both basic and diluted earnings per share (&#8220;EPS&#8221;) on the face of the co</font><font style='font-family:Arial Narrow;font-size:11pt;' >nsolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Diluted EPS is calculated using the treasury stock or two-class me</font><font style='font-family:Arial Narrow;font-size:11pt;' >thod, as applicable for common stock equivalents. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Outstanding shares of Class B Common Stock, participating and convertible into Class A Common</font><font style='font-family:Arial Narrow;font-size:11pt;' > Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in </font><font style='font-family:Arial Narrow;font-size:11pt;' >the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The shares of Class&#160;C Common Stock are not included in the basic EPS computation as these shares do not have participation right</font><font style='font-family:Arial Narrow;font-size:11pt;' >s. The outstanding shares of Class B and Class&#160;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&#160;A Common Stock were not met.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Income Taxes </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Bimini </font><font style='font-family:Arial Narrow;font-size:11pt;' >Capital </font><font style='font-family:Arial Narrow;font-size:11pt;' >has elected to be taxed as a real estate investment trust (&#8220;REIT&#8221;) under the Internal Revenue Code of 1986, as amended (the &#8220;Code&#8221;). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their </font><font style='font-family:Arial Narrow;font-size:11pt;' >stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >At </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, management believes that the Company has complied with the Code requirements an</font><font style='font-family:Arial Narrow;font-size:11pt;' >d Bimini Capital continues to qualify as a REIT. </font><font style='font-family:Arial Narrow;font-size:11pt;' >As further described in Note 11, Income Taxes, </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Advisors and MortC</font><font style='font-family:Arial Narrow;font-size:11pt;' >o </font><font style='font-family:Arial Narrow;font-size:11pt;' >are </font><font style='font-family:Arial Narrow;font-size:11pt;' >taxpaying entit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies</font><font style='font-family:Arial Narrow;font-size:11pt;' > for income tax purposes and </font><font style='font-family:Arial Narrow;font-size:11pt;' >are</font><font style='font-family:Arial Narrow;font-size:11pt;' > taxed separately from </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company&#8217;s U.S. federal income ta</font><font style='font-family:Arial Narrow;font-size:11pt;' >x returns for years end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed</font><font style='font-family:Arial Narrow;font-size:11pt;' > on or after December 31, 20</font><font style='font-family:Arial Narrow;font-size:11pt;' >11</font><font style='font-family:Arial Narrow;font-size:11pt;' > 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 material</font><font style='font-family:Arial Narrow;font-size:11pt;' >ly different from the </font><font style='font-family:Arial Narrow;font-size:11pt;' >tax returns filed by the Company, and those differences could result in significant costs or benefits to the Company.</font></p><p style='text-align:center;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Income </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Taxes</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Under that guidance, the Company assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. The measurement </font><font style='font-family:Arial Narrow;font-size:11pt;' >of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Recent Accounting Pronouncements</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In June 2014, the Financial Accounting Standards Board (&#8220;FASB&#8221;) issued Accounting Standard Update (&#8220;ASU&#8221;) 2014-12, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Ac</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >hieved after the Requisite Service Period</font><font style='font-family:Arial Narrow;font-size:11pt;' >. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for inter</font><font style='font-family:Arial Narrow;font-size:11pt;' >im and annual reporting periods beginning after December 15, 2015. The ASU is not expected to materially impact the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In June 2014, the FASB issued ASU 2014-11, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Transfers and Servicing (Topic 860): Repurchase-to</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >-Maturity Transactions, Repurchase Financings, and Disclosures</font><font style='font-family:Arial Narrow;font-size:11pt;' >. ASU 2014-11 amends the accounting guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings, and requires additional disclosure about certain</font><font style='font-family:Arial Narrow;font-size:11pt;' > transactions by the transferor. ASU 2014-11 is effective for certain transactions that qualify for sales treatment for the first interim or annual period beginning after December 15, 2014. The new disclosure requirements for repurchase agreements, securit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies lending transactions and repurchase-to-maturity transactions that qualify for secured borrowing treatment is effective for annual periods beginning after December 15, 2014 and for interim periods beginning after March 15, 2015. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The adoption of this </font><font style='font-family:Arial Narrow;font-size:11pt;' >ASU</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >did not have a material impact on the Company&#8217;s consolidated financial statements.</font></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 10</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. COMMITMENTS AND CONTINGENCIES</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Litigation</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company may from time to time be involved in various lawsuits and claims, both pending and threatened, including some that it has asserted against others, in which monetary and other </font><font style='font-family:Arial Narrow;font-size:11pt;' >damages are sought. These lawsuits and claims relate primarily to contractual disputes arising out of the ordinary course of the Company&#8217;s business. The outcome of such lawsuits and claims, as well as the costs to defend them, is inherently unpredictable, </font><font style='font-family:Arial Narrow;font-size:11pt;' >and management may choose to settle certain matters based on a cost-benefit analysis.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' > A complaint by a note-holder in Preferred Term Securities XX (&#8220;PreTSL XX&#8221;) was filed on July 16, 2010 in the Supreme Court of the State of New York, New York County, ag</font><font style='font-family:Arial Narrow;font-size:11pt;' >ainst Bimini Capital, the Bank of New York Mellon (&#8220;BNY Mellon&#8221;) and Hexagon Securities LLC (&#8220;Hexagon&#8221;) and nominal defendants BNY Mellon and Preferred Term Securities XX, Ltd. (&#8220;PreTSL XX&#8221;), captioned Hildene Capital Management, LLC, et al. v. The Bank of</font><font style='font-family:Arial Narrow;font-size:11pt;' > New York Mellon, et. al. The complaint, filed by Hildene Capital Management, LLC and Hildene Opportunities Fund, Ltd. (&#8220;Hildene&#8221;), alleged that Hildene suffered losses as a result of Bimini Capital&#8217;s repurchase of all outstanding fixed/floating rate capi</font><font style='font-family:Arial Narrow;font-size:11pt;' >tal securities of Bimini Capital Trust II for less than par value from PreTSL XX in October 2009. Hildene alleged claims against BNY Mellon for breach of the Indenture, breach of fiduciary duties and breach of the covenant of good faith and fair dealing, </font><font style='font-family:Arial Narrow;font-size:11pt;' >and claims against Bimini Capital for tortious interference with contract, aiding and abetting breach of fiduciary duty, unjust enrichment and &#8220;rescission/illegality.&#8221; Hildene also alleged derivative claims brought in the name of Nominal Defendant BNY Mell</font><font style='font-family:Arial Narrow;font-size:11pt;' >on. (Subsequently, Hexagon and Nominal Defendant PreTSL XX were voluntarily dismissed without prejudice by Hildene.) PreTSL XX, Ltd. moved to intervene as an additional plaintiff in the action, and Bimini and BNY Mellon opposed that motion. The court gr</font><font style='font-family:Arial Narrow;font-size:11pt;' >anted PreTSL XX, Ltd.&#8217;s motion to intervene and the Appellate Division, First Department affirmed that decision. In May 2013, Hildene voluntarily dismissed its purported derivative claims brought in the name of BNY Mellon, including its claim for &#8220;resciss</font><font style='font-family:Arial Narrow;font-size:11pt;' >ion/illegality.&#8221; On April 14, 2014 and May 18, 2014, Stipulations of Partial Discontinuance were filed with the court that dismissed all claims between and among Hildene and BNY Mellon, and PreTSL XX and BNY Mellon. </font></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' > </font></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >On May 15, 2015, Hildene and Bimini </font><font style='font-family:Arial Narrow;font-size:11pt;' >Capital </font><font style='font-family:Arial Narrow;font-size:11pt;' >agreed</font><font style='font-family:Arial Narrow;font-size:11pt;' > to settle the case, and on July 10, 2015, a Stipulation of Discontinuance was filed dismissing all claims and counterclaims between and among Hildene and Bimini Capital. In connection with the settlement and in accordance with GAAP, a loss </font><font style='font-family:Arial Narrow;font-size:11pt;' >of $3.5 million</font><font style='font-family:Arial Narrow;font-size:11pt;' > was accrued at March 31, 2015 and</font><font style='font-family:Arial Narrow;font-size:11pt;' > has been charged to operations for the</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >six</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >included in other liabilities in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >June 30, 2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > consolidated balance sheet</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Recent Accounting Pronouncements</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In June 2014, the Financial Accounting Standards Board (&#8220;FASB&#8221;) issued Accounting Standard Update (&#8220;ASU&#8221;) 2014-12, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Ac</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >hieved after the Requisite Service Period</font><font style='font-family:Arial Narrow;font-size:11pt;' >. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for inter</font><font style='font-family:Arial Narrow;font-size:11pt;' >im and annual reporting periods beginning after December 15, 2015. The ASU is not expected to materially impact the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements.</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In June 2014, the FASB issued ASU 2014-11, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Transfers and Servicing (Topic 860): Repurchase-to</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >-Maturity Transactions, Repurchase Financings, and Disclosures</font><font style='font-family:Arial Narrow;font-size:11pt;' >. ASU 2014-11 amends the accounting guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings, and requires additional disclosure about certain</font><font style='font-family:Arial Narrow;font-size:11pt;' > transactions by the transferor. ASU 2014-11 is effective for certain transactions that qualify for sales treatment for the first interim or annual period beginning after December 15, 2014. The new disclosure requirements for repurchase agreements, securit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies lending transactions and repurchase-to-maturity transactions that qualify for secured borrowing treatment is effective for annual periods beginning after December 15, 2014 and for interim periods beginning after March 15, 2015. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The adoption of this </font><font style='font-family:Arial Narrow;font-size:11pt;' >ASU</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >did not have a material impact on the Company&#8217;s consolidated financial statements.</font></p></div> 232000 422000 12295000 0 32000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 812000 685000 0.128 0.108 P20D P15D 0.0184 0.0079 0.0145 0.0223 0.0265 0.0218 0.0165 0.0177 0.0249 0.0294 0.0172 0.0065 0.0145 0.0223 0.0265 0.0206 0.0148 0.0177 0.0249 0.0294 400000 400000 2031-12-31 2031-12-31 1400000 3200000 2200000 261500000 34100000 2025-12-31 2025-12-31 94000000 94000000 2100000 2100000 800000 1300000 EX-101.SCH 9 bmnm-20150630.xsd TAXONOMY EXTENSION SCHEMA DOCUMENT 010100 - 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Retained Interests In Securitizations (Details) - USD ($)
 6 Months Ended
Jun. 30, 2015
Dec. 31, 2014
Retained Interestes Securitzations [Line Items]    
Retained interests in securitizations $ 2,141,458 $ 1,899,684
HMAC 2004-2 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date May 10, 2004  
Retained interests in securitizations $ 216,000 320,000
HMAC 2004-3 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date June 30, 2004  
Retained interests in securitizations $ 694,000 753,000
HMAC 2004-4 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date August 16, 2004  
Retained interests in securitizations $ 368,000 496,000
HMAC 2004-5 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date September 28, 2004  
Retained interests in securitizations $ 386,000 331,000
HMAC 2006-6 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date November 17, 2004  
Retained interests in securitizations $ 477,000 $ 0
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Income Taxes - Taxable REIT Subsidiaries (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Dec. 31, 2014
Income Taxes [Line Items]          
Income tax provision (benefit) $ 271,216 $ 25,601 $ 608,311 $ (2,131,758)  
Deferred tax assets, net 1,428,754   1,428,754   $ 1,900,064
Income Taxes Paid     137,001 22,267  
MortCo TRS, LLC [Member]          
Income Taxes [Line Items]          
Deferred tax assets, net 94,000,000   94,000,000    
Valuation Allowance 94,000,000   94,000,000    
Uncertain Tax Position Prior Period Liabilty 2,100,000   2,100,000    
Uncertain Tax Position Prior Period Taxable Income     2,100,000    
Uncertain Tax Position Prior Period Payments     800,000    
Uncertain Tax Position Prior Period Reversal     1,300,000    
MortCo TRS, LLC [Member] | Federal          
Income Taxes [Line Items]          
Utilization of Net Operating Loss Carryovers       $ 261,500,000  
Operating Loss Carryforwards, Expiration Dates       Dec. 31, 2025  
Uncertain Tax Position Prior Period Taxable Income       $ 2,100,000  
Uncertain Tax Position Prior Period Payments       800,000  
Uncertain Tax Position Prior Period Reversal       1,300,000  
MortCo TRS, LLC [Member] | Florida          
Income Taxes [Line Items]          
Utilization of Net Operating Loss Carryovers       $ 34,100,000  
Operating Loss Carryforwards, Expiration Dates       Dec. 31, 2025  
Bimini Advisorsinc [Member]          
Income Taxes [Line Items]          
Income tax provision (benefit)       $ 2,200,000  
Deferred tax assets, net 1,400,000   1,400,000    
Infintite Life Intangible 3,200,000   3,200,000    
Bimini Advisorsinc [Member] | Federal          
Income Taxes [Line Items]          
Net Operating Loss Carryforwards 400,000   $ 400,000    
Operating Loss Carryforwards, Expiration Dates     Dec. 31, 2031    
Bimini Advisorsinc [Member] | Florida          
Income Taxes [Line Items]          
Net Operating Loss Carryforwards $ 400,000   $ 400,000    
Operating Loss Carryforwards, Expiration Dates     Dec. 31, 2031    
XML 16 R48.htm IDEA: XBRL DOCUMENT v3.2.0.727
Capital Stock (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Jun. 30, 2014
Class of Stock [Line Items]      
Preferred Stock, par value (in dollars per share) $ 0.001 $ 0.001  
Preferred Shares Authorized 10,000,000 10,000,000  
Designated Class A Redeemable 1,800,000 1,800,000  
Designated Class B Redeemable 2,000,000 2,000,000  
Preferred Shares Issued 0 0  
Preferred Shares Outstanding 0 0  
Preferred Stock Value $ 0 $ 0  
Common Stock Value Outstanding $ 12,410 $ 12,388  
Class A Common Stock [Member]      
Class of Stock [Line Items]      
Common Stock, par value (in dollars per share) $ 0.001 $ 0.001  
Designated Shares 98,000,000 98,000,000  
Common Shares Issued 12,346,376 12,324,391  
Common Shares Outstanding 12,346,376 12,324,391 12,295,000
Common Stock Value Outstanding $ 12,346 $ 12,324  
Class B Common Stock [Member]      
Class of Stock [Line Items]      
Common Stock, par value (in dollars per share) $ 0.001 $ 0.001  
Designated Shares 1,000,000 1,000,000  
Common Shares Issued 31,938 31,938  
Common Shares Outstanding 31,938 31,938 32,000
Common Stock Value Outstanding $ 32 $ 32  
Class C Common Stock [Member]      
Class of Stock [Line Items]      
Common Stock, par value (in dollars per share) $ 0.001 $ 0.001  
Designated Shares 1,000,000 1,000,000  
Common Shares Issued 31,938 31,938  
Common Shares Outstanding 31,938 31,938  
Common Stock Value Outstanding $ 32 $ 32  
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Earnings Per Share (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Dec. 31, 2014
Class A Common Stock [Member]          
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract]          
Net Income (Loss) Available to Common Stockholders, Basic $ (1,500,000) $ 3,321,000 $ (2,886,000) $ 5,684,000  
Net Income (Loss) Available to Common Stockholders, Diluted $ (1,500,000) $ 3,321,000 $ (2,886,000) $ 5,684,000  
Weighted Average Number of Shares Outstanding, Diluted [Abstract]          
Common Shares Outstanding 12,346,376 12,295,000 12,346,376 12,295,000 12,324,391
Unvested Dividend Eligible Shares Outstanding at the Balance Sheet Date 0 0 0 0  
Effect of Weighting 0 0 (7,000) (223,000)  
Weighted Average Shares - Basic 12,346,224 12,294,879 12,339,358 12,071,977  
Weighted Average Shares - Diluted 12,346,224 12,294,879 12,339,358 12,071,977  
Income (Loss) Per Share - Basic $ (0.12) $ 0.27 $ (0.23) $ 0.47  
Income (Loss) Pe Share - Diluted $ (0.12) $ 0.27 $ (0.23) $ 0.47  
Class B Common Stock [Member]          
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract]          
Net Income (Loss) Available to Common Stockholders, Basic $ (4,000) $ 9,000 $ (7,000) $ 15,000  
Net Income (Loss) Available to Common Stockholders, Diluted $ (4,000) $ 9,000 $ (7,000) $ 15,000  
Weighted Average Number of Shares Outstanding, Diluted [Abstract]          
Common Shares Outstanding 31,938 32,000 31,938 32,000 31,938
Effect of Weighting 0 0 0 0  
Weighted Average Shares - Basic 31,938 31,938 31,938 31,938  
Weighted Average Shares - Diluted 31,938 31,938 31,938 31,938  
Income (Loss) Per Share - Basic $ (0.12) $ 0.27 $ (0.23) $ 0.47  
Income (Loss) Pe Share - Diluted $ (0.12) $ 0.27 $ (0.23) $ 0.47  
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Offsetting Assets and Liabilties - Offsetting of Liabilties (Details) - Repurchase Agreements [Member] - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Offsetting Liabilities [Line Items]    
Gross Amount Of Recognized Liabilties $ 101,206,000 $ 109,964,000
Gross Amount Of Liabilties Offset In The Balance Sheet 0 0
Net Amount Of Liabilities Presented In The Balance Sheet 101,206,000 109,964,000
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet (99,146,000) (109,706,000)
Gross Amounts Of Cash Posted Not Offset In Balance Sheet (2,060,000) (258,000)
Net Amount Of Liabilities $ 0 $ 0
XML 20 R33.htm IDEA: XBRL DOCUMENT v3.2.0.727
Significant Accounting Policies - Liquidity (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Dec. 31, 2014
Dec. 31, 2013
Cash And Cash Equivalents At Carrying Value $ 7,009,072 $ 37,162,543 $ 7,009,072 $ 37,162,543 $ 4,699,059 $ 11,959,292
Mortgage-backed Securities Available-for-sale, Fair Value Disclosure 107,761,166   107,761,166   117,831,032  
Stockholders Equity 6,357,398   6,357,398   $ 9,201,769  
Principal and Interest Payments Received on MBS     13,200,000      
Payments received on retained interests in securitizations     2,296,806 1,842,410    
Orchid Management Fee And Overhead     2,300,000      
Orchid Dividends $ 530,099 $ 0 1,060,198 0    
Litigation Settlement Expense     $ 3,500,000 $ 0    
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Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis (Details) - Retained Interest [Member] - USD ($)
 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]    
Beginning Balance $ 1,900,000 $ 2,531,000
Gain (loss) Included in Earnings 2,539,000 2,447,000
Collections (2,298,000) (1,843,000)
Ending Balance $ 2,141,000 $ 3,135,000
XML 23 R25.htm IDEA: XBRL DOCUMENT v3.2.0.727
Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Eurodollar Futures Positions
($ in thousands)
As of June 30, 2015
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$43,0000.79%0.48%$(67)
201656,0001.45%1.04%(231)
201756,0002.23%1.81%(239)
201856,0002.65%2.23%(118)
Total / Weighted Average$53,8331.84%1.44%$(655)

($ in thousands)
As of June 30, 2015
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$26,0001.65%0.45%$(156)
201626,0001.77%1.04%(189)
201726,0002.49%1.81%(177)
201826,0002.94%2.23%(93)
Total / Weighted Average$26,0002.18%1.39%$(615)

($ in thousands)
As of December 31, 2014
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$36,5000.65%0.63%$(5)
201656,0001.45%1.54%46
201756,0002.23%2.23%(3)
201856,0002.65%2.51%(38)
Total / Weighted Average$50,4291.72%1.72%$-

($ in thousands)
As of December 31, 2014
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$26,0001.48%0.57%$(237)
201626,0001.77%1.54%(61)
201726,0002.49%2.23%(67)
201826,0002.94%2.51%(56)
Total / Weighted Average$26,0002.06%1.60%$(421)
Income Statement Effect of Derivatives [Table Text Block]
(in thousands)
ConsolidatedParent-Only
Six Months Ended June 30,2015201420152014
Eurodollar futures contracts (short positions)$(1,009)$(6,306)$(1,009)$(170)
Payer swaptions-(1,285)--
Net losses on derivative instruments$(1,009)$(7,591)$(1,009)$(170)

(in thousands)
ConsolidatedParent-Only
Three Months Ended June 30,2015201420152014
Eurodollar futures contracts (short positions)$6$(4,745)$6$(146)
Payer swaptions-(1,129)--
Net gains (losses) on derivative instruments$6$(5,874)$6$(146)
XML 24 R50.htm IDEA: XBRL DOCUMENT v3.2.0.727
Stock Incentive Plans - Descriptions of Plans (Details) - Jun. 30, 2015 - 2011 Long term Compensation Plan [Member] - Class A Common Stock [Member] - shares
Total
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]  
Maximum Number of Shares to Be Issued the Plan 4,000,000
Percentage of Outstanding Stock Limitation 10.00%
XML 25 R42.htm IDEA: XBRL DOCUMENT v3.2.0.727
Repurchase Agreements - Amounts At Risk (Details)
 6 Months Ended
Jun. 30, 2015
USD ($)
Jun. 30, 2014
Dec. 31, 2014
USD ($)
Repurchase Agreement Counterparty [Line Items]      
Amount At Risk $ 7,000,000   $ 6,700,000
Citigroup Global Markets, Inc.      
Repurchase Agreement Counterparty [Line Items]      
Amount At Risk $ 1,465,000   $ 2,532,000
Weighted Average Maturity of Repurchase Agreement in Days 14 days    
Percent of Stockholders' Equity At Risk 0.23   0.398
JVB Financial Group, LLC [Member]      
Repurchase Agreement Counterparty [Line Items]      
Amount At Risk $ 2,532,000   $ 1,807,000
Weighted Average Maturity of Repurchase Agreement in Days 10 days 8 days  
Percent of Stockholders' Equity At Risk 0.398   0.196
ED&F Man Capital Markets Inc.      
Repurchase Agreement Counterparty [Line Items]      
Amount At Risk $ 1,517,000   $ 1,490,000
Weighted Average Maturity of Repurchase Agreement in Days 33 days 22 days  
Percent of Stockholders' Equity At Risk 0.239   0.162
South Street Securities, LLC [Member]      
Repurchase Agreement Counterparty [Line Items]      
Amount At Risk $ 812,000    
Weighted Average Maturity of Repurchase Agreement in Days 20 days    
Percent of Stockholders' Equity At Risk 0.128    
CRT Capital Group, LLC [Member]      
Repurchase Agreement Counterparty [Line Items]      
Amount At Risk $ 685,000    
Weighted Average Maturity of Repurchase Agreement in Days 15 days    
Percent of Stockholders' Equity At Risk 0.108    
XML 26 R37.htm IDEA: XBRL DOCUMENT v3.2.0.727
Mortgage-Backed Securities - By Type (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value $ 107,761,166 $ 117,831,032
Total Pass Through Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 101,281,000 112,616,000
Total Strucutured Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 6,480,000 5,215,000
Hybrid Adjustable Rate Mortgages [Member] | Total Pass Through Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 121,000 442,000
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 101,160,000 112,174,000
Interest Only Securities [Member] | Total Strucutured Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 3,345,000 2,276,000
Inverse Interest Only Securities [Member] | Total Strucutured Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value $ 3,135,000 $ 2,939,000
XML 27 R52.htm IDEA: XBRL DOCUMENT v3.2.0.727
Committments - Legal Contingencies Narrative (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2015
Jun. 30, 2014
Litigation Settlement Expense   $ 3,500,000 $ 0
Bimini Capital Management Inc [Member]      
Loss Contingency, Name of Plaintiff Hildene Capital    
Loss Contingency, Domicile of Litigation New York    
Loss Contingency, Lawsuit Filing Date 7/16/2010    
XML 28 R61.htm IDEA: XBRL DOCUMENT v3.2.0.727
Related Party Transactions (Details) - USD ($)
 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Frank E. Jaumot [Member]    
Related Party Transaction [Line Items]    
Professional Fees Paid $ 52,000 $ 52,000
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Trust Preferred Securities - Narrative (Details) - USD ($)
 3 Months Ended
Jun. 30, 2015
Dec. 31, 2014
Debt Instruments [Abstract]    
Issuer Bimini Capital Trust II  
Outstanding Principal Balance $ 26,804,440 $ 26,804,440
Variable Rate Basis Three Month LIBOR  
Basis Spread on Variable Rate 3.50%  
Interest Rate at Period End 3.79%  

XML 31 R9.htm IDEA: XBRL DOCUMENT v3.2.0.727
Repurchase Agreements
 6 Months Ended
Jun. 30, 2015
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements

NOTE 4. REPURCHASE AGREEMENTS

As of June 30, 2015, the Company had outstanding repurchase agreement obligations of approximately $101.2 million with a net weighted average borrowing rate of 0.39%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $106.2 million, and cash pledged to counterparties of approximately $2.1 million. As of December 31, 2014, the Company had outstanding repurchase agreement obligations of approximately $110.0 million with a net weighted average borrowing rate of 0.36%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $116.4 million, and cash pledged to counterparties of approximately $0.3 million.

As of June 30, 2015 and December 31, 2014, the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)
OVERNIGHTBETWEEN 2BETWEEN 31GREATER
(1 DAY ORANDANDTHAN
LESS)30 DAYS90 DAYS90 DAYSTOTAL
June 30, 2015
Fair value of securities pledged, including accrued
interest receivable$-$87,826$18,377$-$106,203
Repurchase agreement liabilities associated with
these securities$-$84,939$16,267$-$101,206
Net weighted average borrowing rate- 0.38%0.43%- 0.39%
December 31, 2014
Fair value of securities pledged, including accrued
interest receivable$-$114,433$1,998$-$116,431
Repurchase agreement liabilities associated with
these securities$-$108,074$1,890$-$109,964
Net weighted average borrowing rate- 0.36%0.33%- 0.36%

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 June 30, 2015 and December 31, 2014, 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 $7.0 million and $6.7 million, respectively. Summary information regarding amounts at risk with individual counterparties greater than 10% of stockholders’ equity at June 30, 2015 and December 31, 2014 is as follows:

($ in thousands)
% ofWeighted
Stockholders'Average
AmountEquityMaturity
Repurchase Agreement Counterpartiesat Riskat Risk(in Days)
June 30, 2015
Citigroup Global Markets, Inc.$2,53239.8% 14
JVB Financial Group, LLC1,51723.9% 10
ED&F Man Capital Markets Inc.1,46523.0% 33
South Street Securities, LLC81212.8% 20
CRT Capital Group, LLC68510.8% 15
December 31, 2014
JVB Financial Group, LLC$1,80719.6% 8
ED&F Man Capital Markets Inc.1,49016.2% 22
XML 32 R62.htm IDEA: XBRL DOCUMENT v3.2.0.727
Variable Interest Entities - Noncontrolling Interest Rollforward (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Variable Interest Entity [Line Items]        
Net (Loss) Income attributable to Bimini Capital stockholders $ (1,504,479) $ 3,329,976 $ (2,893,407) $ 5,699,188
Orchid Island Capital Inc [Member]        
Variable Interest Entity [Line Items]        
Net (Loss) Income attributable to Bimini Capital stockholders       5,699,000
Increase in Bimini Capital's paid-in capital for sale of common shares of Orchid Island Capital, Inc.       (1,004,000)
Change from net loss attributable to Bimini Capital and transfers from noncontrolling interest       $ 4,695,000
Subsidiary Shares Issued       6,290,443
XML 33 R43.htm IDEA: XBRL DOCUMENT v3.2.0.727
Repurchase Agreements - Amounts At Risk - Narrative (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Disclosure of Repurchase Agreements [Abstract]    
Amount At Risk $ 7,000,000 $ 6,700,000
XML 34 R29.htm IDEA: XBRL DOCUMENT v3.2.0.727
Earnings Per Share (Tables)
 6 Months Ended
Jun. 30, 2015
Earnings Per Share [Abstract]  
Earnings Per Share
(in thousands, except per-share information)
Six Months Ended June 30,Three Months Ended June 30,
2015201420152014
Basic and diluted EPS per Class A common share:
(Loss) income attributable to Class A common shares:
Basic and diluted$(2,886)$5,684$(1,500)$3,321
Weighted average common shares:
Class A common shares outstanding at the balance sheet date12,34612,29512,34612,295
Effect of weighting (7)(223)--
Weighted average shares-basic and diluted12,33912,07212,34612,295
(Loss) income per Class A common share:
Basic and diluted$(0.23)$0.47$(0.12)$0.27

(in thousands, except per-share information)
Six Months Ended June 30,Three Months Ended June 30,
2015201420152014
Basic and diluted EPS per Class B common share:
(Loss) income attributable to Class B common shares:
Basic and diluted$(7)$15$(4)$9
Weighted average common shares:
Class B common shares outstanding at the balance sheet date32323232
Weighted average shares-basic and diluted32323232
(Loss) income per Class B common share:
Basic and diluted$(0.23)$0.47$(0.12)$0.27
XML 35 R28.htm IDEA: XBRL DOCUMENT v3.2.0.727
Stock Incentive Plans (Tables)
 6 Months Ended
Jun. 30, 2015
Employee Benefits And Share Based Compensation [Abstract]  
Share Awards [Table Text Block]
Weighted-
Average
Grant-Date
SharesFair Value
Fully vested shares granted500,000$0.38
Performance Units Table Text Block
June 30, 2015December 31, 2014
Nonvested performance units outstanding at period end31,50031,500
Weighted-average grant date fair price$1.78$1.78
Unrecognized compensation expense at period end$45,946$55,291
Weighted-average remaining vesting term (in years)2.503.00
Intrinsic value of unvested shares at period end$88,200$59,850
XML 36 R56.htm IDEA: XBRL DOCUMENT v3.2.0.727
Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities $ 107,761,166 $ 117,831,032
Eurodollar Futures Contracts 488,000 476,000
Retained Interests 2,141,000 1,900,000
Investment In Orchid 11,004,464 12,810,728
Estimate of Fair Value, Fair Value Disclosure [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 107,761,166 117,831,032
Eurodollar Futures Contracts 488,000 476,000
Retained Interests 2,141,000 1,900,000
Investment In Orchid 11,004,000 12,811,000
Fair Value, Inputs, Level 1 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 0 0
Eurodollar Futures Contracts 488,000 476,000
Retained Interests 0 0
Investment In Orchid 11,004,000 12,811,000
Fair Value, Inputs, Level 2 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 107,761,166 117,831,032
Eurodollar Futures Contracts 0 0
Retained Interests 0 0
Investment In Orchid 0 0
Fair Value, Inputs, Level 3 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 0 0
Eurodollar Futures Contracts 0 0
Retained Interests 2,141,000 1,900,000
Investment In Orchid $ 0 $ 0
XML 37 R44.htm IDEA: XBRL DOCUMENT v3.2.0.727
Derivative Financial Instruments - Eurodollar Details (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Junior Subordinated Debt [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 2.18% 2.06%
Weighted Average Effective Rate 1.39% 1.60%
Open Equity $ (615,000) $ (421,000)
Junior Subordinated Debt [Member] | Year 2015 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 1.65% 1.48%
Weighted Average Effective Rate 0.45% 0.57%
Open Equity $ (156,000) $ (237,000)
Junior Subordinated Debt [Member] | Year 2016 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 1.77% 1.77%
Weighted Average Effective Rate 1.04% 1.54%
Open Equity $ (189,000) $ (61,000)
Junior Subordinated Debt [Member] | Year 2017 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 2.49% 2.49%
Weighted Average Effective Rate 1.81% 2.23%
Open Equity $ (177,000) $ (67,000)
Junior Subordinated Debt [Member] | Year 2018 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 2.94% 2.94%
Weighted Average Effective Rate 2.23% 2.51%
Open Equity $ (93,000) $ (56,000)
Repurchase Agreements [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 53,833,000 $ 50,429,000
Entry Rate 1.84% 1.72%
Weighted Average Effective Rate 1.44% 1.72%
Open Equity $ (655,000) $ 0
Repurchase Agreements [Member] | Year 2015 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 43,000,000 $ 36,500,000
Entry Rate 0.79% 0.65%
Weighted Average Effective Rate 0.48% 0.63%
Open Equity $ (67,000) $ (5,000)
Repurchase Agreements [Member] | Year 2016 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 56,000,000 $ 56,000,000
Entry Rate 1.45% 1.45%
Weighted Average Effective Rate 1.04% 1.54%
Open Equity $ (231,000) $ 46,000
Repurchase Agreements [Member] | Year 2017 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 56,000,000 $ 56,000,000
Entry Rate 2.23% 2.23%
Weighted Average Effective Rate 1.81% 2.23%
Open Equity $ (239,000) $ (3,000)
Repurchase Agreements [Member] | Year 2018 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 56,000,000 $ 56,000,000
Entry Rate 2.65% 2.65%
Weighted Average Effective Rate 2.23% 2.51%
Open Equity $ (118,000) $ (38,000)
XML 38 R30.htm IDEA: XBRL DOCUMENT v3.2.0.727
Fair Value (Tables)
 6 Months Ended
Jun. 30, 2015
Fair Value Disclosures [Abstract]  
Assets Measured at Fair Value on Recurring Basis
(in thousands)
Quoted Prices
in ActiveSignificant
Markets forOtherSignificant
Identical ObservableUnobservable
Fair ValueAssetsInputsInputs
Measurements(Level 1)(Level 2)(Level 3)
June 30, 2015
Mortgage-backed securities$107,761$-$107,761$-
Eurodollar futures contracts488488--
Orchid Island Capital, Inc. common stock11,00411,004--
Retained interests2,141--2,141
December 31, 2014
Mortgage-backed securities$117,831$-$117,831$-
Eurodollar futures contracts476476--
Orchid Island Capital, Inc. common stock12,81112,811--
Retained interests1,900--1,900
Changes is Level 3 Assets Measured at Fair Value on a Recurring Basis
(in thousands)
Retained Interests
20152014
Balances, January 1$1,900$2,531
Gain included in earnings2,5392,447
Collections(2,298)(1,843)
Balances, June 30$2,141$3,135
Quantitative Information About Level 3 Fair Value Measurements
Retained interests fair value (in thousands)$ 2,141
CPR Range
Prepayment Assumption(Weighted Average)
Constant Prepayment Rate10% (10%)
Severity
Default AssumptionsProbability of Default(Weighted Average)Range Of Loss Timing
Real Estate Owned100%35%Next 10 Months
Loans in Foreclosure100%35% Month 4 - 13
Loans 90 Day Delinquent100%45%Month 11-28
Loans 60 Day Delinquent85%45%Month 11-28
Loans 30 Day Delinquent75%45%Month 11-28
Current Loans2.5%45%Month 29 and Beyond
Remaining Life RangeDiscount Rate Range
Cash Flow RecognitionValuation Technique(Weighted Average)(Weighted Average)
Nominal Cash FlowsDiscounted Cash Flow0.2 - 13.2 (6.5)27.50% (27.50%)
Discounted Cash FlowsDiscounted Cash Flow0.2 - 3.6 (1.0)27.50% (27.50%)
XML 39 R31.htm IDEA: XBRL DOCUMENT v3.2.0.727
Variable Interest Entities (Tables)
 6 Months Ended
Jun. 30, 2015
Variable Interest Entity [Abstract]  
Changes In Equity From Noncontrolling Interests [Table Text Block]
($ in thousands)
Net income attributable to Bimini Capital$5,699
Transfers from the noncontrolling interests
Decrease in Bimini Capital's paid-in capital for the sale of 6,290,443 common shares of Orchid
and the effect of the 24,000 shares of unvested restricted shares of Orchid(1,004)
Change from net income attributable to Bimini Capital and transfers from noncontrolling interest$4,695
Rollforward Of Noncontrolling Interest [Table Text Block]
(in thousands)
Balance, January 1, 2014$31,615
Issuance of common shares of Orchid Island Capital, Inc.76,120
Net income attributed to noncontrolling interest12,538
Amortization of Orchid Island Capital, Inc. equity plan compensation16
Cash dividends paid to noncontrolling interest(7,378)
Balance, June 30, 2014$112,911
Variable Interest Entity Income Statement [Table Text Block]
(in thousands)
Six Months EndedThree Months Ended
June 30, 2014June 30, 2014
Interest income$10,372$6,589
Interest expense(1,087)(676)
Net interest income9,2855,913
Unrealized gains on mortgage-backed securities10,1248,584
Realized gains on mortgage-backed securities3,8912,980
Losses on derivative instruments(7,421)(5,728)
Net portfolio income15,87911,749
Expenses:
Accrued incentive compensation225225
Directors' fees and liability insurance240156
Audit, legal and other professional fees245172
Direct REIT operating expenses8844
Other administrative11888
Total expenses916685
Net income$14,963$11,064
XML 40 R8.htm IDEA: XBRL DOCUMENT v3.2.0.727
Retained Interests In Securitizations
 6 Months Ended
Jun. 30, 2015
Retained Interests In Securitizations [Abstract]  
Retained Interests In Securitizations

NOTE 3. RETAINED INTERESTS IN SECURITIZATIONS

The following table summarizes the estimated fair value of the Company’s retained interests in asset backed securities as of June 30, 2015 and December 31, 2014:

(in thousands)
SeriesIssue DateJune 30, 2015December 31, 2014
HMAC 2004-2May 10, 2004$216$320
HMAC 2004-3June 30, 2004694753
HMAC 2004-4August 16, 2004368496
HMAC 2004-5September 28, 2004386331
HMAC 2004-6November 17, 2004477-
Total$2,141$1,900
XML 41 R32.htm IDEA: XBRL DOCUMENT v3.2.0.727
Significant Accounting Policies (Organization) (Details)
 6 Months Ended
Jun. 30, 2015
Orchid Island Capital Inc [Member]  
Initial Offering Period 20-Feb-13
Bimini Capital Management Inc [Member]  
Entity Incorporation, Date of Incorporation Sep. 24, 2003
Entity Incorporation, State Country Name Maryland
XML 42 R40.htm IDEA: XBRL DOCUMENT v3.2.0.727
Repurchase Agreements - Narrative (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Disclosure of Repurchase Agreements [Abstract]    
Repurchase agreements $ 101,205,930 $ 109,963,995
Repurchase Agreements Weighted Average Borrowing Rates 0.39% 0.36%
Fair Value of securities pledged, including accrued interest receivable $ 106,203,000 $ 116,431,000
Repurchase Agreement Margin $ 2,060,000 $ 258,000
XML 43 R53.htm IDEA: XBRL DOCUMENT v3.2.0.727
Income Taxes - REIT Activities (Details)
 6 Months Ended
Jun. 30, 2015
Maximum [Member]  
Tax Credit Carryforward [Line Items]  
REIT Net Operating Loss Carryover Expiration Dec. 31, 2034
Minimum [Member]  
Tax Credit Carryforward [Line Items]  
REIT Net Operating Loss Carryover Expiration Dec. 31, 2028
XML 44 R2.htm IDEA: XBRL DOCUMENT v3.2.0.727
Consolidated Balance Sheets - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Mortgage-backed securities, at fair value    
Pledged to counterparties $ 105,812,917 $ 116,026,180
Unpledged 1,948,249 1,804,852
Total mortgage-backed securities 107,761,166 117,831,032
Cash and cash equivalents 7,009,072 4,699,059
Restricted cash 2,547,550 733,660
Orchid Island Capital, Inc. common stock, at fair value 11,004,464 12,810,728
Retained interests in securitizations 2,141,458 1,899,684
Accrued interest receivable 440,267 460,326
Property and equipment, net 3,537,405 3,584,603
Deferred tax assets, net 1,428,754 1,900,064
Other assets 2,652,616 2,960,042
Total Assets 138,522,752 146,879,198
Liabilities    
Repurchase agreements 101,205,930 109,963,995
Junior subordinated notes due to Bimini Capital Trust II 26,804,440 26,804,440
Accrued interest payable 89,111 94,397
Other Liabilities 4,065,873 814,597
Total Liabilities 132,165,354 137,677,429
Stockholders' Equity    
Preferred stock 0 0
Common stock 12,410 12,388
Additional paid in capital 334,571,864 334,522,850
Accumulated deficit (328,226,876) (325,333,469)
Stockholders Equity 6,357,398 9,201,769
Total Liabilities and Stockholders' Equity $ 138,522,752 $ 146,879,198
XML 45 R45.htm IDEA: XBRL DOCUMENT v3.2.0.727
Derivative Financial Instruments - Income Statement Effect (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Derivative Instruments, Gain (Loss) [Line Items]        
(Losses) gains on derivative instruments $ 5,625 $ (5,873,958) $ (1,009,075) $ (7,590,975)
Eurodollar Future [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
(Losses) gains on derivative instruments 6,000 (4,745,000) (1,009,000) (6,306,000)
InterestRateSwaptionMember        
Derivative Instruments, Gain (Loss) [Line Items]        
(Losses) gains on derivative instruments 0 (1,129,000) 0 (1,285,000)
Parent Co [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
(Losses) gains on derivative instruments 6,000 (146,000) (1,009,000) (170,000)
Parent Co [Member] | Eurodollar Future [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
(Losses) gains on derivative instruments 6,000 (146,000) (1,009,000) (170,000)
Parent Co [Member] | InterestRateSwaptionMember        
Derivative Instruments, Gain (Loss) [Line Items]        
(Losses) gains on derivative instruments $ 0 $ 0 $ 0 $ 0
XML 46 R6.htm IDEA: XBRL DOCUMENT v3.2.0.727
Organization and Significant Accounting Policies
 6 Months Ended
Jun. 30, 2015
Accounting Policies [Abstract]  
Organization and Significant Accounting Policies

NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization and Business Description

Bimini Capital Management, Inc., a Maryland corporation (“Bimini Capital”), was formed in September 2003 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (“MBS”). Bimini Capital has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). As a REIT, Bimini Capital is generally not subject to federal income tax on its REIT taxable income provided that it distributes to its stockholders at least 90% of its REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its special tax status. Bimini Capital’s website is located at http://www.biminicapital.com.

On February 20, 2013, Orchid Island Capital, Inc. (“Orchid”) completed the initial public offering (“IPO”) of its common stock. Prior to the completion of its IPO, Orchid was a wholly-owned qualified REIT subsidiary of Bimini Capital. Since Orchid’s IPO and until December 31, 2014, Orchid was consolidated as a variable interest entity (“VIE”). Effective December 31, 2014, Orchid was deconsolidated.

As used in this document, discussions related to REIT qualifying activities include the MBS portfolios of both Bimini Capital and Orchid for 2014, and only the MBS portfolio of Bimini Capital for 2015. Discussions related to the “Company” refer to the consolidated entity, including Bimini Capital, our wholly-owned subsidiaries, and, through December 31, 2014, our VIE. References to “Bimini Capital” and the “parent” refer to Bimini Capital Management, Inc. as a separate entity. Discussions related to Bimini Capital’s taxable REIT subsidiaries or non-REIT eligible assets refer to Bimini Advisors, Inc. and its wholly-owned subsidiary, Bimini Advisors, LLC (together “Bimini Advisors”), and MortCo TRS, LLC and its consolidated subsidiaries (“MortCo”).

Consolidation

The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors and MortCo. The accounts of Orchid are included in the consolidated statements of operations for the six and three months ended June 30, 2014, and in the statement of cash flows for the six months ended June 30, 2014. All inter-company accounts and transactions have been eliminated from the consolidated financial statements.

Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 810, Consolidation, requires the consolidation of a VIE by an enterprise if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE, an ongoing assessment of whether an enterprise is the primary beneficiary of a VIE, and additional disclosures for entities that have variable interests in VIEs.

From the effective date of Orchid’s IPO and until December 31, 2014, management concluded, pursuant to ASC 810, that Orchid was a VIE. As a result, subsequent to Orchid’s IPO and until December 31, 2014, the Company consolidated Orchid in its financial statements. The results of operations of Orchid were included in the Company’s 2014 consolidated statements of operations and cash flows, however, net income attributable to Bimini Capital stockholders did not include the portion of net income attributable to noncontrolling interests.

In December 2014, management re-evaluated the conditions resulting in the consolidation of Orchid and concluded that, due to Bimini’s decreased percentage ownership interest in Orchid, there was no longer a variable interest requiring consolidation. As a result, in accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014. However, as a VIE which was deconsolidated on December 31, 2014, Orchid’s results of operations were included in the consolidated statements of operations and cash flows through December 31, 2014, and are excluded in subsequent periods.

Assets recognized as a result of consolidating Orchid in prior periods did not represent additional assets that could be used to satisfy claims against Bimini Capital’s assts. Conversely, liabilities recognized as a result of consolidating Orchid did not represent additional claims on Bimini Capital’s assets; rather, they represented claims against the assets of Orchid. Creditors and stockholders of Orchid have no recourse to the assets of Bimini Capital.

As further described in Note 7, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital’s junior subordinated notes. Pursuant to ASC 810, Bimini Capital’s common share investment in the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity method.

Liquidity

In 2006 and 2007, there were significant losses incurred which were attributable to the former mortgage origination operations of MortCo. These losses significantly reduced Bimini Capital’s equity capital base and the size of its MBS portfolio when compared to pre-2006 levels. This caused the Company’s overhead to be high in relation to its portfolio size. The smaller capital base made it difficult to generate sufficient net interest income to cover expenses.

Beginning in 2007, the Company began a series of actions to respond to the losses and their impact on our capital base. One of these actions was to evaluate and pursue capital raising opportunities for Orchid. Orchid completed its initial public offering of common stock on February 20, 2013. In accordance with the management agreement between Bimini Advisors and Orchid, Bimini Advisors receives fees for managing the MBS portfolio of Orchid, and certain overhead costs are allocated to Orchid on a pro rata basis commencing on July 1, 2014. As a stockholder of Orchid, Bimini Capital will share in distributions when paid by Orchid to its stockholders. These actions improved the Company’s liquidity outlook.

At June 30, 2015, the Company had cash and cash equivalents of approximately $7.0 million, an MBS portfolio of approximately $107.8 million and an equity capital base of approximately $6.4 million. The Company generated cash flows of approximately $13.2 million from principal and interest payments on its MBS portfolio and approximately $2.3 million from retained interests in securitizations during the six months ended June 30, 2015. In addition, during the six months ended June 30, 2015, the Company received approximately $2.3 million in management fees and expense reimbursements as manager of Orchid and approximately $1.1 in dividends from its investment in Orchid common shares. However, if cash resources are, at any time, insufficient to satisfy the Company’s liquidity requirements, such as when cash flows from operations are materially negative, the Company may be required to pledge additional assets to meet margin calls, liquidate assets, sell additional debt or equity securities or pursue other financing alternatives.

In May 2015, Bimini Capital agreed to settle a legal action as more fully described in Note 10. In connection with the settlement and in accordance with GAAP, a loss of $3.5 million has been charged to operations for the six months ended June 30, 2015. Although payments under the settlement agreement will reduce the Company’s liquidity, management believes that the Company will be able to generate sufficient cash from its operations to meet the payment obligations as they come due.

Basis of Presentation

The accompanying unaudited 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 do 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 six and three month periods ended June 30, 2015 are not necessarily indicative of the results that may be expected for the year ending December 31, 2015.

The consolidated balance sheet at December 31, 2014 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, 2014.

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 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 the fair values of MBS, investment in Orchid common shares, Eurodollar futures contracts, interest rate swaptions, retained interests, asset valuation allowances and deferred tax allowances.

Statement of Comprehensive (Loss) Income

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

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 of three months or less at the time of purchase. At June 30, 2015, restricted cash consisted of approximately $0.5 million of cash held by a broker as margin on Eurodollar futures contracts and $2.1 million of cash held on deposit as collateral with repurchase agreement counterparties. At December 31, 2014, restricted cash consisted of approximately $0.5 million of cash held by a broker as margin on Eurodollar futures contracts and $0.3 million of cash held on deposit as collateral with repurchase agreement counterparties.

The Company maintains cash balances at four banks, and, 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. At June 30, 2015, the Company’s cash deposits exceeded federally insured limits by approximately $6.0 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known banks and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.

Mortgage-Backed Securities

The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of mortgage-backed loans (collectively, “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 our 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.

The fair value of the Company’s investment in MBS is governed by ASC Topic 820, Fair Value Measurement.  The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on 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 (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 of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security. For 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

At the date of Orchid’s deconsolidation, the Company elected the fair value option for its continuing investment in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations for the six and three months ended June 30, 2015. We estimate the fair value of our investment in Orchid on a market approach using “Level 1” inputs based on the quoted market price of Orchid’s common stock. Electing the fair value option requires the Company to record changes in fair value in the consolidated statements of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.

Retained Interests in Securitizations

From 2004 to 2006, MortCo participated in securitization transactions as part of its mortgage origination business. Retained interests in the securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management’s best estimates of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.

Derivative Financial Instruments

The Company uses 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 to date are Eurodollar futures contracts and options to enter in interest rate swaps (“interest rate swaptions”), but it may enter into other transactions in the future.

The Company has elected to not treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option. FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period.

Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In 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. To mitigate this risk, the Company uses well-established commercial banks as counterparties.

Financial Instruments

ASC Topic 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid Island Capital, Inc. common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in securitization transactions 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 13 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 June 30, 2015 and December 31, 2014, 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. Information regarding carrying amount, effective interest rate and maturity date for 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 buildings and improvements with depreciable lives of 30 years. Property and equipment is recorded at acquisition cost and depreciated using the straight-line method over the estimated useful lives of the assets.

Repurchase Agreements

The Company finances the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

Share-Based Compensation

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

Earnings Per Share

The Company follows the provisions of ASC Topic 260, Earnings Per Share, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in dividend distributions to present both basic and diluted earnings per share (“EPS”) on the face of the consolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. Diluted EPS is calculated using the 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 on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.

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

Income Taxes

Bimini Capital has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. At June 30, 2015, management believes that the Company has complied with the Code requirements and Bimini Capital continues to qualify as a REIT. As further described in Note 11, Income Taxes, Bimini Advisors and MortCo are taxpaying entities for income tax purposes and are taxed separately from Bimini Capital.

The Company’s U.S. federal income tax returns for years ended on or after December 31, 2011 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.

The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, Income Taxes. Under that guidance, the Company assesses the likelihood, based on their technical merit, that 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.

Recent Accounting Pronouncements

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standard Update (“ASU”) 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The ASU is not expected to materially impact the Company’s consolidated financial statements.

In June 2014, the FASB issued ASU 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. ASU 2014-11 amends the accounting guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings, and requires additional disclosure about certain transactions by the transferor. ASU 2014-11 is effective for certain transactions that qualify for sales treatment for the first interim or annual period beginning after December 15, 2014. The new disclosure requirements for repurchase agreements, securities lending transactions and repurchase-to-maturity transactions that qualify for secured borrowing treatment is effective for annual periods beginning after December 15, 2014 and for interim periods beginning after March 15, 2015. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.
XML 47 R59.htm IDEA: XBRL DOCUMENT v3.2.0.727
Quantitative Information About Level 3 Fair Value Measurements - Default Assumptions (Details) - 6 months ended Jun. 30, 2015 - Retained Interest [Member]
Total
Real Estate Owned [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 100.00%
Range Of Loss Timining Next 10 Months
Real Estate Owned [Member] | Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 35.00%
Real Estate Owned [Member] | Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 35.00%
Real Estate Owned [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 35.00%
Loans In Foreclosure [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 100.00%
Range Of Loss Timining Month 4 - 13
Loans In Foreclosure [Member] | Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 35.00%
Loans In Foreclosure [Member] | Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 35.00%
Loans In Foreclosure [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 35.00%
Loans 90 Days Delinquent [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 100.00%
Range Of Loss Timining Month 11-28
Loans 90 Days Delinquent [Member] | Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 90 Days Delinquent [Member] | Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 90 Days Delinquent [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 60 Days Delinquent [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 85.00%
Range Of Loss Timining Month 11-28
Loans 60 Days Delinquent [Member] | Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 60 Days Delinquent [Member] | Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 60 Days Delinquent [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 30 Days Delinquent [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 75.00%
Range Of Loss Timining Month 11-28
Loans 30 Days Delinquent [Member] | Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 30 Days Delinquent [Member] | Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 30 Days Delinquent [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Current Loans [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Range Of Loss Timining Month 29 and Beyond
Current Loans [Member] | Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 2.50%
Loss Severity Range 45.00%
Current Loans [Member] | Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 2.50%
Loss Severity Range 45.00%
Current Loans [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
XML 48 R35.htm IDEA: XBRL DOCUMENT v3.2.0.727
Significant Accounting Policies - Cash (Details) - USD ($)
 6 Months Ended
Jun. 30, 2015
Dec. 31, 2014
Accounting Policies [Abstract]    
Repurchase Agreement Margin $ 2,060,000 $ 258,000
Cash Held by Broker as Margin on Eurodollar Futures Contracts 488,000 $ 476,000
Uninsured Cash 6,000,000  
Federal Deposit Insurance Corporation Per Depositor Limit $ 250,000  
XML 49 R22.htm IDEA: XBRL DOCUMENT v3.2.0.727
Mortgage-Backed Securities (Tables)
 6 Months Ended
Jun. 30, 2015
Mortgage Backed Securities [Abstract]  
Schedule of Mortgage-Backed Securities Reconciliation
(in thousands)
June 30, 2015December 31, 2014
Pass-Through MBS:
Hybrid Adjustable-rate Mortgages $121$442
Fixed-rate Mortgages 101,160112,174
Total Pass-Through MBS101,281112,616
Structured MBS:
Interest-Only Securities3,3452,276
Inverse Interest-Only Securities3,1352,939
Total Structured MBS6,4805,215
Total$107,761$117,831
Schedule Of Mortgage-Backed Securities by Contractual Maturity
(in thousands)
June 30, 2015December 31, 2014
Greater than five years and less than ten years $10$16
Greater than or equal to ten years107,751117,815
Total$107,761$117,831
XML 50 R36.htm IDEA: XBRL DOCUMENT v3.2.0.727
Significant Accounting Policies - Income Taxes (Details) - 6 months ended Jun. 30, 2015
Total
Accounting Policies [Abstract]  
Earliest Tax Year Open to Examination 2011
Required Annual Distribution Of Taxable Income 90.00%
XML 51 R24.htm IDEA: XBRL DOCUMENT v3.2.0.727
Repurchase Agreements (Tables)
 6 Months Ended
Jun. 30, 2015
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements
($ in thousands)
OVERNIGHTBETWEEN 2BETWEEN 31GREATER
(1 DAY ORANDANDTHAN
LESS)30 DAYS90 DAYS90 DAYSTOTAL
June 30, 2015
Fair value of securities pledged, including accrued
interest receivable$-$87,826$18,377$-$106,203
Repurchase agreement liabilities associated with
these securities$-$84,939$16,267$-$101,206
Net weighted average borrowing rate- 0.38%0.43%- 0.39%
December 31, 2014
Fair value of securities pledged, including accrued
interest receivable$-$114,433$1,998$-$116,431
Repurchase agreement liabilities associated with
these securities$-$108,074$1,890$-$109,964
Net weighted average borrowing rate- 0.36%0.33%- 0.36%
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets
($ in thousands)
% ofWeighted
Stockholders'Average
AmountEquityMaturity
Repurchase Agreement Counterpartiesat Riskat Risk(in Days)
June 30, 2015
Citigroup Global Markets, Inc.$2,53239.8% 14
JVB Financial Group, LLC1,51723.9% 10
ED&F Man Capital Markets Inc.1,46523.0% 33
South Street Securities, LLC81212.8% 20
CRT Capital Group, LLC68510.8% 15
December 31, 2014
JVB Financial Group, LLC$1,80719.6% 8
ED&F Man Capital Markets Inc.1,49016.2% 22
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Mortgage Backed Securities
 6 Months Ended
Jun. 30, 2015
Mortgage Backed Securities [Abstract]  
Mortgage-Backed Securities

NOTE 2. MORTGAGE-BACKED SECURITIES

The following table presents the Company’s MBS portfolio as of June 30, 2015 and December 31, 2014:

(in thousands)
June 30, 2015December 31, 2014
Pass-Through MBS:
Hybrid Adjustable-rate Mortgages $121$442
Fixed-rate Mortgages 101,160112,174
Total Pass-Through MBS101,281112,616
Structured MBS:
Interest-Only Securities3,3452,276
Inverse Interest-Only Securities3,1352,939
Total Structured MBS6,4805,215
Total$107,761$117,831

The following table summarizes the Company’s MBS portfolio as of June 30, 2015 and December 31, 2014, according to the contractual maturities of the securities in the portfolio. Actual maturities of MBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

(in thousands)
June 30, 2015December 31, 2014
Greater than five years and less than ten years $10$16
Greater than or equal to ten years107,751117,815
Total$107,761$117,831
XML 54 R3.htm IDEA: XBRL DOCUMENT v3.2.0.727
Consolidated Statements of Operations - Entity [Domain] - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Portfolio Income        
Interest income $ 1,074,122 $ 7,119,482 $ 2,281,256 $ 11,235,494
Interest expense 98,142 728,277 198,334 1,182,616
Net interest income, before interest on junior subordinated notes 975,980 6,391,205 2,082,922 10,052,878
Interest expense on junior subordinated notes 247,988 245,334 491,461 488,517
Net interest income 727,992 6,145,871 1,591,461 9,564,361
Unrealized (losses) gains on mortgage-backed securities (1,026,695) 9,698,117 (197,399) 11,266,428
Realized gains on mortgage-backed securities 0 2,980,121 0 4,049,477
(Losses) gains on derivative instruments 5,625 (5,873,958) (1,009,075) (7,590,975)
Net portfolio income (loss) (293,078) 12,950,151 384,987 17,289,291
Other income:        
Gains on retained interests in securitizations 1,052,824 2,252,897 2,538,580 2,446,586
Unrealized losses on Orchid Island Capital, Inc. common stock (1,992,780) 0 (1,806,264) 0
Orchid Island Capital, Inc. dividends 530,099 0 1,060,198 0
Management fees 1,013,900 0 1,868,700 0
Other expense, net (10,174) (10,125) (22,153) (20,253)
Total other income 593,869 2,242,772 3,639,061 2,426,333
Expenses        
Compensation and related benefits 594,653 911,134 1,263,444 1,357,307
Directors fees and liability insurance 174,937 302,950 342,703 543,512
Audit, legal and other professional fees 712,674 688,541 1,047,451 1,088,791
Direct REIT operating expenses 18,055 114,133 36,858 229,316
Settlement of litigation     3,500,000 0
Other administrative expenses 33,735 236,354 118,688 391,075
Total expenses 1,534,054 2,253,112 6,309,144 3,610,001
Net (loss) income before income tax provision (benefit) (1,233,263) 12,939,811 (2,285,096) 16,105,623
Income tax provision (benefit) 271,216 25,601 608,311 (2,131,758)
Net (loss) income (1,504,479) 12,914,210 (2,893,407) 18,237,381
Less: income attributable to noncontrolling interests 0 9,584,234 0 12,538,193
Net (Loss) Income attributable to Bimini Capital stockholders $ (1,504,479) $ 3,329,976 $ (2,893,407) $ 5,699,188
Class A Common Stock [Member]        
Basic and Diluted Net (Loss) Income Per Share of:        
Basic $ (0.12) $ 0.27 $ (0.23) $ 0.47
Diluted $ (0.12) $ 0.27 $ (0.23) $ 0.47
Weighted Average Shares Outstanding        
Weighted Average Number Of Basic Shares Outstanding 12,346,224 12,294,879 12,339,358 12,071,977
Weighted Average Number Of Diluted Shares Outstanding 12,346,224 12,294,879 12,339,358 12,071,977
Class B Common Stock [Member]        
Basic and Diluted Net (Loss) Income Per Share of:        
Basic $ (0.12) $ 0.27 $ (0.23) $ 0.47
Diluted $ (0.12) $ 0.27 $ (0.23) $ 0.47
Weighted Average Shares Outstanding        
Weighted Average Number Of Basic Shares Outstanding 31,938 31,938 31,938 31,938
Weighted Average Number Of Diluted Shares Outstanding 31,938 31,938 31,938 31,938
XML 55 R17.htm IDEA: XBRL DOCUMENT v3.2.0.727
Earnings Per Share
 6 Months Ended
Jun. 30, 2015
Earnings Per Share [Abstract]  
Earnings Per Share

NOTE 12. EARNINGS PER SHARE

Shares of Class B Common Stock, participating and convertible into Class A Common Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, and when, authorized and declared by the Board of Directors. Following the provisions of FASB ASC 260, the Class B Common Stock is included in the computation of basic EPS using the two-class method, and consequently is presented separately from Class A Common Stock. 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 June 30, 2015 and 2014.

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 June 30, 2015 and 2014.

The Company has dividend eligible stock incentive plan shares that were outstanding during the six and three months ended June 30, 2015. The basic and diluted per share computations include these unvested incentive plan shares if there is income available to Class A Common Stock, as they have dividend participation rights. The stock incentive plan shares have no contractual obligation to share in losses. Because there is no such obligation, the incentive plan shares are not included in the basic and diluted EPS computations when no income is available to Class A Common Stock even though they are considered participating securities.

The table below reconciles the numerator and denominator of EPS for the six and three months ended June 30, 2015 and 2014.

(in thousands, except per-share information)
Six Months Ended June 30,Three Months Ended June 30,
2015201420152014
Basic and diluted EPS per Class A common share:
(Loss) income attributable to Class A common shares:
Basic and diluted$(2,886)$5,684$(1,500)$3,321
Weighted average common shares:
Class A common shares outstanding at the balance sheet date12,34612,29512,34612,295
Effect of weighting (7)(223)--
Weighted average shares-basic and diluted12,33912,07212,34612,295
(Loss) income per Class A common share:
Basic and diluted$(0.23)$0.47$(0.12)$0.27

(in thousands, except per-share information)
Six Months Ended June 30,Three Months Ended June 30,
2015201420152014
Basic and diluted EPS per Class B common share:
(Loss) income attributable to Class B common shares:
Basic and diluted$(7)$15$(4)$9
Weighted average common shares:
Class B common shares outstanding at the balance sheet date32323232
Weighted average shares-basic and diluted32323232
(Loss) income per Class B common share:
Basic and diluted$(0.23)$0.47$(0.12)$0.27
XML 56 R1.htm IDEA: XBRL DOCUMENT v3.2.0.727
Document and Entity Information - shares
 3 Months Ended
Jun. 30, 2015
Aug. 05, 2015
Document Type 10-Q  
Amendment Flag false  
Document Period End Date Jun. 30, 2015  
Document Fiscal Year Focus 2015  
Document Fiscal Period Focus Q2  
Entity Registrant Name Bimini Capital Management, Inc.  
Entity Central Index Key 0001275477  
Entity Current Reporting Status Yes  
Entity Voluntary Filers No  
Current Fiscal Year End Date --12-31  
Entity Filer Category Smaller Reporting Company  
Entity Well Known Seasoned Issuer No  
Trading Symbol BMNM  
Class A Common Stock [Member]    
Entity Common Stock Shares Outstanding   12,355,045
Class B Common Stock [Member]    
Entity Common Stock Shares Outstanding   31,938
Class C Common Stock [Member]    
Entity Common Stock Shares Outstanding   31,938
XML 57 R18.htm IDEA: XBRL DOCUMENT v3.2.0.727
Fair Value
 6 Months Ended
Jun. 30, 2015
Fair Value Disclosures [Abstract]  
Fair Value

NOTE 13. FAIR VALUE

Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry 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.

The Company’s MBS 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, when available. 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. Alternatively, the Company could opt to have the value of all of our MBS positions determined by either an independent third-party or do so internally.

MBS, retained interests, Eurodollar futures contracts, Orchid common stock and interest rate swaptions were recorded at fair value on a recurring basis during the six and three months ended June 30, 2015 and 2014. 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. Fair value measurements for the retained interests are generated by a model that requires management to make a significant number of assumptions.

The following table presents financial assets and liabilities measured at fair value on a recurring basis as of June 30, 2015 and December 31, 2014:

(in thousands)
Quoted Prices
in ActiveSignificant
Markets forOtherSignificant
Identical ObservableUnobservable
Fair ValueAssetsInputsInputs
Measurements(Level 1)(Level 2)(Level 3)
June 30, 2015
Mortgage-backed securities$107,761$-$107,761$-
Eurodollar futures contracts488488--
Orchid Island Capital, Inc. common stock11,00411,004--
Retained interests2,141--2,141
December 31, 2014
Mortgage-backed securities$117,831$-$117,831$-
Eurodollar futures contracts476476--
Orchid Island Capital, Inc. common stock12,81112,811--
Retained interests1,900--1,900

The following table illustrates a roll forward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the six months ended June 30, 2015 and 2014:

(in thousands)
Retained Interests
20152014
Balances, January 1$1,900$2,531
Gain included in earnings2,5392,447
Collections(2,298)(1,843)
Balances, June 30$2,141$3,135

During the six months ended June 30, 2015 and 2014, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

Our retained interests are valued based on a discounted cash flow approach. These values are sensitive to changes in unobservable inputs, including: estimated prepayment speeds, default rates and loss severity, weighted-average life, and discount rates. Significant increases or decreases in any of these inputs may result in significantly different fair value measurements.

The following table summarizes the significant quantitative information about our level 3 fair value measurements as of June 30, 2015.

Retained interests fair value (in thousands)$ 2,141
CPR Range
Prepayment Assumption(Weighted Average)
Constant Prepayment Rate10% (10%)
Severity
Default AssumptionsProbability of Default(Weighted Average)Range Of Loss Timing
Real Estate Owned100%35%Next 10 Months
Loans in Foreclosure100%35% Month 4 - 13
Loans 90 Day Delinquent100%45%Month 11-28
Loans 60 Day Delinquent85%45%Month 11-28
Loans 30 Day Delinquent75%45%Month 11-28
Current Loans2.5%45%Month 29 and Beyond
Remaining Life RangeDiscount Rate Range
Cash Flow RecognitionValuation Technique(Weighted Average)(Weighted Average)
Nominal Cash FlowsDiscounted Cash Flow0.2 - 13.2 (6.5)27.50% (27.50%)
Discounted Cash FlowsDiscounted Cash Flow0.2 - 3.6 (1.0)27.50% (27.50%)
XML 58 R4.htm IDEA: XBRL DOCUMENT v3.2.0.727
Consolidated Statement of Stockholders' Equity - 6 months ended Jun. 30, 2015 - USD ($)
Total
Common Stock [Member]
Additional Paid In Capital [Member]
Retained Earnings [Member]
Beginning Balances at Dec. 31, 2014 $ 9,201,769 $ 12,388 $ 334,522,850 $ (325,333,469)
Increase (Decrease) in Stockholders' Equity        
Net income (2,893,407) 0 0 (2,893,407)
Issuance of Class A common shares for equity plan exercises 39,691 22 39,669 0
Amortization of equity plan compensation 9,345 0 9,345 0
Ending Balances at Jun. 30, 2015 $ 6,357,398 $ 12,410 $ 334,571,864 $ (328,226,876)
XML 59 R12.htm IDEA: XBRL DOCUMENT v3.2.0.727
Trust Preferred Securities
 6 Months Ended
Jun. 30, 2015
Trust Preferred Securities [Abstract]  
Trust Preferred Securities

NOTE 7. TRUST PREFERRED SECURITIES

During 2005, Bimini Capital sponsored the formation of a statutory trust, known as Bimini Capital Trust II (“BCTII”) of which 100% of 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 June 30, 2015 and December 31, 2014, 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 of 3.50% over the prevailing three-month LIBOR rate. As of June 30, 2015, the interest rate was 3.79%. The BCTII trust preferred securities and Bimini Capital's BCTII Junior Subordinated Notes require quarterly interest distributions and became redeemable at Bimini Capital's option, in whole or in part and without penalty, beginning December 15, 2010. Bimini Capital's BCTII Junior Subordinated Notes are subordinate and junior in right of payment of all present and future senior indebtedness.

BCTII is a VIE because the holders of the equity investment at risk do not have adequate 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.

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.
XML 60 R11.htm IDEA: XBRL DOCUMENT v3.2.0.727
Offsetting Assets and Liabilities
 6 Months Ended
Jun. 30, 2015
Offsetting [Abstract]  
Offsetting Assets And Liabilities [Text Block]

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 table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2015 and December 31, 2014.

(in thousands)
Offsetting of Liabilities
Gross Amount Not Offset in the
Net AmountConsolidated Balance Sheet
Gross Amountof LiabilitiesFinancial
Gross AmountOffset in thePresented in theInstrumentsCash
of RecognizedConsolidatedConsolidatedPosted asPosted asNet
LiabilitiesBalance SheetBalance SheetCollateralCollateralAmount
June 30, 2015
Repurchase Agreements$101,206$-$101,206$(99,146)$(2,060)$-
December 31, 2014
Repurchase Agreements$109,964$-$109,964$(109,706)$(258)$-

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 in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Notes 4 and 5 for a discussion of collateral posted for, or received against, repurchase obligations and derivative instruments.
XML 61 R23.htm IDEA: XBRL DOCUMENT v3.2.0.727
Retained Interests In Securitizations (Tables)
 6 Months Ended
Jun. 30, 2015
Retained Interests In Securitizations [Abstract]  
Schedule of Retained Interests In Securitizations
(in thousands)
SeriesIssue DateJune 30, 2015December 31, 2014
HMAC 2004-2May 10, 2004$216$320
HMAC 2004-3June 30, 2004694753
HMAC 2004-4August 16, 2004368496
HMAC 2004-5September 28, 2004386331
HMAC 2004-6November 17, 2004477-
Total$2,141$1,900
XML 62 R19.htm IDEA: XBRL DOCUMENT v3.2.0.727
Related Party Transactions
 6 Months Ended
Jun. 30, 2015
Related Party Transactions [Abstract]  
Related Party Transactions

NOTE 14. RELATED PARTY TRANSACTIONS

Frank E. Jaumot is a shareholder in an accounting firm from which the Company receives accounting and tax services. Mr. Jaumot is both a director and a shareholder of Bimini Capital and a shareholder of Orchid. Professional fees incurred with this firm were $52,000 for the six months ended June 30, 2015 and $52,000 for the six months ended June 30, 2014.
XML 63 R15.htm IDEA: XBRL DOCUMENT v3.2.0.727
Commitments and Contingencies
 6 Months Ended
Jun. 30, 2015
Commitments And Contingencies Disclosure [Abstract]  
Commitments And Contingencies

NOTE 10. COMMITMENTS AND CONTINGENCIES

Litigation

The Company may from time to time be involved in various lawsuits and claims, both pending and threatened, including some that it has asserted against others, in which monetary and other damages are sought. These lawsuits and claims relate primarily to contractual disputes arising out of the ordinary course of the Company’s business. The outcome of such lawsuits and claims, as well as the costs to defend them, is inherently unpredictable, and management may choose to settle certain matters based on a cost-benefit analysis.

A complaint by a note-holder in Preferred Term Securities XX (“PreTSL XX”) was filed on July 16, 2010 in the Supreme Court of the State of New York, New York County, against Bimini Capital, the Bank of New York Mellon (“BNY Mellon”) and Hexagon Securities LLC (“Hexagon”) and nominal defendants BNY Mellon and Preferred Term Securities XX, Ltd. (“PreTSL XX”), captioned Hildene Capital Management, LLC, et al. v. The Bank of New York Mellon, et. al. The complaint, filed by Hildene Capital Management, LLC and Hildene Opportunities Fund, Ltd. (“Hildene”), alleged that Hildene suffered losses as a result of Bimini Capital’s repurchase of all outstanding fixed/floating rate capital securities of Bimini Capital Trust II for less than par value from PreTSL XX in October 2009. Hildene alleged claims against BNY Mellon for breach of the Indenture, breach of fiduciary duties and breach of the covenant of good faith and fair dealing, and claims against Bimini Capital for tortious interference with contract, aiding and abetting breach of fiduciary duty, unjust enrichment and “rescission/illegality.” Hildene also alleged derivative claims brought in the name of Nominal Defendant BNY Mellon. (Subsequently, Hexagon and Nominal Defendant PreTSL XX were voluntarily dismissed without prejudice by Hildene.) PreTSL XX, Ltd. moved to intervene as an additional plaintiff in the action, and Bimini and BNY Mellon opposed that motion. The court granted PreTSL XX, Ltd.’s motion to intervene and the Appellate Division, First Department affirmed that decision. In May 2013, Hildene voluntarily dismissed its purported derivative claims brought in the name of BNY Mellon, including its claim for “rescission/illegality.” On April 14, 2014 and May 18, 2014, Stipulations of Partial Discontinuance were filed with the court that dismissed all claims between and among Hildene and BNY Mellon, and PreTSL XX and BNY Mellon.

On May 15, 2015, Hildene and Bimini Capital agreed to settle the case, and on July 10, 2015, a Stipulation of Discontinuance was filed dismissing all claims and counterclaims between and among Hildene and Bimini Capital. In connection with the settlement and in accordance with GAAP, a loss of $3.5 million was accrued at March 31, 2015 and has been charged to operations for the six months ended June 30, 2015 and included in other liabilities in the June 30, 2015 consolidated balance sheet.
XML 64 R60.htm IDEA: XBRL DOCUMENT v3.2.0.727
Quantitative Information About Level 3 Fair Value Measurements - Cash Flow Recognition (Details) - 6 months ended Jun. 30, 2015
Total
Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Valuation Technique Discounted Cash Flow
Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Valuation Technique Discounted Cash Flow
Maximum [Member] | Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 13.2
Fair Value Inputs Discount Rate 27.50%
Maximum [Member] | Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 3.6
Fair Value Inputs Discount Rate 27.50%
Minimum [Member] | Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 0.2
Fair Value Inputs Discount Rate 27.50%
Minimum [Member] | Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 0.2
Fair Value Inputs Discount Rate 27.50%
Weighted Average [Member] | Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 6.5
Fair Value Inputs Discount Rate 27.50%
Weighted Average [Member] | Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 1
Fair Value Inputs Discount Rate 27.50%
XML 65 R13.htm IDEA: XBRL DOCUMENT v3.2.0.727
Capital Stock
 6 Months Ended
Jun. 30, 2015
Capital Stock [Abstract]  
Capital Stock

NOTE 8. COMMON STOCK

At June 30, 2015 and December 31, 2014, Bimini Capital’s common stock is comprised of the following:

June 30, 2015December 31, 2014
Preferred stock, $0.001 par value; 10,000,000 shares authorized; designated, 1,800,000
shares as Class A Redeemable and 2,000,000 shares as Class B Redeemable; no
shares issued and outstanding as of June 30, 2015 and December 31, 2014$-$-
Class A Common Stock, $0.001 par value; 98,000,000 shares designated: 12,346,376
shares issued and outstanding as of June 30, 2015 and 12,324,391 shares
issued and outstanding as of December 31, 201412,34612,324
Class B Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
issued and outstanding as of June 30, 2015 and December 31, 20143232
Class C Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
issued and outstanding as of June 30, 2015 and December 31, 20143232
$12,410$12,388

Issuances of Common Stock

The table below presents information related to the Bimini Capital’s Class A Common Stock issued during the six months ended June 30, 2015 and 2014.

Shares Issued Related To:20152014
Directors' compensation21,98527,531
Vesting incentive plan shares(1)-500,000
Shares sold directly to employees(1)-257,895
Total shares of Class A Common Stock issued21,985785,426

See Note 9, Stock Incentive Plans, for details of these issuances.

There were no issuances of Bimini Capital's Class B Common Stock and Class C Common Stock during the six months ended June 30, 2015 and 2014.
XML 66 R14.htm IDEA: XBRL DOCUMENT v3.2.0.727
Stock Incentive Plans
 6 Months Ended
Jun. 30, 2015
Employee Benefits And Share Based Compensation [Abstract]  
Stock incentive Plans

NOTE 9. STOCK INCENTIVE PLANS

On August 12, 2011, Bimini Capital’s shareholders approved the 2011 Long Term Compensation Plan (the “2011 Plan”) to assist the Company in recruiting and retaining employees, directors and other service providers by enabling them to participate in the success of Bimini Capital and to associate their interests with those of the Company and its stockholders. The 2011 plan is intended to permit the grant of stock options, stock appreciation rights (“SARs”), stock awards, performance units and other equity-based and incentive awards. The maximum aggregate number of shares of Common Stock that may be issued under the 2011 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based awards and the settlement of incentive awards and performance units is equal to 4,000,000 shares.

Share Awards

In February 2014, the Compensation Committee of the Board of Directors of Bimini Capital (the “Committee”) approved certain performance bonuses for members of management. These bonuses were awarded primarily in recognition of management’s capital raising efforts in 2013. The bonuses, which were paid on February 19, 2014 (the “Bonus Date”), consisted of cash and fully vested shares of the Company’s common stock issued under the 2011 Plan. In particular, executive officers received bonuses totaling approximately $422,000, consisting of 500,000 shares of the Company’s common stock with an approximate value of $190,000, and cash of approximately $232,000 which, at the officer’s election, could be used to purchase newly issued shares directly from the Company. Under this election, the officers purchased 257,895 shares of the Company’s common stock. For purposes of these bonuses, shares of the Company’s common stock were valued based on the closing price of the Company’s common stock on the Bonus Date. The expense related to this bonus was accrued at December 31, 2013 and does not affect the results of operations for the six and three months ended June 30, 2014.

A summary of share award activity during the six months ended June 30, 2014 is presented below:

Weighted-
Average
Grant-Date
SharesFair Value
Fully vested shares granted500,000$0.38

Performance Units

The Committee may issue Performance Units under the 2011 Plan to certain officers and employees. “Performance Units” represent the participant’s right to receive an amount, based on the value of a specified number of shares of Common Stock, if the terms and conditions prescribed by the Committee are satisfied.  The Committee will determine the requirements that must be satisfied before Performance Units are earned, including but not limited to any applicable performance period and performance goals.  Performance goals may relate to the Company’s financial performance or the participant’s performance or such other criteria determined by the Committee, including goals stated with reference to the performance measures discussed below.  If Performance Units are earned, they will be settled in cash, shares of Common Stock or a combination thereof.

The following table presents information related to Performance Units outstanding at June 30, 2015 and December 31, 2014:

June 30, 2015December 31, 2014
Nonvested performance units outstanding at period end31,50031,500
Weighted-average grant date fair price$1.78$1.78
Unrecognized compensation expense at period end$45,946$55,291
Weighted-average remaining vesting term (in years)2.503.00
Intrinsic value of unvested shares at period end$88,200$59,850
XML 67 R16.htm IDEA: XBRL DOCUMENT v3.2.0.727
Income Taxes
 6 Months Ended
Jun. 30, 2015
Income Tax Disclosure [Abstract]  
Income Taxes

NOTE 11. INCOME TAXES

REIT Activities

Generally, REITs are not subject to federal income tax on REIT taxable income distributed to its shareholders. REIT taxable income or loss, as generated by qualifying REIT activities, is computed in accordance with the Internal Revenue Code, which is different from the financial statement net income or loss as computed in accordance with GAAP. Depending on the number and size of the various items or transactions being accounted for differently, the differences between the Company’s REIT taxable income or loss and its GAAP financial statement net income or loss can be substantial and each item can affect several years.

As of December 31, 2014, Bimini Capital had a REIT tax net operating loss carryforward (“NOL carryforwards” or “NOLs”) of approximately $17.3 million that is immediately available to offset future REIT taxable income. These REIT NOLs will expire in years 2028 through 2034, if not previously used to offset future REIT taxable income.

Taxable REIT Subsidiaries

As taxable REIT subsidiaries (“TRS”), Bimini Advisors and MortCo are tax paying entities for income tax purposes and are taxed separately from Bimini Capital and from each other.  Therefore, Bimini Advisors and MortCo each separately report an income tax provision or benefit based on their own taxable activities.  For the six months ended June 30, 2015 and 2014, MortCo and Bimini Advisors did not have taxable income primarily due to the utilization of their respective NOL carryforwards. The Company’s payment of taxes reported on the consolidated statement of cash flows results from alternative minimum taxes (“AMT”) which become due when NOLs are used to offset taxable income.

The income tax provision (benefit) for the six and three months ended June 30, 2015 and 2014 is solely attributable to the TRSs. For Bimini Advisors, the provision for the year 2015 periods is determined by applying the statutory Federal rate of 35% to its pre-tax income or loss. During 2014, a benefit was recorded for the release of Bimini Advisor’s deferred tax valuation allowance related to an intangible asset and NOL carryforwards. For MortCo, its provision is generally zero, and it differs from the statutory Federal rate due primarily to the recording of, and adjustments to, the deferred tax asset valuation allowances and the release of the deferred tax valuation allowance related to NOL carryforwards. The payment of AMT is included in the provision in the period it is paid.

Bimini Advisors has available at June 30, 2015 estimated federal and Florida NOL carryforwards of approximately $0.4 million which begin to expire in 2031 and are fully available to offset future federal and Florida taxable income. In connection with Orchid’s IPO, Bimini Advisors paid for, and expensed for GAAP purposes, certain offering costs totaling approximately $3.2 million. For tax purposes, these offering costs created an intangible asset related to the management agreement with a tax basis of $3.2 million. The deferred tax assets related to the NOL carryforwards and the intangible asset at June 30, 2015 total approximately $1.4 million.

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 deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. During 2014, the Company re-evaluated its previous position regarding its ability to realize Bimini Advisors’ deferred tax liability and determined that there was sufficient positive evidence to conclude that the realization of Bimini Advisors’ deferred tax assets was more likely than not. As a result, Bimini Advisors recorded a deferred income tax benefit of approximately $2.2 million during the six months ended June 30, 2014 related to the release of the valuation allowance.

As of June 30, 2015, MortCo has estimated federal NOL carryforwards of approximately $261.5 million and estimated available Florida NOLs of approximately $34.1 million, both of which will begin to expire in 2025, and are fully available to offset future federal and Florida taxable income, respectively. The net deferred tax assets for MortCo at June 30, 2015 are approximately $94.0 million. As of June 30, 2015 and December 31, 2014, management did not believe that it had sufficient positive evidence to conclude that the realization of MortCo’s deferred tax assets was more likely than not; therefore, a valuation allowance was provided for the entire balance of MortCo’s deferred tax assets.

MortCo holds residual interests in various real estate mortgage investment conduits (“REMICs”), which were issued in 2004, 2005 and 2006, some of which generate excess inclusion income (“EII”), a type of taxable income pursuant to specific provisions of the Code. In 2008, based on a re-evaluation of its tax position regarding REMIC income, MortCo recorded a liability of approximately $2.1 million for taxes, interest and penalties related to this uncertain tax position during 2008. During 2010 (as part of the filing of its 2009 tax returns), MortCo reached a tax filing position related to the EII taxable income, reported EII taxable income of approximately $2.1 million, paid $0.8 million of income tax, interest and penalties, and included a notice of inconsistent treatment in its tax returns. Because of the uncertainty surrounding the taxation of EII, MortCo accounted for the pre-2008 tax position as being more likely than not that the tax position would not be fully sustained upon examination. On September 15, 2013, the statute of limitations for the IRS to challenge MortCo’s pre-2008 tax position expired. As such, the remaining balance of the liability recorded in 2008 was reversed during the year ended December 31, 2013, which resulted in a tax benefit of $1.3 million. MortCo continues to file its tax returns following its 2009 tax filing position, and it continues to include a notice of inconsistent treatment in each return.

XML 68 R64.htm IDEA: XBRL DOCUMENT v3.2.0.727
Variable Interest Entities - VIE Income Statement (Details) - Jun. 30, 2014 - Variable Interest Entity Primary Beneficiary [Member] - USD ($)
Total
Total
Portfolio Income [Abstract]    
Interest income $ 6,589,000 $ 10,372,000
Interest expense 676,000 1,087,000
Net interest income 5,913,000 9,285,000
Unrealized gains on mortgage-backed securities 8,584,000 10,124,000
Realized gains on mortgage-backed securities 2,980,000 3,891,000
Losses on derivative financial instruments (5,728,000) (7,421,000)
Net portfolio income 11,749,000 15,879,000
Selling General And Administrative Expense [Abstract]    
Accrued Incentive Compensation 225,000 225,000
Directors' fees and liability insurance 156,000 240,000
Audit, legal and other professional fees 172,000 245,000
Direct REIT operating expenses 44,000 88,000
Other administrative 88,000 118,000
Total expenses 685,000 916,000
Net income $ 11,064,000 $ 14,963,000
XML 69 R63.htm IDEA: XBRL DOCUMENT v3.2.0.727
Varialble Interest Entity - NCI (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Minority Interest Roll Forward        
Net Income (Loss) Attributable to Noncontrolling Interest $ 0 $ 9,584,234 $ 0 $ 12,538,193
Orchid Island Capital Inc [Member]        
Minority Interest Roll Forward        
Beginning Balance       31,615,000
Issuance of common shares of Orchid Island Capital, Inc.       76,120,000
Net Income (Loss) Attributable to Noncontrolling Interest       12,538,000
Amortization of Equity Incentive Compensation       16,000
Noncontrolling Interest, Decrease from Distributions to Noncontrolling Interest Holders       (7,378,000)
Ending Balance   $ 112,911,000   $ 112,911,000
XML 70 R34.htm IDEA: XBRL DOCUMENT v3.2.0.727
Significant Accounting Policies - Property and Equipment (Details)
 6 Months Ended
Jun. 30, 2015
Computer Equipment [Member] | Minimum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 3
Computer Equipment [Member] | Maximum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 3
Office Furniture and Equipment | Minimum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 20
Office Furniture and Equipment | Maximum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 8
Building and Building Improvements [Member] | Minimum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 30
Building and Building Improvements [Member] | Maximum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 30
XML 71 R51.htm IDEA: XBRL DOCUMENT v3.2.0.727
Stock Incentive Plans - Phantom Share Awards (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2015
Dec. 31, 2014
Jun. 30, 2015
Jun. 30, 2014
Share Awards Member [Member]        
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]        
Award Date       2/19/2014
Immediately Vested Shares Granted       500,000
Shares Sold To Employees       257,895
Special Bonus Cash       $ 232,000
Special Bonus Shares Value       190,000
Bonus       $ 422,000
Share Award Weighted Average Price       $ 0.38
Performance Units Member [Member]        
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]        
Unrecognized Compensation Cost $ 45,946 $ 55,291 $ 45,946  
Remaining Weighted Average Vesting Period 2 years 5 months 11 days 3 years 2 years 5 months 11 days  
Intrinsic Value $ 88,200 $ 59,850 $ 88,200  
Incentive Plan Shares Outstanding 31,500 31,500 31,500  
Weighted Average Grant Date Fair Value $ 1.78 $ 1.78 $ 1.78  
XML 72 R21.htm IDEA: XBRL DOCUMENT v3.2.0.727
Basis of Presentation (Policies)
 6 Months Ended
Jun. 30, 2015
Accounting Policies [Abstract]  
Consolidation

Consolidation

The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors and MortCo. The accounts of Orchid are included in the consolidated statements of operations for the six and three months ended June 30, 2014, and in the statement of cash flows for the six months ended June 30, 2014. All inter-company accounts and transactions have been eliminated from the consolidated financial statements.

Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 810, Consolidation, requires the consolidation of a VIE by an enterprise if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE, an ongoing assessment of whether an enterprise is the primary beneficiary of a VIE, and additional disclosures for entities that have variable interests in VIEs.

From the effective date of Orchid’s IPO and until December 31, 2014, management concluded, pursuant to ASC 810, that Orchid was a VIE. As a result, subsequent to Orchid’s IPO and until December 31, 2014, the Company consolidated Orchid in its financial statements. The results of operations of Orchid were included in the Company’s 2014 consolidated statements of operations and cash flows, however, net income attributable to Bimini Capital stockholders did not include the portion of net income attributable to noncontrolling interests.

In December 2014, management re-evaluated the conditions resulting in the consolidation of Orchid and concluded that, due to Bimini’s decreased percentage ownership interest in Orchid, there was no longer a variable interest requiring consolidation. As a result, in accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014. However, as a VIE which was deconsolidated on December 31, 2014, Orchid’s results of operations were included in the consolidated statements of operations and cash flows through December 31, 2014, and are excluded in subsequent periods.

Assets recognized as a result of consolidating Orchid in prior periods did not represent additional assets that could be used to satisfy claims against Bimini Capital’s assts. Conversely, liabilities recognized as a result of consolidating Orchid did not represent additional claims on Bimini Capital’s assets; rather, they represented claims against the assets of Orchid. Creditors and stockholders of Orchid have no recourse to the assets of Bimini Capital.

As further described in Note 7, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital’s junior subordinated notes. Pursuant to ASC 810, Bimini Capital’s common share investment in the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity method.

Basis of Presentation

Basis of Presentation

The accompanying unaudited 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 do 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 six and three month periods ended June 30, 2015 are not necessarily indicative of the results that may be expected for the year ending December 31, 2015.

The consolidated balance sheet at December 31, 2014 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, 2014.
Use of Estimates

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 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 the fair values of MBS, investment in Orchid common shares, Eurodollar futures contracts, interest rate swaptions, retained interests, asset valuation allowances and deferred tax allowances.
Statement of Comprehensive Income

Statement of Comprehensive (Loss) Income

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

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 of three months or less at the time of purchase. At June 30, 2015, restricted cash consisted of approximately $0.5 million of cash held by a broker as margin on Eurodollar futures contracts and $2.1 million of cash held on deposit as collateral with repurchase agreement counterparties. At December 31, 2014, restricted cash consisted of approximately $0.5 million of cash held by a broker as margin on Eurodollar futures contracts and $0.3 million of cash held on deposit as collateral with repurchase agreement counterparties.

The Company maintains cash balances at four banks, and, 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. At June 30, 2015, the Company’s cash deposits exceeded federally insured limits by approximately $6.0 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known banks and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.
Mortgage-Backed Securities

Mortgage-Backed Securities

The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of mortgage-backed loans (collectively, “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 our 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.

The fair value of the Company’s investment in MBS is governed by ASC Topic 820, Fair Value Measurement.  The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on 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 (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 of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security. For 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.
Investment In Orchid [Policy Text Block]

Orchid Island Capital, Inc. Common Stock

At the date of Orchid’s deconsolidation, the Company elected the fair value option for its continuing investment in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations for the six and three months ended June 30, 2015. We estimate the fair value of our investment in Orchid on a market approach using “Level 1” inputs based on the quoted market price of Orchid’s common stock. Electing the fair value option requires the Company to record changes in fair value in the consolidated statements of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.
Retained Interests

Retained Interests in Securitizations

From 2004 to 2006, MortCo participated in securitization transactions as part of its mortgage origination business. Retained interests in the securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management’s best estimates of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.
Derivative Financial Instruments

Derivative Financial Instruments

The Company uses 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 to date are Eurodollar futures contracts and options to enter in interest rate swaps (“interest rate swaptions”), but it may enter into other transactions in the future.

The Company has elected to not treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option. FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period.

Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In 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. To mitigate this risk, the Company uses well-established commercial banks as counterparties.
Financial Instruments

Financial Instruments

ASC Topic 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid Island Capital, Inc. common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in securitization transactions 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 13 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 June 30, 2015 and December 31, 2014, 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. Information regarding carrying amount, effective interest rate and maturity date for these instruments is presented in Note 7 to the consolidated financial statements.
Property and Equipment, net

Property and Equipment, net

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

Repurchase Agreements

The Company finances the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.
Share-Based Compensation

Share-Based Compensation

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

Earnings Per Share

The Company follows the provisions of ASC Topic 260, Earnings Per Share, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in dividend distributions to present both basic and diluted earnings per share (“EPS”) on the face of the consolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. Diluted EPS is calculated using the 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 on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.

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

Income Taxes

Bimini Capital has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. At June 30, 2015, management believes that the Company has complied with the Code requirements and Bimini Capital continues to qualify as a REIT. As further described in Note 11, Income Taxes, Bimini Advisors and MortCo are taxpaying entities for income tax purposes and are taxed separately from Bimini Capital.

The Company’s U.S. federal income tax returns for years ended on or after December 31, 2011 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.

The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, Income Taxes. Under that guidance, the Company assesses the likelihood, based on their technical merit, that 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.
Recent Accounting Pronouncements

Recent Accounting Pronouncements

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standard Update (“ASU”) 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The ASU is not expected to materially impact the Company’s consolidated financial statements.

In June 2014, the FASB issued ASU 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. ASU 2014-11 amends the accounting guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings, and requires additional disclosure about certain transactions by the transferor. ASU 2014-11 is effective for certain transactions that qualify for sales treatment for the first interim or annual period beginning after December 15, 2014. The new disclosure requirements for repurchase agreements, securities lending transactions and repurchase-to-maturity transactions that qualify for secured borrowing treatment is effective for annual periods beginning after December 15, 2014 and for interim periods beginning after March 15, 2015. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.
XML 73 R26.htm IDEA: XBRL DOCUMENT v3.2.0.727
Offsetting Assets and Liabilties (Tables)
 6 Months Ended
Jun. 30, 2015
Offsetting [Abstract]  
Offsetting Liabilities [Table Text Block]
(in thousands)
Offsetting of Liabilities
Gross Amount Not Offset in the
Net AmountConsolidated Balance Sheet
Gross Amountof LiabilitiesFinancial
Gross AmountOffset in thePresented in theInstrumentsCash
of RecognizedConsolidatedConsolidatedPosted asPosted asNet
LiabilitiesBalance SheetBalance SheetCollateralCollateralAmount
June 30, 2015
Repurchase Agreements$101,206$-$101,206$(99,146)$(2,060)$-
December 31, 2014
Repurchase Agreements$109,964$-$109,964$(109,706)$(258)$-
XML 74 R49.htm IDEA: XBRL DOCUMENT v3.2.0.727
Capital Stock - Issuances of Common Stock (Details) - Class A Common Stock [Member] - shares
 3 Months Ended 6 Months Ended
Sep. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Shares Issued Related To [Line Items]      
Directors Compensation 27,531 21,985 27,531
Vesting Incentive Plan Shares 500,000 0 500,000
Shares Sold To Employees 257,895 0 257,895
Total Shares Issued During Period 785,426 21,985 785,426
XML 75 R41.htm IDEA: XBRL DOCUMENT v3.2.0.727
Repurchase Agreements - Maturities (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 106,203,000 $ 116,431,000
Repurchase agreements $ 101,205,930 $ 109,963,995
Net weighted average borrowing rate 0.39% 0.36%
Overnight (1 Day or Less) [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 0 $ 0
Repurchase agreements $ 0 $ 0
Net weighted average borrowing rate 0.00% 0.00%
Between 2 and 30 Days [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 87,826,000 $ 114,433,000
Repurchase agreements $ 84,939,000 $ 108,074,000
Net weighted average borrowing rate 0.38% 0.36%
Between 31 and 90 Days [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 18,377,000 $ 1,998,000
Repurchase agreements $ 16,267,000 $ 1,890,000
Net weighted average borrowing rate 0.43% 0.33%
Greater Than 90 days [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 0 $ 0
Repurchase agreements $ 0 $ 0
Net weighted average borrowing rate 0.00% 0.00%
XML 76 R5.htm IDEA: XBRL DOCUMENT v3.2.0.727
Consolidated Statements of Cash Flows - USD ($)
 6 Months Ended
Jun. 30, 2015
Jun. 30, 2014
CASH FLOWS FROM OPERATING ACTIVITIES    
Net (loss) income $ (2,893,407) $ 18,237,381
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities:    
Stock based compensation 49,036 221,498
Depreciation 47,198 54,629
Deferred income tax provision (benefit) 471,310 (2,154,025)
Losses (gains) on mortgage-backed securities 197,399 (15,315,905)
Gains on retained interests in securitizations (2,538,580) (2,446,586)
Unrealized losses on Orchid Island Capital, Inc. common stock (1,806,264) 0
Realized and unrealized losses on interest rate swaptions 0 (1,285,300)
Changes in operating assets and liabilities    
Accrued interest receivable 20,059 (2,368,595)
Other assets 307,426 (239,673)
Accrued interest payable (5,286) 218,451
Other liabilities 3,251,276 245,850
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES 712,695 (2,261,675)
From mortgage-backed securities investments    
Purchases (986,194) (1,003,577,756)
Sales 0 434,601,973
Principal repayments 10,858,661 28,820,992
Payments received on retained interests in securitizations 2,296,806 1,842,410
Increase in restricted cash (1,813,890) (1,435,035)
Purchases of property and equipment 0 (34,550)
Purchase of interest rate swaptions, net of margin cash received 0 1,219,000
NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES 10,355,383 (541,000,966)
CASH FLOWS FROM FINANCING ACTIVITIES    
Proceeds from repurchase agreements 451,679,644 3,523,211,129
Principal payments on repurchase agreements (460,437,709) (3,022,580,809)
Issuance of common shares of Orchid Island Capital, Inc. 0 75,115,922
Cash dividends paid to noncontrolling interests 0 7,378,350
Class A common shares sold directly to employees 0 (98,000)
NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES (8,758,065) 568,465,892
NET INCREASE IN CASH AND CASH EQUIVALENTS 2,310,013 25,203,251
CASH AND CASH EQUIVALENTS, beginning of the period 4,699,059 11,959,292
CASH AND CASH EQUIVALENTS, end of the period 7,009,072 37,162,543
Cash paid during the period for:    
Interest 695,081 1,452,682
Income Taxes 137,001 22,267
SUPPLEMENTAL SCHEDULE OF NONCASH INVESTING AND FINANCING ACTIVITIES    
Securities acquisitions settled in later period $ 0 $ 6,825,538
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Derivative Financial Instruments
 6 Months Ended
Jun. 30, 2015
Derivative Financial Instruments [Abstract]  
Derivative Financial Instruments

NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding and junior subordinated notes by entering into derivatives, such as Eurodollar futures contracts and interest rate swaptions, but may enter into other contracts in the future. The Company has not elected hedging treatment under GAAP, and as such all gains or losses (realized and unrealized) on these instruments are reflected in earnings for all periods presented.

As of June 30, 2015 and December 31, 2014, such instruments were comprised entirely of Eurodollar futures contracts. Eurodollar futures are cash settled futures contracts on an interest rate, with gains or losses credited or charged to the Company’s account on a daily basis and reflected in earnings as they occur. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The Company is exposed to the changes in value of the futures by the amount of margin held by the broker. This margin represents the collateral the Company has posted for its open positions and is recorded on the consolidated balance sheets as part of restricted cash.

During the six months ended June 30, 2014, the Company, through Orchid, was a party to interest rate swaption agreements which granted the Company the right but not the obligation to enter into underlying pay fixed interest rate swap (“payer swaption”). The Company may also enter into swaption agreements that provide the Company the option to enter into a receive fixed interest rate swap (“receiver swaption”).

The tables below present information related to the Company’s Eurodollar futures positions at June 30, 2015 and December 31, 2014.

($ in thousands)
As of June 30, 2015
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$43,0000.79%0.48%$(67)
201656,0001.45%1.04%(231)
201756,0002.23%1.81%(239)
201856,0002.65%2.23%(118)
Total / Weighted Average$53,8331.84%1.44%$(655)

($ in thousands)
As of June 30, 2015
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$26,0001.65%0.45%$(156)
201626,0001.77%1.04%(189)
201726,0002.49%1.81%(177)
201826,0002.94%2.23%(93)
Total / Weighted Average$26,0002.18%1.39%$(615)

($ in thousands)
As of December 31, 2014
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$36,5000.65%0.63%$(5)
201656,0001.45%1.54%46
201756,0002.23%2.23%(3)
201856,0002.65%2.51%(38)
Total / Weighted Average$50,4291.72%1.72%$-

($ in thousands)
As of December 31, 2014
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2015$26,0001.48%0.57%$(237)
201626,0001.77%1.54%(61)
201726,0002.49%2.23%(67)
201826,0002.94%2.51%(56)
Total / Weighted Average$26,0002.06%1.60%$(421)

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

Loss (Gain) From Derivative Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the six and three months ended June 30, 2015 and 2014

(in thousands)
ConsolidatedParent-Only
Six Months Ended June 30,2015201420152014
Eurodollar futures contracts (short positions)$(1,009)$(6,306)$(1,009)$(170)
Payer swaptions-(1,285)--
Net losses on derivative instruments$(1,009)$(7,591)$(1,009)$(170)

(in thousands)
ConsolidatedParent-Only
Three Months Ended June 30,2015201420152014
Eurodollar futures contracts (short positions)$6$(4,745)$6$(146)
Payer swaptions-(1,129)--
Net gains (losses) on derivative instruments$6$(5,874)$6$(146)

Credit Risk-Related Contingent Features

The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, we may not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are included in restricted cash on our consolidated balance sheets.
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Quantitative Information About Level 3 Fair Value Measurements - Prepayment Assumptions (Details) - 6 months ended Jun. 30, 2015 - Retained Interest [Member]
Total
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Method Constant Prepayment Rate
Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Range 10.00%
Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Range 10.00%
Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Range 10.00%
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Capital Stock (Tables)
 6 Months Ended
Jun. 30, 2015
Capital Stock [Abstract]  
Schedule Of Outstanding Stock [Table Text Block]
June 30, 2015December 31, 2014
Preferred stock, $0.001 par value; 10,000,000 shares authorized; designated, 1,800,000
shares as Class A Redeemable and 2,000,000 shares as Class B Redeemable; no
shares issued and outstanding as of June 30, 2015 and December 31, 2014$-$-
Class A Common Stock, $0.001 par value; 98,000,000 shares designated: 12,346,376
shares issued and outstanding as of June 30, 2015 and 12,324,391 shares
issued and outstanding as of December 31, 201412,34612,324
Class B Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
issued and outstanding as of June 30, 2015 and December 31, 20143232
Class C Common Stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
issued and outstanding as of June 30, 2015 and December 31, 20143232
$12,410$12,388
Issuances of Common Stock
Shares Issued Related To:20152014
Directors' compensation21,98527,531
Vesting incentive plan shares(1)-500,000
Shares sold directly to employees(1)-257,895
Total shares of Class A Common Stock issued21,985785,426

See Note 9, Stock Incentive Plans, for details of these issuances.
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Columns in cash flow ''Consolidated Statements of Cash Flows'' have maximum duration 6 months and at least 33 values. Shorter duration columns must have at least one fourth (8) as many values. Column '[2015-04-01 3m 2015-06-30]' is shorter (3 months) and has only 5 values, so it is being removed. Columns in cash flow ''Consolidated Statements of Cash Flows'' have maximum duration 6 months and at least 33 values. Shorter duration columns must have at least one fourth (8) as many values. Column '[2014-04-01 3m 2014-06-30]' is shorter (3 months) and has only 5 values, so it is being removed. bmnm-20150630.xml bmnm-20150630_cal.xml bmnm-20150630_def.xml bmnm-20150630_lab.xml bmnm-20150630_pre.xml bmnm-20150630.xsd true true XML 81 R9999.htm IDEA: XBRL DOCUMENT v3.2.0.727
Label Element Value
Profit Loss us-gaap_ProfitLoss $ (1,504,479)
Profit Loss us-gaap_ProfitLoss 12,914,210
Losses Gains On Retained Interests In Securitizations bmnm_LossesGainsOnRetainedInterestsInSecuritizations 1,052,824
Losses Gains On Retained Interests In Securitizations bmnm_LossesGainsOnRetainedInterestsInSecuritizations 2,252,897
Orchid Unrealized bmnm_OrchidUnrealized (1,992,780)
Orchid Unrealized bmnm_OrchidUnrealized $ 0
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Mortgage-Backed Securities - By Maturity (Details) - USD ($)
Jun. 30, 2015
Dec. 31, 2014
Mortgage Backed Securities [Abstract]    
Greater than five years and less than ten years $ 10,000 $ 16,000
Greater than or equal to ten years 107,751,000 117,815,000
Total mortgage-backed securities $ 107,761,166 $ 117,831,032
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Variable Interest Entities
 6 Months Ended
Jun. 30, 2015
Variable Interest Entity [Abstract]  
Consolidated Variable Interest Entity And Noncontrolling Interest

Note 15. CONSOLIDATED Variable Interest EntitY AND NONCONTROLLING INTERESTs

A VIE is an entity that either (i) has insufficient equity to permit the entity to finance its activities without additional subordinated financial support or (ii) has equity investors who lack the characteristics of a controlling financial interest. A VIE is consolidated by its primary beneficiary. The primary beneficiary has both the power to direct the activities that most significantly impact the entity's economic performance and the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the VIE.

As discussed in Note 1, Orchid completed its IPO on February 20, 2013. Management concluded that, after the close of its IPO, Orchid was a VIE because Orchid's equity holders lack the ability through voting rights to make decisions about its activities that have a significant effect on its success. Management also concluded that Bimini Capital was the primary beneficiary of Orchid because, under the terms of the management agreement, Bimini Capital had the power to direct the activities of Orchid that most significantly impact its economic performance including asset selection, asset and liability management and investment portfolio risk management. As a result, subsequent to Orchid’s IPO, and until December 31, 2014, the Company continued to consolidate Orchid in its consolidated financial statements.

Orchid completed additional offerings of its common stock during the year ended December 31, 2014. Management continued to re-evaluate the conditions resulting in the consolidation of Orchid and at December 31, 2014 concluded that, due to Bimini’s decreased percentage ownership interest in Orchid, there was no longer a variable interest requiring consolidation. In accordance with ASC 810, the Company deconsolidated Orchid from the consolidated balance sheet as of December 31, 2014. Orchid’s activities were included in the consolidated statements of operations, equity and cash flows through December 31, 2014 and are excluded in subsequent periods.

The table below presents the effects of the above on the changes in equity attributable to Bimini Capital stockholders during the six months ended June 30, 2014.

($ in thousands)
Net income attributable to Bimini Capital$5,699
Transfers from the noncontrolling interests
Decrease in Bimini Capital's paid-in capital for the sale of 6,290,443 common shares of Orchid
and the effect of the 24,000 shares of unvested restricted shares of Orchid(1,004)
Change from net income attributable to Bimini Capital and transfers from noncontrolling interest$4,695

Net income of Orchid for the six and three months ended June 30, 2014 is allocated between the noncontrolling interests and to Bimini Capital in proportion to their relative ownership interests in Orchid. The following is a roll forward of the noncontrolling interest during the six months ended June 30, 2014.

(in thousands)
Balance, January 1, 2014$31,615
Issuance of common shares of Orchid Island Capital, Inc.76,120
Net income attributed to noncontrolling interest12,538
Amortization of Orchid Island Capital, Inc. equity plan compensation16
Cash dividends paid to noncontrolling interest(7,378)
Balance, June 30, 2014$112,911

The following table summarizes the operating results of Orchid (excluding intercompany transactions) for the six and three months ended June 30, 2014, which are reflected in the consolidated statements of operations for the six and three months ended June 30, 2014.

(in thousands)
Six Months EndedThree Months Ended
June 30, 2014June 30, 2014
Interest income$10,372$6,589
Interest expense(1,087)(676)
Net interest income9,2855,913
Unrealized gains on mortgage-backed securities10,1248,584
Realized gains on mortgage-backed securities3,8912,980
Losses on derivative instruments(7,421)(5,728)
Net portfolio income15,87911,749
Expenses:
Accrued incentive compensation225225
Directors' fees and liability insurance240156
Audit, legal and other professional fees245172
Direct REIT operating expenses8844
Other administrative11888
Total expenses916685
Net income$14,963$11,064

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