Exhibit 99.1
UNAUDITED as of 12/31/2004
Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions.
Prices Used Are Wall Street Dealer Valuations and Compiled on 12/31/04
Valuation |
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Asset Category |
| Market Value |
| As a Percent of Mortgage Assets |
| As a Percent of Mortgage Assets, Cash and P&I Receivable |
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Fixed Rate Mortgage Backed Securities |
| $ | 749,789,412 |
| 25.22 | % | 24.08 | % | |
CMO Floaters (Monthly Resetting) |
| $ | 250,438,730 |
| 8.42 | % | 8.04 | % | |
Adjustable Rate Mortgage Backed Securities(1) |
| $ | 1,403,381,666 |
| 47.20 | % | 45.06 | % | |
Hybrid Adjustable Rate Mortgage Backed Securities |
| $ | 500,927,382 |
| 16.85 | % | 16.09 | % | |
Balloon Maturity Mortgage Backed Securities |
| $ | 68,695,707 |
| 2.31 | % | 2.21 | % | |
Total: Mortgage Assets(2) |
| $ | 2,973,232,897 |
| 100.00 | % |
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Cash as of 12/31/2004(3) |
| $ | 137,528,119 |
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| 4.42 | % | |
P&I Receivables as of 12/31/2004 |
| $ | 3,460,133 |
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| 0.11 | % | |
Total: All Assets |
| $ | 3,114,221,149 |
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| 100.00 | % | |
(1) Adjustable Rate MBS’ are those that reset coupons within one year’s time.
(2) Included in Total Mortgage Assets are Forward Settling Transactions with a Market Value equal to $65,765,630.
(3) As of 12/31/2004 the value of securities held in the box was $6.0 million.
Characteristics |
| Weighted Average Coupon |
| Weighted Average Lifetime Cap |
| Weighted Average Periodic Cap Per Year |
| Weighted Average Coupon Reset (in Months) |
| Longest Maturity |
| Weighted Average Maturity (in Months) |
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Asset Category | |||||||||||||
Fixed Rate Mortgage Backed Securities |
| 6.88 | % | n/a |
| n/a |
| n/a |
| 1-Dec-34 |
| 293 |
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CMO Floaters (Monthly Resetting) |
| 2.91 | % | 7.93 | % | n/a |
| 0.64 |
| 25-May-34 |
| 326 |
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Adjustable Rate Mortgage Backed Securities(4) |
| 3.83 | % | 10.77 | % | 1.39 | % | 3.97 |
| 1-Dec-42 |
| 347 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
| 4.59 | % | 10.30 | % | 1.24 | % | 28.93 |
| 20-Dec-34 |
| 351 |
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Balloon Maturity Mortgage Backed Securities |
| 4.07 | % | n/a |
| n/a |
| n/a |
| 1-Feb-11 |
| 60 |
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Total: Mortgage Assets |
| 4.65 | % | 10.33 | % | 1.33 | % | 9.39 |
| 1-Dec-42 |
| 325 |
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(4) 46.3% ($650 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Cap.
Agency |
| Market Value |
| As a Percentage of Mortgage Assets |
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| Qualifying Assets |
| Market Value |
| As a Percentage of Mortgage Assets |
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Fannie Mae |
| $ | 1,879,519,969 |
| 63.21 | % |
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| Whole Pool |
| $ | 1,821,495,782 |
| 61.26 | % | |
Freddie Mac |
| $ | 541,786,470 |
| 18.22 | % |
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| Non Whole Pool |
| $ | 1,151,737,115 |
| 38.74 | % | |
Ginnie Mae |
| $ | 551,926,457 |
| 18.56 | % |
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| Total Portfolio |
| $ | 2,973,232,897 |
| 100.00 | % | |
Total Portfolio |
| $ | 2,973,232,897 |
| 100.00 | % |
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Portfolio Price and Duration |
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Weighted Average Purchase Price |
| $ | 103.44 |
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Weighted Average Current Price |
| $ | 103.36 |
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Modeled Effective Duration as of 12/31/04 |
| 0.835 |
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Prepayment Speeds
On December 7, 2004 Prepayment Speeds were released for paydowns occurring in November 2004. The numbers below reflect that data.
Asset Category |
| Weighted Average Prepayment Speeds |
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Fixed Rate Mortgage Backed Securities |
| 28.70 |
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CMO Floaters |
| 23.22 |
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Adjustable Rate Mortgage Backed Securities |
| 23.15 |
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Hybrid Adjustable Rate Mortgage Backed Securities |
| 16.96 |
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Balloon Maturity Mortgage Backed Securities |
| 23.05 |
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Total: Mortgage Assets |
| 23.60 |
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UNAUDITED as of 12/31/2004
Adjustable Rate Assets |
| Market Value As of 12/31/2004 |
| % of Asset Class |
| % of Total Mortgage Assets |
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One Month Libor |
| $ | 40,492,306 |
| 2.89 | % | 1.36 | % |
Moving Treasury Average |
| $ | 89,463,980 |
| 6.37 | % | 3.01 | % |
Cost Of Funds Index |
| $ | 323,180,028 |
| 23.03 | % | 10.87 | % |
Six Month LIBOR |
| $ | 287,003,235 |
| 20.45 | % | 9.65 | % |
Six Month CD Rate |
| $ | 4,311,739 |
| 0.31 | % | 0.15 | % |
One Year LIBOR |
| $ | 93,271,141 |
| 6.65 | % | 3.14 | % |
Conventional One Year CMT |
| $ | 267,090,263 |
| 19.03 | % | 8.98 | % |
FHA and VA One Year CMT |
| $ | 294,889,343 |
| 21.01 | % | 9.92 | % |
National Mortgage Contract Rate |
| $ | 3,679,631 |
| 0.26 | % | 0.12 | % |
Total ARM |
| $ | 1,403,381,666 |
| 100.00 | % | 47.20 | % |
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CMO Floaters (Monthly Resetting) |
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Short Stable |
| $ | 38,609,243 |
| 15.42 | % | 1.30 | % |
Pass-Through |
| $ | 40,938,581 |
| 16.35 | % | 1.38 | % |
Locked Out |
| $ | 170,890,905 |
| 68.24 | % | 5.75 | % |
Total CMO |
| $ | 250,438,730 |
| 100.00 | % | 8.42 | % |
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Hybrid ARMs |
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Generic Fannie or Freddie Hybrid ARMs |
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13 - 18 Months to First Reset |
| $ | 33,972,383 |
| 6.78 | % | 1.14 | % |
19 - 24 Months to First Reset |
| $ | 105,231,006 |
| 21.01 | % | 3.54 | % |
25 - 36 Months to First Reset |
| $ | 35,403,971 |
| 7.07 | % | 1.19 | % |
37 - 60 Months to First Reset |
| $ | 0 |
| 0.00 | % | 0.00 | % |
Total |
| $ | 174,607,360 |
| 34.86 | % | 5.87 | % |
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Agency Alt-A Hybrid ARMs |
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13 - 18 Months to First Reset |
| $ | 26,318,102 |
| 5.25 | % | 0.89 | % |
19 - 24 Months to First Reset |
| $ | 4,386,970 |
| 0.88 | % | 0.15 | % |
25 - 36 Months to First Reset |
| $ | 52,213,301 |
| 10.42 | % | 1.76 | % |
37 - 60 Months to First Reset |
| $ | 20,192,229 |
| 4.03 | % | 0.68 | % |
Total |
| $ | 103,110,602 |
| 20.58 | % | 3.47 | % |
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GNMA Hybrid ARMs |
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13 - 24 Months to First Reset |
| $ | 0 |
| 0.00 | % | 0.00 | % |
25 - 39 Months to First Reset |
| $ | 223,209,419 |
| 44.56 | % | 7.51 | % |
Total |
| $ | 223,209,419 |
| 44.56 | % | 7.51 | % |
Total Hybrid |
| $ | 500,927,382 |
| 100.00 | % | 16.85 | % |
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Balloons |
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< 4.5 Years to Balloon Date |
| $ | 13,191,322 |
| 19.20 | % | 0.44 | % |
4.6 - 5.5 Years to Balloon Date |
| $ | 38,018,849 |
| 55.34 | % | 1.28 | % |
5.6 - 6.5 Years to Balloon Date |
| $ | 17,485,537 |
| 25.45 | % | 0.59 | % |
Total Balloon |
| $ | 68,695,707 |
| 100.00 | % | 2.31 | % |
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Fixed Rate Assets |
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15year $85,000 Maximum Loan Size |
| $ | 96,725,074 |
| 50.45 | % | 3.25 | % |
15year $110,000 Maximum Loan Size |
| $ | 6,131,611 |
| 3.20 | % | 0.21 | % |
15yr 100% Investor Property |
| $ | 1,220,979 |
| 0.64 | % | 0.04 | % |
15yr 100% FNMA Expanded Approval Level 3 |
| $ | 2,292,077 |
| 1.20 | % | 0.08 | % |
15yr 100% Alt-A |
| $ | 53,030,264 |
| 27.66 | % | 1.78 | % |
15yr Geography Specific (NY, FL, VT, TX) |
| $ | 1,503,579 |
| 0.78 | % | 0.05 | % |
15yr Other |
| $ | 28,661,833 |
| 14.95 | % | 0.96 | % |
10yr Other |
| $ | 2,146,440 |
| 1.12 | % | 0.07 | % |
Total 10 and 15 Year Collateral |
| $ | 191,711,856 |
| 100.00 | % | 6.45 | % |
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30year $85,000 Maximum Loan Size |
| $ | 176,461,785 |
| 31.62 | % | 5.94 | % |
30year $110,000 Maximum Loan Size |
| $ | 56,979,382 |
| 10.21 | % | 1.92 | % |
30yr 100% Investor Property |
| $ | 11,115,016 |
| 1.99 | % | 0.37 | % |
30yr 100% FNMA Expanded Approval Level 3 |
| $ | 89,510,361 |
| 16.04 | % | 3.01 | % |
30yr 100% Alt-A |
| $ | 94,028,349 |
| 16.85 | % | 3.16 | % |
20yr 100% Alt-A |
| $ | 1,759,427 |
| 0.32 | % | 0.06 | % |
30yr Geography Specific (NY, FL, VT, TX) |
| $ | 4,241,773 |
| 0.76 | % | 0.14 | % |
30yr 100% GNMA Builder Buydown Program |
| $ | 8,250,286 |
| 1.48 | % | 0.28 | % |
30yr Other |
| $ | 114,102,728 |
| 20.45 | % | 3.84 | % |
20yr Other |
| $ | 1,628,448 |
| 0.29 | % | 0.05 | % |
Total 30 Year Collateral |
| $ | 558,077,556 |
| 100.00 | % | 18.77 | % |
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Total Fixed Rate Collateral |
| $ | 749,789,412 |
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| 25.22 | % |
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Grand Total (All Mortgage Assets) |
| $ | 2,973,232,897 |
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| 100.00 | % |
Total Cash or Cash Receivables |
| $ | 140,988,252 |
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Grand Total Assets and Cash |
| $ | 3,114,221,149 |
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Total Securities Settling in January |
| $ | 65,765,630 |
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| 2.21 | % |
Unaudited Funding Information as at 12/31/04
Repurchase Counterparties |
| Dollar Amount of Borrowings |
| Weighted Average Maturity |
| Longest maturity |
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Bear Stearns |
| $ | 255,229,000 |
| 125 |
| 19-Sep-05 |
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Countrywide Securities |
| $ | 178,574,000 |
| 41 |
| 1-Jun-05 |
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Daiwa Securities |
| $ | 114,436,000 |
| 65 |
| 1-Nov-05 |
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Bank of America |
| $ | 309,270,000 |
| 64 |
| 11-Jul-05 |
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Deutsche Bank |
| $ | 308,645,505 |
| 225 |
| 25-Oct-05 |
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Nomura |
| $ | 463,901,000 |
| 97 |
| 20-Oct-05 |
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JP Morgan Securities |
| $ | 60,178,000 |
| 35 |
| 15-Jun-05 |
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Lehman Brothers |
| $ | 257,190,786 |
| 79 |
| 26-Apr-05 |
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UBS Securities |
| $ | 512,697,000 |
| 62 |
| 12-Jul-05 |
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Goldman Sachs |
| $ | 107,821,666 |
| 35 |
| 28-Apr-05 |
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Merrill Lynch |
| $ | 83,561,000 |
| 170 |
| 22-Jul-05 |
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Morgan Stanley |
| $ | 119,659,000 |
| 63 |
| 12-Apr-05 |
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Total |
| $ | 2,771,162,957 |
| 94 |
| 1-Nov-05 |
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Note: During December 2004 the Company executed contracts and paid a commitment fee to three lenders which provides for a total of $900 million in guaranteed repo lines at pre-determined borrowing rates and haircuts for a 364 day period following the starting date of each said contract. There is no obligation on the part of the Company to utilize these lines.
Asset Class |
| Weighted Average Maturity |
| Longest maturity |
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Fixed Rate |
| 114 |
| 25-Oct-05 |
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Adjst Rate MBS |
| 75 |
| 1-Nov-05 |
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Hybrids Adj Rate |
| 185 |
| 25-Oct-05 |
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CMO Floating Rate |
| 40 |
| 15-Mar-05 |
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Baloon Maturity |
| 68 |
| 28-Jun-05 |
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| 94 |
| 1-Nov-05 |
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