EXHIBIT 99.1
UNAUDITED as of 3/7/2005 |
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Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions. Prices Used Are Internally Generated
Valuation |
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Asset Category |
| Market Value |
| As a Percent of |
| As a Percent of Mortgage |
| |||
Fixed Rate Mortgage Backed Securities |
| $ | 825,542,171 |
| 24.20 | % |
| 22.96 | % |
|
Fixed Rate CMO |
| $ | 104,631,107 |
| 3.07 | % |
| 2.91 | % |
|
Fixed Rate Agency Debt |
| $ | 99,171,875 |
| 2.91 | % |
| 2.76 | % |
|
CMO Floaters (Monthly Resetting) |
| $ | 76,006,740 |
| 2.23 | % |
| 2.11 | % |
|
Adjustable Rate Mortgage Backed Securities (1) |
| $ | 1,723,854,106 |
| 50.53 | % |
| 47.93 | % |
|
Hybrid Adjustable Rate Mortgage Backed Securities |
| $ | 515,860,285 |
| 15.12 | % |
| 14.34 | % |
|
Balloon Maturity Mortgage Backed Securities |
| $ | 66,542,597 |
| 1.95 | % |
| 1.85 | % |
|
Total: Mortgage Assets (2) (3) |
| $ | 3,411,608,880 |
| 100.00 | % |
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Cash as of 3/7/2005 (4) |
| $ | 98,563,731 |
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| 2.74 | % |
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P&I Receivables (As of 3/7/2005) |
| $ | 86,163,927 |
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| 2.40 | % |
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Total: All Assets |
| $ | 3,596,336,538 |
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| 100.00 | % |
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(1) Adjustable Rate MBS are those that reset coupons within one year’s time.
(2) Included in Total Mortgage Assets are Forward Settling Purchases with a Market Value equal to $83,059,184
(3) Excluded from Total Mortgage Assets are Forward Settling Sales with a Market Value equal to $172,040,665
(4) As of 3/7/2005 cash on margin was $23,835,000 and the value of securities held in the box was $7.5 million.
Characteristics |
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Asset Category |
| Weighted Average |
| Weighted Average |
| Weighted Average |
| Weighted Average |
| Longest |
| Weighted Average |
| |||
Fixed Rate Mortgage Backed Securities |
| 6.95 | % |
| n/a |
|
| n/a |
|
| n/a |
| 1-Jan-35 |
| 290 |
|
Fixed Rate CMO |
| 5.50 | % |
| n/a |
|
| n/a |
|
| n/a |
| 25-Jul-34 |
| 353 |
|
Fixed Rate Agency Debt |
| 4.00 | % |
| n/a |
|
| n/a |
|
| n/a |
| 25-Feb-10 |
| 60 |
|
CMO Floaters (Monthly Resetting) |
| 3.05 | % |
| 7.78 | % |
| n/a |
|
| 0.47 |
| 25-May-34 |
| 330 |
|
Adjustable Rate Mortgage Backed Securities (5) |
| 4.03 | % |
| 10.80 | % |
| 1.44 | % |
| 4.01 |
| 1-Dec-42 |
| 344 |
|
Hybrid Adjustable Rate Mortgage Backed Securities |
| 4.62 | % |
| 10.26 | % |
| 1.23 | % |
| 27.41 |
| 20-Jan-35 |
| 349 |
|
Balloon Maturity Mortgage Backed Securities |
| 4.07 | % |
| n/a |
|
| n/a |
|
| n/a |
| 1-Feb-11 |
| 58 |
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Total: Mortgage Assets |
| 4.85 | % |
| 10.58 | % |
| 1.37 | % |
| 9.11 |
| 1-Dec-42 |
| 318 |
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(5) 47.4% ($816.8 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Caps. These assets are excluded from the weighted average periodic cap per year calculation.
Agency |
| Market Value |
| As a Percentage of |
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| Market Value |
| As a Percentage of |
| ||||
Fannie Mae |
| $ | 2,222,035,737 |
| 65.13 | % |
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| Whole Pool |
| $ | 1,946,884,528 |
| 57.07 | % |
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Freddie Mac |
| $ | 532,921,976 |
| 15.62 | % |
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| Non Whole Pool |
| $ | 1,464,724,353 |
| 42.93 | % |
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Ginnie Mae |
| $ | 656,651,167 |
| 19.25 | % |
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| Total Portfolio |
| $ | 3,411,608,880 |
| 100.00 | % |
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Total Portfolio |
| $ | 3,411,608,880 |
| 100.00 | % |
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Portfolio Price and Duration |
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Weighted Average Purchase Price |
| $ | 103.13 |
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Weighted Average Current Price |
| $ | 103.27 |
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Modeled Effective Duration |
| 0.950 |
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Prepayment Speeds
On March 7, 2005 Prepayment Speeds were released for paydowns occurring in February 2005. The numbers below reflect that data.
Asset Category |
| Weighted Average |
| |
Fixed Rate Mortgage Backed Securities |
| 27.69 | % |
|
Fixed Rate CMO |
| 18.40 | % |
|
Fixed Rate Agency Debt |
| n/a |
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CMO Floaters |
| 15.90 | % |
|
Adjustable Rate Mortgage Backed Securities |
| 22.78 | % |
|
Hybrid Adjustable Rate Mortgage Backed Securities |
| 21.63 | % |
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Balloon Maturity Mortgage Backed Securities |
| 23.59 | % |
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Total: Mortgage Assets |
| 23.52 | % |
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UNAUDITED as of 3/7/2005 |
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| Internally Generated Market Value |
| % of Asset Class |
| % of Total Mortgage Assets |
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Adjustable Rate Mortgages |
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One Month Libor |
| $ | 41,950,710 |
| 2.43 | % |
| 1.23 | % |
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Moving Treasury Average |
| $ | 85,151,795 |
| 4.94 | % |
| 2.50 | % |
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Cost Of Funds Index |
| $ | 485,134,428 |
| 28.14 | % |
| 14.22 | % |
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Six Month LIBOR |
| $ | 297,126,245 |
| 17.24 | % |
| 8.71 | % |
|
Six Month CD Rate |
| $ | 4,032,587 |
| 0.23 | % |
| 0.12 | % |
|
One Year LIBOR |
| $ | 152,475,117 |
| 8.85 | % |
| 4.47 | % |
|
Conventional One Year CMT |
| $ | 320,495,230 |
| 18.59 | % |
| 9.39 | % |
|
FHA and VA One Year CMT |
| $ | 333,913,605 |
| 19.37 | % |
| 9.79 | % |
|
National Mortgage Contract Rate |
| $ | 3,574,389 |
| 0.21 | % |
| 0.10 | % |
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Total ARMs |
| $ | 1,723,854,106 |
| 100.00 | % |
| 50.53 | % |
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CMO Floaters (Monthly Resetting) |
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Short Stable |
| $ | 36,288,760 |
| 47.74 | % |
| 1.06 | % |
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Pass-Through |
| $ | 39,717,980 |
| 52.26 | % |
| 1.16 | % |
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Locked Out |
| $ | 0 |
| 0.00 | % |
| 0.00 | % |
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Total CMOs |
| $ | 76,006,740 |
| 100.00 | % |
| 2.23 | % |
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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 |
| $ | 100,599,979 |
| 19.50 | % |
| 2.95 | % |
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19 - 24 Months to First Reset |
| $ | 38,215,393 |
| 7.41 | % |
| 1.12 | % |
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25 - 36 Months to First Reset |
| $ | 26,059,061 |
| 5.05 | % |
| 0.76 | % |
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37 - 60 Months to First Reset |
| $ | 0 |
| 0.00 | % |
| 0.00 | % |
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Total |
| $ | 164,874,432 |
| 31.96 | % |
| 4.83 | % |
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Agency Alt-A Hybrid ARMs |
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13 - 18 Months to First Reset |
| $ | 28,928,701 |
| 5.61 | % |
| 0.85 | % |
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19 - 24 Months to First Reset |
| $ | 8,428,919 |
| 1.63 | % |
| 0.25 | % |
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25 - 36 Months to First Reset |
| $ | 37,842,357 |
| 7.34 | % |
| 1.11 | % |
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37 - 60 Months to First Reset |
| $ | 18,960,517 |
| 3.68 | % |
| 0.56 | % |
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Total |
| $ | 94,160,494 |
| 18.25 | % |
| 2.76 | % |
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GNMA Hybrid ARMs |
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13 - 24 Months to First Reset |
| $ | 0 |
| 0.00 | % |
| 0.00 | % |
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25 - 39 Months to First Reset |
| $ | 256,825,359 |
| 49.79 | % |
| 7.53 | % |
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Total |
| $ | 256,825,359 |
| 49.79 | % |
| 7.53 | % |
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Total Hybrid ARMs |
| $ | 515,860,285 |
| 100.00 | % |
| 15.12 | % |
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Balloons |
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< = 4.5 Years to Balloon Date |
| $ | 28,227,073 |
| 42.42 | % |
| 0.83 | % |
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4.6 - 5.5 Years to Balloon Date |
| $ | 21,138,223 |
| 31.77 | % |
| 0.62 | % |
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5.6 - 6.0 Years to Balloon Date |
| $ | 17,177,300 |
| 25.81 | % |
| 0.50 | % |
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Total Balloons |
| $ | 66,542,597 |
| 100.00 | % |
| 1.95 | % |
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Fixed Rate Agency Debt |
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5yr Stated Final Maturity |
| $ | 99,171,875 |
| 100.00 | % |
| 2.91 | % |
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Total Fixed Rate Agency Debt |
| $ | 99,171,875 |
| 100.00 | % |
| 2.91 | % |
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Fixed Rate Assets |
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Short Sequential Fixed Rate CMO |
| $ | 104,631,107 |
| 11.25 | % |
| 3.07 | % |
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10yr Other (Seasoned, Low Avg Bal, Low FICO, etc) |
| $ | 2,740,143 |
| 0.29 | % |
| 0.08 | % |
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15year $85,000 Maximum Loan Size |
| $ | 93,467,517 |
| 10.05 | % |
| 2.74 | % |
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15year $110,000 Maximum Loan Size |
| $ | 5,932,161 |
| 0.64 | % |
| 0.17 | % |
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15yr 100% Investor Property |
| $ | 1,067,232 |
| 0.11 | % |
| 0.03 | % |
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15yr 100% FNMA Expanded Approval Level 3 |
| $ | 2,024,626 |
| 0.22 | % |
| 0.06 | % |
|
15yr 100% Alt-A |
| $ | 55,108,622 |
| 5.92 | % |
| 1.62 | % |
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15yr Geography Specific (NY, FL, VT, TX) |
| $ | 974,761 |
| 0.10 | % |
| 0.03 | % |
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15yr Other (Seasoned, Low Avg Bal, Low FICO, etc) |
| $ | 39,355,489 |
| 4.23 | % |
| 1.15 | % |
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20yr Other (Seasoned, Low Avg Bal, Low FICO, etc) |
| $ | 1,546,114 |
| 0.17 | % |
| 0.05 | % |
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20yr 100% Alt-A |
| $ | 1,752,405 |
| 0.19 | % |
| 0.05 | % |
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30year $85,000 Maximum Loan Size |
| $ | 189,947,150 |
| 20.42 | % |
| 5.57 | % |
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30year $110,000 Maximum Loan Size |
| $ | 55,117,147 |
| 5.93 | % |
| 1.62 | % |
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30yr 100% Investor Property |
| $ | 10,437,431 |
| 1.12 | % |
| 0.31 | % |
|
30yr 100% FNMA Expanded Approval Level 3 |
| $ | 99,257,704 |
| 10.67 | % |
| 2.91 | % |
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30yr 100% Alt-A |
| $ | 84,619,950 |
| 9.10 | % |
| 2.48 | % |
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30yr Geography Specific (NY, FL, VT, TX) |
| $ | 6,927,590 |
| 0.74 | % |
| 0.20 | % |
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30yr 100% GNMA Builder Buydown Program |
| $ | 12,428,123 |
| 1.34 | % |
| 0.36 | % |
|
30yr Other (Seasoned, Low Avg Bal, Low FICO, etc) |
| $ | 162,838,005 |
| 17.51 | % |
| 4.77 | % |
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Total Fixed Rate Collateral |
| $ | 930,173,278 |
| 100.00 | % |
| 27.26 | % |
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Total (All Mortgage Assets) |
| $ | 3,411,608,880 |
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| 100.00 | % |
|
Cash or Cash Receivables |
| $ | 184,727,658 |
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Total Assets and Cash |
| $ | 3,596,336,538 |
|
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Total Forward Settling Purchases |
| $ | 83,059,184 |
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| 2.43 | % |
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Unaudited Funding Information as of 3/7/2005 |
|
Repurchase Counterparties |
| Dollar Amount of |
| Weighted Average |
| Longest |
| |
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JP Morgan Securities |
| $ | 500,728,000 |
| 34 |
| 29-Aug-05 |
|
Deutsche Bank |
| $ | 448,424,250 |
| 145 |
| 25-Oct-05 |
|
Nomura |
| $ | 382,769,000 |
| 67 |
| 20-Oct-05 |
|
Countrywide Securities |
| $ | 336,956,000 |
| 36 |
| 1-Jun-05 |
|
Bear Stearns |
| $ | 296,504,000 |
| 62 |
| 19-Sep-05 |
|
Bank of America |
| $ | 241,114,000 |
| 108 |
| 29-Aug-05 |
|
WAMU |
| $ | 239,851,000 |
| 96 |
| 26-Aug-05 |
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Lehman Brothers |
| $ | 218,160,786 |
| 86 |
| 21-Oct-05 |
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UBS Securities |
| $ | 148,360,000 |
| 93 |
| 1-Aug-05 |
|
Cantor Fitzgerald |
| $ | 119,738,439 |
| 141 |
| 27-Sep-05 |
|
Merrill Lynch |
| $ | 103,032,000 |
| 115 |
| 22-Jul-05 |
|
Goldman Sachs |
| $ | 65,069,989 |
| 53 |
| 27-May-05 |
|
Morgan Stanley |
| $ | 64,288,000 |
| 27 |
| 12-Apr-05 |
|
Daiwa Securities |
| $ | 59,434,000 |
| 116 |
| 1-Nov-05 |
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Total |
| $ | 3,224,429,464 |
| 81 |
| 1-Nov-05 |
|
Asset Class |
| Weighted Average |
| Longest maturity |
|
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|
Fixed Rate |
| 124 |
| 25-Oct-05 |
|
CMO Floating Rate |
| 13 |
| 24-Mar-05 |
|
Adjustable Rate MBS |
| 61 |
| 1-Nov-05 |
|
Hybrids Adjustable Rate |
| 117 |
| 25-Oct-05 |
|
Balloon Maturity |
| 134 |
| 27-Sep-05 |
|
|
| 81 |
| 1-Nov-05 |
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NB: Total Liabilities as of 3/7/05 are net of the $170m forward settling sale of assets.