Exhibit 99.1
UNAUDITED as of 5/11/2005
Bimini Mortgage Management, Inc. - Asset Information | 
|
This Table Reflects All Transactions. Prices Used Have Been Internally Generated. |
Valuation
Asset Category | | Market Value | | As a Percentage of
Mortgage Assets | | As a Percentage of
Mortgage Assets, Cash
and P&I Receivable | |
Fixed Rate Mortgage Backed Securities | | $ | 736,303,780 | | 22.89 | % | 21.89 | % |
Fixed Rate CMO | | $ | 94,128,603 | | 2.93 | % | 2.80 | % |
Fixed Rate Agency Debt | | $ | 98,750,000 | | 3.07 | % | 2.94 | % |
CMO Floaters (Monthly Resetting) | | $ | 69,876,920 | | 2.17 | % | 2.08 | % |
Adjustable Rate Mortgage Backed Securities (1) | | $ | 1,714,636,278 | | 53.30 | % | 50.98 | % |
Hybrid Adjustable Rate Mortgage Backed Securities | | $ | 441,637,810 | | 13.73 | % | 13.13 | % |
Balloon Maturity Mortgage Backed Securities | | $ | 61,323,204 | | 1.91 | % | 1.82 | % |
Total: Mortgage Assets (2) | | $ | 3,216,656,595 | | 100.00 | % | | |
| | | | | | | |
Cash as of 5/11/2005 (3) | | $ | 56,471,795 | | | | 1.68 | % |
P&I Receivables (As of 5/11/2005) | | $ | 90,181,409 | | | | 2.68 | % |
Total: All Assets | | $ | 3,363,309,799 | | | | 100.00 | % |
(1) Adjustable Rate MBS are those that reset coupons within one year’s time.
(2) There are $26.0 Million Forward Settling Purchases included in Total Mortgage Assets
(3) As of 5/11/2005 cash on margin was $99.5 Million and the value of securities held in the box was $1.6 million.
Prepayment Speeds
Asset Category | | Weighted Average
One Month
Prepayment Speeds
(CPR) | | Weighted Average
Three Month
Prepayment Speeds
(CPR) | |
Fixed Rate Mortgage Backed Securities | | 25.03 | % | 27.48 | % |
Fixed Rate CMO | | 29.84 | % | 23.24 | % |
Fixed Rate Agency Debt | | n/a | | n/a | |
CMO Floaters | | 14.80 | % | 16.72 | % |
Adjustable Rate Mortgage Backed Securities | | 24.01 | % | 26.73 | % |
Hybrid Adjustable Rate Mortgage Backed Securities | | 25.79 | % | 25.08 | % |
Balloon Maturity Mortgage Backed Securities | | 19.23 | % | 22.07 | % |
Total: Mortgage Assets | | 24.41 | % | 26.17 | % |
On May 6, 2005 Prepayment Speeds were released for paydowns occurring in April 2005 (Feb-April for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration
Weighted Average Purchase Price | | $ | 103.38 | |
Weighted Average Current Price | | $ | 102.73 | |
Modeled Effective Duration | | 0.935 | |
Characteristics
Asset Category | | Weighted Average
Coupon | | Weighted Average
Lifetime Cap | | Weighted Average
Periodic Cap
Per Year (4) | | Weighted Average
Coupon Reset
(in Months) | | Longest
Maturity | | Weighted Average
Maturity
(in Months) | |
Fixed Rate Mortgage Backed Securities | | 6.94 | % | n/a | | n/a | | n/a | | 1-Mar-35 | | 286 | |
Fixed Rate CMO | | 5.50 | % | n/a | | n/a | | n/a | | 25-Jul-34 | | 350 | |
Fixed Rate Agency Debt | | 4.00 | % | n/a | | n/a | | n/a | | 25-Feb-10 | | 57 | |
CMO Floaters (Monthly Resetting) | | 3.32 | % | 7.78 | % | n/a | | 0.38 | | 25-May-34 | | 328 | |
Adjustable Rate Mortgage Backed Securities (4) | | 4.10 | % | 10.82 | % | 1.49 | % | 3.55 | | 1-Dec-42 | | 340 | |
Hybrid Adjustable Rate Mortgage Backed Securities | | 4.66 | % | 10.22 | % | 1.23 | % | 26.55 | | 20-Jan-35 | | 348 | |
Balloon Maturity Mortgage Backed Securities | | 4.08 | % | n/a | | n/a | | n/a | | 1-Feb-11 | | 56 | |
Total: Mortgage Assets | | 4.85 | % | 10.61 | % | 1.40 | % | 8.01 | | 1-Dec-42 | | 315 | |
(4) 45.5% ($779.2 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
Mortgage Assets | |
Fannie Mae | | $ | 2,049,603,477 | | 63.72 | % |
Freddie Mac | | $ | 563,838,829 | | 17.53 | % |
Ginnie Mae | | $ | 603,214,289 | | 18.75 | % |
Total Portfolio | | $ | 3,216,656,595 | | 100.00 | % |
Pool Status | | Market Value | | As a Percentage of
Mortgage Assets | |
Whole Pool | | $ | 1,842,529,535 | | 57.28 | % |
Non Whole Pool | | $ | 1,374,127,060 | | 42.72 | % |
| | | | | |
Total Portfolio | | $ | 3,216,656,595 | | 100.00 | % |
| | Internally
Generated Market Value | | % of Asset
Class | | % of Total Mortgage
Assets | |
Adjustable Rate Mortgages | | | | | | | |
One Month Libor | | $ | 39,555,099 | | 2.31 | % | 1.23 | % |
Moving Treasury Average | | $ | 80,811,482 | | 4.71 | % | 2.51 | % |
Cost Of Funds Index | | $ | 455,091,627 | | 26.54 | % | 14.15 | % |
Six Month LIBOR | | $ | 296,744,548 | | 17.31 | % | 9.23 | % |
Six Month CD Rate | | $ | 3,871,679 | | 0.23 | % | 0.12 | % |
One Year LIBOR | | $ | 156,578,610 | | 9.13 | % | 4.87 | % |
Cash as of 5/11/2005 (3) | | $ | 371,333,009 | | 21.66 | % | 11.54 | % |
P&I Receivables (As of 5/11/2005) | | $ | 303,805,171 | | 17.72 | % | 9.44 | % |
Other | | $ | 6,845,052 | | 0.40 | % | 0.21 | % |
Total ARMs | | $ | 1,714,636,278 | | 100.00 | % | 53.30 | % |
| | | | | | | |
CMO Floaters (Monthly Resetting) | | | | | | | |
Short Stable | | $ | 32,816,828 | | 46.96 | % | 1.02 | % |
Pass-Through | | $ | 37,060,092 | | 53.04 | % | 1.15 | % |
Locked Out | | $ | 0 | | 0.00 | % | 0.00 | % |
Total CMOs | | $ | 69,876,920 | | 100.00 | % | 2.17 | % |
| | | | | | | |
Hybrid ARMs | | | | | | | |
Generic Fannie or Freddie Hybrid ARMs | | | | | | | |
13 - 18 Months to First Reset | | $ | 104,196,020 | | 23.59 | % | 3.24 | % |
19 - 24 Months to First Reset | | $ | 29,245,387 | | 6.62 | % | 0.91 | % |
25 - 36 Months to First Reset | | $ | 0 | | 0.00 | % | 0.00 | % |
37 - 60 Months to First Reset | | $ | 0 | | 0.00 | % | 0.00 | % |
Total | | $ | 133,441,408 | | 30.22 | % | 4.15 | % |
| | | | | | | |
Agency Alt-A Hybrid ARMs | | | | | | | |
13 - 18 Months to First Reset | | $ | 7,907,323 | | 1.79 | % | 0.25 | % |
19 - 24 Months to First Reset | | $ | 26,861,768 | | 6.08 | % | 0.84 | % |
25 - 36 Months to First Reset | | $ | 16,968,159 | | 3.84 | % | 0.53 | % |
37 - 60 Months to First Reset | | $ | 15,442,441 | | 3.50 | % | 0.48 | % |
Total | | $ | 67,179,692 | | 15.21 | % | 2.09 | % |
| | | | | | | |
GNMA Hybrid ARMs | | | | | | | |
13 - 24 Months to First Reset | | $ | 0 | | 0.00 | % | 0.00 | % |
25 - 39 Months to First Reset | | $ | 241,016,711 | | 54.57 | % | 7.49 | % |
| | | | | | | |
Total | | $ | 241,016,711 | | 54.57 | % | 7.49 | % |
Total Hybrid ARMs | | $ | 441,637,810 | | 100.00 | % | 13.73 | % |
Balloons | | | | | | | |
< = 4.0 Years to Balloon Date | | $ | 12,404,257 | | 20.23 | % | 0.39 | % |
4..01 - 5.0 Years to Balloon Date | | $ | 33,033,293 | | 53.87 | % | 1.03 | % |
5.0 - 6.0 Years to Balloon Date | | $ | 15,885,654 | | 25.90 | % | 0.49 | % |
Total Balloons | | $ | 61,323,204 | | 100.00 | % | 1.91 | % |
| | | | | | | |
Fixed Rate Agency Debt | | | | | | | |
5yr Stated Final Maturity | | $ | 98,750,000 | | 100.00 | % | 3.07 | % |
Total Fixed Rate Agency Debt | | $ | 98,750,000 | | 100.00 | % | 3.07 | % |
| | | | | | | |
Fixed Rate Assets | | | | | | | |
Short Sequential Fixed Rate CMO | | $ | 94,128,603 | | 11.33 | % | 2.93 | % |
10yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 2,602,931 | | 0.31 | % | 0.08 | % |
15year $85,000 Maximum Loan Size | | $ | 87,560,636 | | 10.54 | % | 2.72 | % |
15year $110,000 Maximum Loan Size | | $ | 5,742,706 | | 0.69 | % | 0.18 | % |
15yr 100% Investor Property | | $ | 919,247 | | 0.11 | % | 0.03 | % |
15yr 100% FNMA Expanded Approval Level 3 | | $ | 1,971,962 | | 0.24 | % | 0.06 | % |
15yr 100% Alt-A | | $ | 49,777,721 | | 5.99 | % | 1.55 | % |
15yr Geography Specific (NY, FL, VT, TX) | | $ | 544,586 | | 0.07 | % | 0.02 | % |
15yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 35,052,368 | | 4.22 | % | 1.09 | % |
20yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 1,406,088 | | 0.17 | % | 0.04 | % |
20yr 100% Alt-A | | $ | 1,718,464 | | 0.21 | % | 0.05 | % |
30year $85,000 Maximum Loan Size | | $ | 174,363,320 | | 21.00 | % | 5.42 | % |
30year $110,000 Maximum Loan Size | | $ | 50,354,606 | | 6.06 | % | 1.57 | % |
30yr 100% Investor Property | | $ | 9,659,588 | | 1.16 | % | 0.30 | % |
30yr 100% FNMA Expanded Approval Level 3 | | $ | 84,935,203 | | 10.23 | % | 2.64 | % |
30yr 100% Alt-A | | $ | 70,506,818 | | 8.49 | % | 2.19 | % |
30yr Geography Specific (NY, FL, VT, TX) | | $ | 6,109,010 | | 0.74 | % | 0.19 | % |
30yr 100% GNMA Builder Buydown Program | | $ | 10,668,533 | | 1.28 | % | 0.33 | % |
30yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 142,409,993 | | 17.15 | % | 4.43 | % |
Total Fixed Rate Collateral | | $ | 830,432,382 | | 100.00 | % | 25.82 | % |
| | | | | | | |
Total (All Mortgage Assets) | | $ | 3,216,656,595 | | | | 100.00 | % |
Cash or Cash Receivables | | $ | 146,653,204 | | | | | |
Total Assets and Cash | | $ | 3,363,309,799 | | | | | |
| | | | | | | |
Total Forward Settling Purchases | | $ | 25,992,218 | | | | 0.81 | % |
Unaudited Funding Information as of 5/11/2005
Repurchase Counterparties | | Dollar Amount of
Borrowings | | Weighted Average
Maturity in Days | | Longest
Maturity | |
Deutsche Bank(1) | | $ | 880,613,318 | | 276 | | 31-May-06 | |
Nomura | | $ | 498,558,000 | | 145 | | 1-May-06 | |
WAMU | | $ | 305,740,000 | | 39 | | 26-Aug-05 | |
Cantor Fitzgerald | | $ | 246,086,140 | | 132 | | 1-Dec-05 | |
Bear Stearns | | $ | 218,834,000 | | 93 | | 3-Oct-05 | |
Goldman Sachs | | $ | 199,835,069 | | 71 | | 15-Sep-05 | |
Countrywide Securities | | $ | 177,152,000 | | 30 | | 29-Jul-05 | |
Bank of America | | $ | 159,813,000 | | 97 | | 23-Sep-05 | |
Merrill Lynch | | $ | 130,450,000 | | 51 | | 22-Jul-05 | |
UBS Securities | | $ | 90,201,000 | | 67 | | 1-Aug-05 | |
Citigroup | | $ | 84,804,000 | | 15 | | 25-May-05 | |
Lehman Brothers | | $ | 57,982,000 | | 164 | | 21-Oct-05 | |
Daiwa Securities | | $ | 57,308,000 | | 67 | | 1-Nov-05 | |
REFCO | | $ | 52,376,000 | | 34 | | 15-Jun-05 | |
JP Morgan Securities | | $ | 30,787,000 | | 89 | | 29-Aug-05 | |
| | | | | | | |
Total | | $ | 3,190,539,526 | | 140 | | 31-May-06 | |
| | | | | | | |
| | | | | | | |
Total Forward Settling Purchases | | 25,992,218 | | | | | |
| | | | | | | |
Estimated Haircut (at 3%) | | 779,767 | | | | | |
Estimated Forward Borrowings | | 25,212,451 | | | | | |
(1) Includes $507 million floating rate repurchase obligations.
Asset Class | | Weighted Average
Maturity in Days | | Longest Maturity | | | | |
Fixed Rate MBS | | 107 | | 31-May-06 | | | | |
Fixed Rate CMO | | 128 | | 15-Sep-05 | | | | |
Fixed Rate Agency Debt | | 129 | | 16-Sep-05 | | | | |
CMO Floaters (Monthly Resetting) | | 11 | | 24-May-05 | | | | |
Adjustable Rate MBS | | 159 | | 31-May-06 | | | | |
Hybrid Adjustable Rate MBS | | 144 | | 25-May-06 | | | | |
Balloon Maturity MBS | | 71 | | 27-Sep-05 | | | | |
| | 140 | | 31-May-06 | | | | |
