Exhibit 99.1
UNAUDITED as of 8/17/2005 |
Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions. Prices Used Have Been Internally Generated.
Valuation
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Asset Category |
| Market Value |
| As a Percentage of |
| As a Percentage of |
| |||
Fixed Rate Mortgage Backed Securities |
| $ | 655,875,066 |
| 17.61% |
|
| 16.55% |
|
|
Fixed Rate CMO |
| $ | 90,673,430 |
| 2.43% |
|
| 2.29% |
|
|
Fixed Rate Agency Debt |
| $ | 99,000,000 |
| 2.66% |
|
| 2.50% |
|
|
Adjustable Rate Mortgage Backed Securities (1) |
| $ | 2,042,903,079 |
| 54.85% |
|
| 51.56% |
|
|
Hybrid Adjustable Rate Mortgage Backed Securities |
| $ | 780,603,707 |
| 20.96% |
|
| 19.70% |
|
|
Balloon Maturity Mortgage Backed Securities |
| $ | 55,345,621 |
| 1.49% |
|
| 1.40% |
|
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Total: Mortgage Assets (2) |
| $ | 3,724,400,903 |
| 100.00% |
|
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Total Cash, P&I Receivables, and Cash on Margin |
| $ | 237,470,150 |
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| 5.99% |
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Total: All Assets |
| $ | 3,961,871,053 |
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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) This includes Forward Settling Purchases.
Note: The Value of Securities in the Box is $688,583
Characteristics
Asset Category |
| Weighted Average |
| Weighted Average |
| Weighted Average |
| Weighted Average |
| Longest |
| Weighted Average |
| ||||
Fixed Rate Mortgage Backed Securities |
| 6.93% |
|
| n/a |
|
| n/a |
|
| n/a |
|
| 1-Jun-35 |
| 282 |
|
Fixed Rate CMO |
| 5.51% |
|
| n/a |
|
| n/a |
|
| n/a |
|
| 25-Jul-34 |
| 331 |
|
Fixed Rate Agency Debt |
| 4.00% |
|
| n/a |
|
| n/a |
|
| n/a |
|
| 25-Feb-10 |
| 54 |
|
Adjustable Rate Mortgage Backed Securities (3) |
| 4.25% |
|
| 10.59 | % |
| 1.79 | % |
| 4.48 |
|
| 1-Dec-42 |
| 337 |
|
Hybrid Adjustable Rate Mortgage Backed Securities |
| 4.34% |
|
| 10.01 | % |
| 1.61 | % |
| 21.30 |
|
| 1-Apr-44 |
| 342 |
|
Balloon Maturity Mortgage Backed Securities |
| 4.07% |
|
| n/a |
|
| n/a |
|
| n/a |
|
| 1-Feb-11 |
| 53 |
|
Total: Mortgage Assets |
| 4.76% |
|
| 10.43 | % |
| 1.73 | % |
| 9.13 |
|
| 1-Apr-44 |
| 316 |
|
(3) 38.4% ($784.3 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 |
| ||
Fannie Mae |
| $ | 2,383,512,019 |
| 64.00% |
|
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Freddie Mac |
| $ | 707,599,770 |
| 19.00% |
|
|
Ginnie Mae |
| $ | 633,289,114 |
| 17.00% |
|
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Total Portfolio |
| $ | 3,724,400,903 |
| 100.00% |
|
|
Pool Status |
| Market Value |
| As a Percentage of Mortgage Assets |
| ||
Whole Pool |
| $ | 2,190,963,675 |
| 58.83% |
|
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Non Whole Pool |
| $ | 1,533,437,228 |
| 41.17% |
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Total Portfolio |
| $ | 3,724,400,903 |
| 100.00% |
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Prepayment Speeds
Asset Category |
| Weighted Average |
| Weighted Average |
| ||
Fixed Rate Mortgage Backed Securities |
| 27.03 | % |
| 32.02 | % |
|
Fixed Rate CMO |
| 37.37 | % |
| 36.88 | % |
|
Fixed Rate Agency Debt |
| n/a |
|
| n/a |
|
|
Adjustable Rate Mortgage Backed Securities |
| 33.81 | % |
| 35.54 | % |
|
Hybrid Adjustable Rate Mortgage Backed Securities |
| 37.38 | % |
| 32.83 | % |
|
Balloon Maturity Mortgage Backed Securities |
| 47.44 | % |
| 31.54 | % |
|
Total: Mortgage Assets |
| 33.54 | % |
| 33.96 | % |
|
On August 5, 2005 Prepayment Speeds were released for paydowns occurring in July 2005 (May - July for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration |
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Weighted Average Purchase Price |
| $ | 102.89 |
|
Weighted Average Current Price |
| $ | 101.81 |
|
Modeled Effective Duration (as of 08/15/05) |
| 1.078 |
|
UNAUDITED as of 8/17/2005 |
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| Internally |
| % of Asset |
| % of Total Mortgage |
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Adjustable Rate Mortgages |
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One Month Libor |
| $ | 62,426,699 |
| 3.06 | % |
| 1.68 | % |
|
Moving Treasury Average |
| $ | 73,035,800 |
| 3.58 | % |
| 1.96 | % |
|
Cost Of Funds Index |
| $ | 447,827,580 |
| 21.92 | % |
| 12.02 | % |
|
Six Month LIBOR |
| $ | 281,326,147 |
| 13.77 | % |
| 7.55 | % |
|
Six Month CD Rate |
| $ | 3,291,912 |
| 0.16 | % |
| 0.09 | % |
|
One Year LIBOR |
| $ | 271,549,143 |
| 13.29 | % |
| 7.29 | % |
|
Conventional One Year CMT |
| $ | 535,301,639 |
| 26.20 | % |
| 14.37 | % |
|
FHA and VA One Year CMT |
| $ | 360,975,614 |
| 17.67 | % |
| 9.69 | % |
|
Other |
| $ | 7,168,545 |
| 0.35 | % |
| 0.19 | % |
|
Total ARMs |
| $ | 2,042,903,079 |
| 100.00 | % |
| 54.85 | % |
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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 |
| $ | 270,259,487 |
| 34.62 | % |
| 7.26 | % |
|
19 - 24 Months to First Reset |
| $ | 204,424,911 |
| 26.19 | % |
| 5.49 | % |
|
25 - 36 Months to First Reset |
| $ | 21,563,583 |
| 2.76 | % |
| 0.58 | % |
|
37 - 38 Months to First Reset |
| $ | 0 |
| 0.00 | % |
| 0.00 | % |
|
Total |
| $ | 496,247,981 |
| 63.57 | % |
| 13.32 | % |
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Agency Alt-A Hybrid ARMs |
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13 - 18 Months to First Reset |
| $ | 8,152,601 |
| 1.04 | % |
| 0.22 | % |
|
19 - 24 Months to First Reset |
| $ | 24,819,206 |
| 3.18 | % |
| 0.67 | % |
|
25 - 36 Months to First Reset |
| $ | 15,103,039 |
| 1.93 | % |
| 0.41 | % |
|
37 - 50 Months to First Reset |
| $ | 16,236,589 |
| 2.08 | % |
| 0.44 | % |
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Total |
| $ | 64,311,434 |
| 8.24 | % |
| 1.73 | % |
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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 - 36 Months to First Reset |
| $ | 220,044,291 |
| 28.19 | % |
| 5.91 | % |
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Total |
| $ | 220,044,291 |
| 28.19 | % |
| 5.91 | % |
|
Total Hybrid ARMs |
| $ | 780,603,707 |
| 100.00 | % |
| 20.96 | % |
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| Internally |
| % of Asset |
| % of Total Mortgage |
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Balloons |
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< = 4.5 Years to Balloon Date |
| $ | 18,002,499 |
| 32.53 | % |
| 0.48 | % |
|
4.6 - 5.5 Years to Balloon Date |
| $ | 23,828,347 |
| 43.05 | % |
| 0.64 | % |
|
5.6 - 6.0 Years to Balloon Date |
| $ | 13,514,775 |
| 24.42 | % |
| 0.36 | % |
|
Total Balloons |
| $ | 55,345,621 |
| 100.00 | % |
| 1.49 | % |
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Fixed Rate Agency Debt |
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4.5yr Stated Final Maturity |
| $ | 99,000,000 |
| 100.00 | % |
| 2.66 | % |
|
Total Fixed Rate Agency Debt |
| $ | 99,000,000 |
| 100.00 | % |
| 2.66 | % |
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Fixed Rate CMOs |
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Fixed Rate CMOs |
| $ | 90,673,430 |
| 100.00 | % |
| 2.43 | % |
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Total Fixed Rate CMOs |
| $ | 90,673,430 |
| 100.00 | % |
| 2.43 | % |
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Fixed Rate Assets |
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10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
| $ | 2,337,864 |
| 0.31 | % |
| 0.06 | % |
|
15year $85,000 Maximum Loan Size |
| $ | 82,162,320 |
| 11.01 | % |
| 2.21 | % |
|
15year $110,000 Maximum Loan Size |
| $ | 5,226,327 |
| 0.70 | % |
| 0.14 | % |
|
15yr 100% Investor Property |
| $ | 635,364 |
| 0.09 | % |
| 0.02 | % |
|
15yr 100% FNMA Expanded Approval Level 3 |
| $ | 1,276,142 |
| 0.17 | % |
| 0.03 | % |
|
15yr 100% Alt-A |
| $ | 45,371,717 |
| 6.08 | % |
| 1.22 | % |
|
15yr Geography Specific (NY, FL, VT, TX) |
| $ | 535,087 |
| 0.07 | % |
| 0.01 | % |
|
15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
| $ | 31,469,754 |
| 4.22 | % |
| 0.84 | % |
|
20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
| $ | 1,307,283 |
| 0.18 | % |
| 0.04 | % |
|
20yr 100% Alt-A |
| $ | 1,127,462 |
| 0.15 | % |
| 0.03 | % |
|
30year $85,000 Maximum Loan Size |
| $ | 166,815,598 |
| 22.34 | % |
| 4.48 | % |
|
30year $110,000 Maximum Loan Size |
| $ | 45,372,038 |
| 6.08 | % |
| 1.22 | % |
|
30yr 100% Investor Property |
| $ | 7,906,504 |
| 1.06 | % |
| 0.21 | % |
|
30yr 100% FNMA Expanded Approval Level 3 |
| $ | 70,606,397 |
| 9.46 | % |
| 1.90 | % |
|
30yr 100% Alt-A |
| $ | 56,181,385 |
| 7.53 | % |
| 1.51 | % |
|
30yr Geography Specific (NY, FL, VT, TX) |
| $ | 5,241,997 |
| 0.70 | % |
| 0.14 | % |
|
30yr 100% GNMA Builder Buydown Program |
| $ | 8,522,594 |
| 1.14 | % |
| 0.23 | % |
|
30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) |
| $ | 123,779,235 |
| 16.58 | % |
| 3.32 | % |
|
Total Fixed Rate Collateral |
| $ | 655,875,066 |
| 100.00 | % |
| 17.61 | % |
|
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Total (All Mortgage Assets) |
| $ | 3,724,400,903 |
|
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|
| 100.00 | % |
|
Cash or Cash Receivables |
| $ | 237,470,150 |
|
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|
Total Assets and Cash |
| $ | 3,961,871,053 |
|
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Total Forward Settling Purchases |
| $ | 8,448,833 |
|
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|
| 0.23 | % |
|
Unaudited Funding Information as of 8/17/2005 |
|
Repurchase Counterparties |
| Dollar Amount of |
| Weighted Average |
| Longest |
| |
|
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| |
Deutsche Bank (1) |
| $ | 850,651,906 |
| 190 |
| 29-May-06 |
|
Nomura |
| $ | 783,963,000 |
| 108 |
| 1-May-06 |
|
Cantor Fitzgerald |
| $ | 638,187,932 |
| 152 |
| 25-Apr-06 |
|
REFCO |
| $ | 314,014,000 |
| 17 |
| 6-Sep-05 |
|
Bear Stearns |
| $ | 217,019,000 |
| 113 |
| 7-Jul-06 |
|
Goldman Sachs |
| $ | 195,588,117 |
| 53 |
| 30-Jan-06 |
|
Countrywide Securities |
| $ | 126,917,000 |
| 48 |
| 22-Dec-05 |
|
WAMU |
| $ | 122,175,000 |
| 18 |
| 13-Jan-06 |
|
Bank of America |
| $ | 110,092,000 |
| 13 |
| 23-Sep-05 |
|
JP Morgan Securities |
| $ | 91,475,720 |
| 199 |
| 10-Jul-06 |
|
UBS Securities |
| $ | 79,132,000 |
| 169 |
| 25-Apr-06 |
|
Merrill Lynch |
| $ | 58,303,000 |
| 244 |
| 19-Apr-06 |
|
Lehman Brothers |
| $ | 57,982,000 |
| 64 |
| 21-Oct-05 |
|
Daiwa Securities |
| $ | 33,546,000 |
| 200 |
| 7-Jul-06 |
|
Morgan Stanley |
| $ | 4,160,759 |
| 138 |
| 3-Jan-06 |
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Total |
| $ | 3,683,207,433 |
| 122 |
| 10-Jul-06 |
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Total Forward Settling Purchases |
| 8,448,833 |
|
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Estimated Haircut (at 3%) |
| 253,465 |
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Estimated Forward Borrowings |
| 8,195,368 |
|
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| |
Est Total Borrowing |
| $ | 3,691,402,801 |
|
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Asset Class |
| Weighted Average |
| Longest Maturity |
|
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|
Fixed Rate MBS |
| 106 |
| 7-Jul-06 |
|
Fixed Rate CMO |
| 43 |
| 27-Feb-06 |
|
Fixed Rate Agency Debt |
| 29 |
| 16-Sep-05 |
|
Adjustable Rate MBS |
| 109 |
| 29-May-06 |
|
Hybrid Adjustable Rate MBS |
| 190 |
| 10-Jul-06 |
|
Balloon Maturity MBS |
| 95 |
| 29-May-06 |
|
|
| 122 |
| 10-Jul-06 |
|
(1) Includes $507 Million floating rate repo obligations