Exhibit 99.1
UNAUDITED as of 9/30/2005
Bimini Mortgage Management, Inc. - Asset Information
This Table Reflects All Transactions. Prices Used Are Compiled from
Independent Third Party Sources. | 
|
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 | | $ | 627,879,364 | | 16.27 | % | 15.51 | % |
Fixed Rate CMO | | $ | 82,381,134 | | 2.14 | % | 2.04 | % |
Fixed Rate Agency Debt | | $ | 98,859,380 | | 2.56 | % | 2.44 | % |
Adjustable Rate Mortgage Backed Securities (1) | | $ | 2,166,581,043 | | 56.15 | % | 53.52 | % |
Hybrid Adjustable Rate Mortgage Backed Securities | | $ | 829,053,560 | | 21.49 | % | 20.48 | % |
Balloon Maturity Mortgage Backed Securities | | $ | 53,565,222 | | 1.39 | % | 1.32 | % |
Total: Mortgage Assets | | $ | 3,858,319,703 | | 100.00 | % | | |
| | | | | | | |
Liquidity | | | | | | | |
Cash as of 9/30/2005 | | $ | 130,111,311 | | | | 3.21 | % |
Dividend Payable | | $ | (8,064,084 | ) | | | -0.20 | % |
Bimini Capital Trust II Net Receivable | | $ | 48,500,000 | | | | 1.20 | % |
P&I Receivables (Net of P&I Waiver Advance) | | $ | 19,294,495 | | | | 0.48 | % |
Cash out on Margin (Encumbered Cash) | | $ | — | | | | 0.00 | % |
Total Liquidity | | $ | 189,841,722 | | | | 4.69 | % |
Total: All Assets | | $ | 4,048,161,425 | | | | 100.00 | % |
(1) Adjustable Rate MBS are those that reset coupons within one year’s time.
Note: The Value of Securities in the Box is $2,111,660
Prepayment Speeds
Asset Category | | Weighted Average
One Month
Prepayment Speeds
(CPR) | | Weighted Average
Three Month
Prepayment Speeds
(CPR) | |
| | | | | |
Fixed Rate Mortgage Backed Securities | | 28.16 | % | 31.72 | % |
Fixed Rate CMO | | 33.08 | % | 34.36 | % |
Fixed Rate Agency Debt | | n/a | | n/a | |
Adjustable Rate Mortgage Backed Securities | | 37.35 | % | 38.79 | % |
Hybrid Adjustable Rate Mortgage Backed Securities | | 36.09 | % | 34.90 | % |
Balloon Maturity Mortgage Backed Securities | | 28.48 | % | 33.18 | % |
Total: Mortgage Assets | | 35.65 | % | 36.59 | % |
On September 8, 2005 Prepayment Speeds were released for paydowns occurring in August 2005 (June - August for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration
Weighted Average Purchase Price | | $ | 102.68 | |
Weighted Average Current Price | | $ | 101.60 | |
Modeled Effective Duration | | 1.184 | |
Characteristics
Asset Category | | Weighted Average
Coupon | | Weighted Average
Lifetime Cap | | Weighted Average
Periodic Cap
Per Year (3) | | Weighted Average
Coupon Reset
(in Months) | | Longest
Maturity | | Weighted Average
Maturity
(in Months) | |
| | | | | | | | | | | | | |
Fixed Rate Mortgage Backed Securities | | 6.93 | % | n/a | | n/a | | n/a | | 1-Jun-35 | | 279 | |
Fixed Rate CMO | | 5.53 | % | n/a | | n/a | | n/a | | 25-Jul-34 | | 329 | |
Fixed Rate Agency Debt | | 4.00 | % | n/a | | n/a | | n/a | | 25-Feb-10 | | 53 | |
Adjustable Rate Mortgage Backed Securities (3) | | 4.26 | % | 10.49 | % | 1.76 | % | 4.44 | | 1-Dec-42 | | 337 | |
Hybrid Adjustable Rate Mortgage Backed Securities | | 4.22 | % | 9.92 | % | 1.64 | % | 20.82 | | 1-Apr-44 | | 342 | |
Balloon Maturity Mortgage Backed Securities | | 4.07 | % | n/a | | n/a | | n/a | | 1-Feb-11 | | 51 | |
Total: Mortgage Assets | | 4.71 | % | 10.33 | % | 1.72 | % | 8.97 | | 1-Apr-44 | | 317 | |
(3) 35.2% ($763.0 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 | | $ | 2,323,395,591 | | 60.22 | % |
Freddie Mac | | $ | 832,257,477 | | 21.57 | % |
Ginnie Mae | | $ | 702,666,635 | | 18.21 | % |
Total Portfolio | | $ | 3,858,319,703 | | 100.00 | % |
Pool Status | | Market Value | | As a Percentage of
Mortgage Assets | |
Whole Pool | | $ | 2,241,580,818 | | 58.10 | % |
Non Whole Pool | | $ | 1,616,738,885 | | 41.90 | % |
| | | | | |
Total Portfolio | | $ | 3,858,319,703 | | 100.00 | % |
| | Market Value | | % of Asset
Class | | % of Total Mortgage
Assets | |
| | | | | | | |
Adjustable Rate Mortgages | | | | | | | |
| | | | | | | |
One Month Libor | | $ | 59,309,112 | | 2.74 | % | 1.54 | % |
Moving Treasury Average | | $ | 69,685,031 | | 3.22 | % | 1.81 | % |
Cost Of Funds Index | | $ | 444,137,100 | | 20.50 | % | 11.51 | % |
Six Month LIBOR | | $ | 261,551,260 | | 12.07 | % | 6.78 | % |
Six Month CD Rate | | $ | 3,134,748 | | 0.14 | % | 0.08 | % |
One Year LIBOR | | $ | 313,550,946 | | 14.47 | % | 8.13 | % |
Conventional One Year CMT | | $ | 575,565,700 | | 26.57 | % | 14.92 | % |
FHA and VA One Year CMT | | $ | 432,666,910 | | 19.97 | % | 11.21 | % |
Other | | $ | 6,980,236 | | 0.32 | % | 0.18 | % |
Total ARMs | | $ | 2,166,581,043 | | 100.00 | % | 56.16 | % |
| | | | | | | |
Hybrid ARMs | | | | | | | |
| | | | | | | |
Generic Fannie or Freddie Hybrid ARMs | | | | | | | |
13 - 18 Months to First Reset | | $ | 208,976,045 | | 25.21 | % | 5.42 | % |
19 - 24 Months to First Reset | | $ | 321,186,061 | | 38.74 | % | 8.32 | % |
25 - 36 Months to First Reset | | $ | 20,609,822 | | 2.49 | % | 0.53 | % |
37 - 38 Months to First Reset | | $ | 0 | | 0.00 | % | 0.00 | % |
Total | | $ | 550,771,928 | | 66.44 | % | 14.27 | % |
| | | | | | | |
Agency Alt-A Hybrid ARMs | | | | | | | |
13 - 18 Months to First Reset | | $ | 8,925,280 | | 1.08 | % | 0.23 | % |
19 - 24 Months to First Reset | | $ | 23,724,334 | | 2.86 | % | 0.61 | % |
25 - 36 Months to First Reset | | $ | 10,946,893 | | 1.32 | % | 0.28 | % |
37 - 50 Months to First Reset | | $ | 14,531,537 | | 1.75 | % | 0.38 | % |
Total | | $ | 58,128,044 | | 7.01 | % | 1.50 | % |
| | | | | | | |
GNMA Hybrid ARMs | | | | | | | |
13 - 24 Months to First Reset | | $ | 0 | | 0.00 | % | 0.00 | % |
25 - 36 Months to First Reset | | $ | 220,153,587 | | 26.55 | % | 5.71 | % |
Total | | $ | 220,153,587 | | 26.55 | % | 5.71 | % |
| | | | | | | |
Total Hybrid ARMs | | $ | 829,053,560 | | 100.00 | % | 21.49 | % |
| | Market Value | | % of Asset
Class | | % of Total Mortgage
Assets | |
| | | | | | | |
Balloons | | | | | | | |
| | | | | | | |
< = 4.0 Years to Balloon Date | | $ | 22,635,978 | | 42.26 | % | 0.59 | % |
4.01 - 5.0 Years to Balloon Date | | $ | 17,434,937 | | 32.55 | % | 0.45 | % |
5.01 - 5.5 Years to Balloon Date | | $ | 13,494,307 | | 25.19 | % | 0.35 | % |
Total Balloons | | $ | 53,565,222 | | 100.00 | % | 1.39 | % |
| | | | | | | |
Fixed Rate Agency Debt | | | | | | | |
| | | | | | | |
4.5yr Stated Final Maturity | | $ | 98,859,380 | | 100.00 | % | 2.56 | % |
Total Fixed Rate Agency Debt | | $ | 98,859,380 | | 100.00 | % | 2.56 | % |
| | | | | | | |
Fixed Rate CMOs | | | | | | | |
| | | | | | | |
Fixed Rate CMOs | | $ | 82,381,134 | | 100.00 | % | 2.14 | % |
Total Fixed Rate CMOs | | $ | 82,381,134 | | 100.00 | % | 2.14 | % |
| | | | | | | |
Fixed Rate Assets | | | | | | | |
| | | | | | | |
10yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 2,297,668 | | 0.37 | % | 0.06 | % |
15yr $85,000 Maximum Loan Size | | $ | 79,429,703 | | 12.65 | % | 2.06 | % |
15yr $110,000 Maximum Loan Size | | $ | 5,182,848 | | 0.83 | % | 0.13 | % |
15yr 100% Investor Property | | $ | 630,079 | | 0.10 | % | 0.02 | % |
15yr 100% FNMA Expanded Approval Level 3 | | $ | 1,270,982 | | 0.20 | % | 0.03 | % |
15yr 100% Alt-A | | $ | 43,790,976 | | 6.97 | % | 1.13 | % |
15yr Geography Specific (NY, FL, VT, TX) | | $ | 1,892,095 | | 0.30 | % | 0.05 | % |
15yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 30,344,524 | | 4.83 | % | 0.79 | % |
20yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 1,292,648 | | 0.21 | % | 0.03 | % |
20yr 100% Alt-A | | $ | 1,123,503 | | 0.18 | % | 0.03 | % |
30yr $85,000 Maximum Loan Size | | $ | 162,255,421 | | 25.84 | % | 4.21 | % |
30yr $110,000 Maximum Loan Size | | $ | 43,816,743 | | 6.98 | % | 1.14 | % |
30yr 100% Investor Property | | $ | 7,569,242 | | 1.21 | % | 0.20 | % |
30yr 100% FNMA Expanded Approval Level 3 | | $ | 66,669,883 | | 10.62 | % | 1.73 | % |
30yr 100% Alt-A | | $ | 48,659,757 | | 7.75 | % | 1.26 | % |
30yr Geography Specific (NY, FL, VT, TX) | | $ | 5,162,774 | | 0.82 | % | 0.13 | % |
30yr 100% GNMA Builder Buydown Program | | $ | 7,585,038 | | 1.21 | % | 0.20 | % |
30yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 118,905,479 | | 18.93 | % | 3.08 | % |
Total Fixed Rate Collateral | | $ | 627,879,363 | | 100.00 | % | 16.28 | % |
| | | | | | | |
Total (All Mortgage Assets) | | $ | 3,858,319,703 | | | | 100.00 | % |
Cash or Cash Receivables | | $ | 189,841,722 | | | | | |
Total Assets and Cash | | $ | 4,048,161,425 | | | | | |
| | | | | | | |
Total Forward Settling Purchases | | $ | 0 | | | | 0.00 | % |
Unaudited Funding Information as of 9/30/2005
Repurchase Counterparties | | Dollar Amount of
Borrowings | | Weighted Average
Maturity in Days | | Longest
Maturity | |
| | | | | | | |
Deutsche Bank (1) | | $ | 941,027,154.11 | | 129 | | 29-Apr-06 | |
Nomura | | $ | 817,596,000.00 | | 174 | | 18-Sep-06 | |
Cantor Fitzgerald | | $ | 530,931,000.00 | | 160 | | 25-Apr-06 | |
REFCO | | $ | 323,273,000.00 | | 115 | | 15-Sep-06 | |
WAMU | | $ | 233,932,000.00 | | 14 | | 13-Jan-06 | |
Bear Stearns | | $ | 196,476,000.00 | | 217 | | 7-Jul-06 | |
Goldman Sachs | | $ | 188,989,009.62 | | 39 | | 30-Jan-06 | |
JP Morgan Secs | | $ | 132,035,719.93 | | 142 | | 10-Jul-06 | |
Merrill Lynch | | $ | 128,119,000.00 | | 188 | | 19-Apr-06 | |
UBS Securities | | $ | 109,052,000.00 | | 123 | | 25-Apr-06 | |
Lehman Bros | | $ | 57,982,000.00 | | 21 | | 21-Oct-05 | |
Countrywide Secs | | $ | 45,975,000.00 | | 82 | | 22-Dec-05 | |
Daiwa Secs | | $ | 19,825,000.00 | | 279 | | 7-Jul-06 | |
Morgan Stanley | | $ | 4,160,758.53 | | 95 | | 3-Jan-06 | |
| | | | | | | |
Total | | $ | 3,729,373,642 | | 136 | | 18-Sep-06 | |
(1) Includes $507 Million floating rate repo obligations
