Exhibit 99.1
UNAUDITED as of 6/23/2006
Opteum Inc. - Asset Information
This Table Reflects All Transactions. Prices Used Are Internally Generated.
Valuation
Asset Category | | Market Value | | As a Percentage of Mortgage Assets | | As a Percentage of Mortgage Assets, Cash and P&I Receivable |
Adjustable Rate Mortgage Backed Securities (1) | $ | 2,317,709,209 | | 68.10% | | 65.48% |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 390,279,193 | | 11.47% | | 11.03% |
| Fixed Rate Mortgage Backed Securities | | 523,527,815 | | 15.38% | | 14.79% |
| Fixed Rate Agency Debt | | 71,229,107 | | 2.09% | | 2.01% |
| Fixed Rate CMO | | 57,001,768 | | 1.67% | | 1.61% |
| Balloon Maturity Mortgage Backed Securities | | 44,032,806 | | 1.29% | | 1.24% |
Total: Mortgage Assets (2) | $ | 3,403,779,898 | | 100.00% | | |
| | | | | | | |
| Total Cash and Net Short-Term Receivables | $ | 69,771,334 | | | | 1.98% |
| Cash out on Margin (Encumbered Cash) | | 830,000 | | | | 0.02% |
| Long-Term Receivables From Opteum Financial Services | | 65,000,000 | | | | 1.84% |
Total: All Assets | $ | 3,539,381,232 | | | | 100.00% |
Note: The Value of Unencumbered Securities (Securities in the Box) is $46,003,459
(1) | Adjustable Rate MBS are those that reset coupons within one year’s time. |
(2) | This includes forward settling purchases. There are no forward settling sales as of 6/23/2006 |
* | The information contained herein EXCLUDES all Opteum Financial Services LLC’s assets. |
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) |
Adjustable Rate Mortgage Backed Securities (3) | | 4.70% | | 10.22% | | 1.84% | | 5.33 | | 1-Apr-44 | | 329 |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 4.80% | | 10.04% | | 1.45% | | 18.39 | | 1-Nov-35 | | 333 |
| Fixed Rate Mortgage Backed Securities | | 6.91% | | n/a | | n/a | | n/a | | 1-Apr-36 | | 275 |
| Fixed Rate Agency Debt | | 4.00% | | n/a | | n/a | | n/a | | 25-Feb-10 | | 44 |
| Fixed Rate CMO | | 5.64% | | n/a | | n/a | | n/a | | 25-Jul-34 | | 329 |
| Balloon Maturity Mortgage Backed Securities | | 4.05% | | n/a | | n/a | | n/a | | 1-Feb-11 | | 42 |
Total: Mortgage Assets | | 5.05% | | 10.20% | | 1.79% | | 7.21 | | 1-Apr-44 | | 312 |
(3) 24.6% ($570.52 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 | | | | Pool Status | | Market Value | | As a Percentage of Mortgage Assets |
| Fannie Mae | $ | 2,278,869,601 | | 66.95% | | | | Whole Pool | $ | 2,193,075,725 | | 64.43% |
| Freddie Mac | | 608,588,445 | | 17.88% | | | | Non Whole Pool | | 1,210,704,173 | | 35.57% |
| Ginnie Mae | | 516,321,852 | | 15.17% | | | | | | | | |
Total Portfolio | $ | 3,403,779,898 | | 100.00% | | | | Total Portfolio | $ | 3,403,779,898 | | 100.00% |
Prepayment Speeds
Asset Category | | Weighted Average One Month Prepayment Speeds (CPR) | | Weighted Average Three Month Prepayment Speeds (CPR) |
| Adjustable Rate Mortgage Backed Securities | | 32.11% | | 35.18% |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 28.50% | | 26.72% |
| Fixed Rate Mortgage Backed Securities | | 16.84% | | 19.76% |
| Fixed Rate Agency Debt | | 27.23% | | 20.24% |
| Fixed Rate CMO | | 28.26% | | 25.85% |
| Balloon Maturity Mortgage Backed Securities | | 16.05% | | 15.54% |
Total: Mortgage Assets | | 29.04% | | 31.20% |
On June 7, 2006 Prepayment Speeds were released for paydowns occurring in May 2006 (March - May for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration
| Weighted Average Purchase Price | $ | 102.34 |
| Weighted Average Current Price | $ | 100.20 |
| Modeled Effective Duration | | 1.454 |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Adjustable Rate Mortgages | | | | | | |
| One Month LIBOR | $ | 29,758,458 | | 1.28% | | 0.87% |
Moving Treasury Average | | 50,328,094 | | 2.18% | | 1.48% |
Cost Of Funds Index | | 372,317,351 | | 16.06% | | 10.94% |
| Six Month LIBOR | | 172,903,351 | | 7.46% | | 5.08% |
| Six Month CD Rate | | 2,795,843 | | 0.12% | | 0.08% |
| One Year LIBOR | | 666,363,511 | | 28.75% | | 19.58% |
| Conventional One Year CMT | | 705,205,876 | | 30.43% | | 20.72% |
| FHA and VA One Year CMT | | 311,966,739 | | 13.46% | | 9.17% |
| Other | | 6,069,986 | | 0.26% | | 0.18% |
Total ARMs | $ | 2,317,709,209 | | 100.00% | | 68.10% |
| | | | | | | |
Hybrid ARMs | | | | | | |
Generic Fannie or Freddie Hybrid ARMs | | | | | | |
| 13 - 18 Months to First Reset | $ | 149,614,014 | | 38.34% | | 4.40% |
| 19 - 24 Months to First Reset | | 17,312,160 | | 4.44% | | 0.51% |
| 25 - 36 Months to First Reset | | 29,439,261 | | 7.54% | | 0.86% |
Total | $ | 196,365,435 | | 50.32% | | 5.77% |
| | | | | | | |
Agency Alt-A Hybrid ARMs | | | | | | |
| 13 - 18 Months to First Reset | $ | 7,359,011 | | 1.89% | | 0.22% |
| 19 - 24 Months to First Reset | | 7,269,793 | | 1.86% | | 0.21% |
| 25 - 36 Months to First Reset | | 10,639,269 | | 2.73% | | 0.31% |
| 37 - 47 Months to First Reset | | 1,239,263 | | 0.31% | | 0.04% |
Total | $ | 26,507,336 | | 6.79% | | 0.78% |
| | | | | | | |
GNMA Hybrid ARMs | | | | | | |
| 13 - 24 Months to First Reset | $ | 160,250,821 | | 41.06% | | 4.71% |
| 25 - 36 Months to First Reset | | 7,155,601 | | 1.83% | | 0.21% |
Total | $ | 167,406,422 | | 42.89% | | 4.92% |
| | | | | | | |
Total Hybrid ARMs | $ | 390,279,193 | | 100.00% | | 11.47% |
| | | | | | | |
Balloons | | | | | | |
| < = 4.0 Years to Balloon Date | $ | 34,210,365 | | 77.69% | | 1.00% |
| 4.01 - 5.0 Years to Balloon Date | | 9,822,441 | | 22.31% | | 0.29% |
Total Balloons | $ | 44,032,806 | | 100.00% | | 1.29% |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Fixed Rate Agency Debt | | | | | | |
| Feb 2010 Stated Final Maturity | $ | 71,229,107 | | 100.00% | | 2.09% |
Total Fixed Rate Agency Debt | $ | 71,229,107 | | 100.00% | | 2.09% |
| | | | | | | |
Fixed Rate CMOs | | | | | | |
| Fixed Rate CMOs | $ | 57,001,768 | | 100.00% | | 1.67% |
Total Fixed Rate CMOs | $ | 57,001,768 | | 100.00% | | 1.67% |
| | | | | | | |
Fixed Rate Assets | | | | | | |
| 10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | $ | 1,757,116 | | 0.33% | | 0.05% |
| 15yr $85,000 Maximum Loan Size | | 64,751,544 | | 12.37% | | 1.90% |
| 15yr $110,000 Maximum Loan Size | | 4,165,689 | | 0.80% | | 0.12% |
| 15yr 100% Investor Property | | 588,002 | | 0.11% | | 0.02% |
| 15yr 100% FNMA Expanded Approval Level 3 | | 703,202 | | 0.13% | | 0.02% |
| 15yr 100% Alt-A | | 35,785,435 | | 6.84% | | 1.05% |
| 15yr Geography Specific (NY, FL, VT, TX) | | 1,580,339 | | 0.30% | | 0.05% |
| 15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 23,040,105 | | 4.40% | | 0.68% |
| 20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 1,021,917 | | 0.20% | | 0.03% |
| 20yr 100% Alt-A | | 763,041 | | 0.15% | | 0.02% |
| 30yr $85,000 Maximum Loan Size | | 180,319,613 | | 34.44% | | 5.30% |
| 30yr $110,000 Maximum Loan Size | | 34,625,228 | | 6.61% | | 1.02% |
| 30yr 100% Investor Property | | 5,973,126 | | 1.14% | | 0.18% |
| 30yr 100% FNMA Expanded Approval Level 3 | | 41,476,221 | | 7.92% | | 1.22% |
| 30yr 100% Alt-A | | 31,312,649 | | 5.98% | | 0.92% |
| 30yr Geography Specific (NY, FL, VT, TX) | | 3,874,405 | | 0.74% | | 0.11% |
| 30yr 100% GNMA Builder Buydown Program | | 4,219,687 | | 0.81% | | 0.12% |
| 30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 87,570,496 | | 16.73% | | 2.57% |
Total Fixed Rate Collateral | $ | 523,527,815 | | 100.00% | | 15.38% |
| | | | | | | |
| | | | | | | |
Total (All Mortgage Assets) | $ | 3,403,779,898 | | | | 100.00% |
Total Cash and Short-Term Receivables | | 69,771,334 | | | | |
Long-term Receivables From OFS | | 65,000,000 | | | | |
Total Assets and Cash | $ | 3,538,551,232 | | | | |
| | | | | | | |
Total Forward Settling Purchases | $ | 0 | | | | |
Repurchase Counterparties | | Dollar Amount of Borrowings | | Weighted Average Maturity in Days | | Longest Maturity |
| | | | | | | |
Deutsche Bank (1) | $ | 981,120,000 | | 194 | | 31-May-07 |
| JP Morgan Secs | | 766,367,000 | | 12 | | 14-Aug-06 |
| WAMU | | 357,109,000 | | 17 | | 10-Jul-06 |
| Nomura | | 284,980,000 | | 52 | | 18-Sep-06 |
| RBS Greenwich Capital | | 198,199,000 | | 44 | | 23-Aug-06 |
| Countrywide Secs | | 170,918,000 | | 127 | | 15-Dec-06 |
| Goldman Sachs | | 167,151,000 | | 28 | | 31-Aug-06 |
| UBS Securities | | 131,313,000 | | 62 | | 19-Oct-06 |
| BNP Paribas | | 109,603,250 | | 58 | | 6-Oct-06 |
| Lehman Bros | | 66,543,000 | | 5 | | 30-Jun-06 |
| Merrill Lynch | | 53,952,000 | | 10 | | 3-Jul-06 |
| Bear Stearns | | 22,399,000 | | 14 | | 7-Jul-06 |
| Daiwa Secs | | 19,732,000 | | 14 | | 7-Jul-06 |
| HSBC | | 6,284,000 | | 3 | | 26-Jun-06 |
Total Borrowings | $ | 3,335,670,250 | | 81 | | 31-May-07 |
| | | | | | | |
(1) Includes $507 Million floating rate repo obligations | | | |
