Exhibit 99.1
UNAUDITED as of 7/31/2006
Opteum Inc. - Investment Portfolio 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) | $ | 2,259,622,608 | | 68.74% | | 66.33% |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 345,188,684 | | 10.50% | | 10.13% |
| Fixed Rate Mortgage Backed Securities | | 513,463,557 | | 15.62% | | 15.07% |
| Fixed Rate Agency Debt | | 71,246,386 | | 2.17% | | 2.09% |
| Fixed Rate CMO | | 54,870,793 | | 1.67% | | 1.61% |
| Balloon Maturity Mortgage Backed Securities | | 42,801,978 | | 1.30% | | 1.26% |
Total: Mortgage Assets (2) | $ | 3,287,194,006 | | 100.00% | | |
| | | | | | | |
| Total Cash and Net Short-Term Receivables | $ | 49,070,044 | | | | 1.44% |
| Cash out on Margin (Encumbered Cash) | | 5,570,000 | | | | 0.16% |
| Long-Term Note Receivable From Opteum Financial Services | | 65,000,000 | | | | 1.91% |
Total: All Assets* | $ | 3,406,834,050* | | | | 100.00% |
Note: The Value of Securities in the Box is $58,647,459.
(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 7/31/2006. |
* | The information contained herein EXCLUDES all assets of Opteum Financial Services, LLC and its subsidiaries. |
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) | | 4.75% | | 10.27% | | 1.86% | | 5.30 | | 1-Apr-44 | | 328 |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 4.86% | | 10.02% | | 1.36% | | 17.77 | | 1-Nov-35 | | 331 |
| Fixed Rate Mortgage Backed Securities | | 6.90% | | n/a | | n/a | | n/a | | 1-Apr-36 | | 274 |
| Fixed Rate Agency Debt | | 4.00% | | n/a | | n/a | | n/a | | 25-Feb-10 | | 43 |
| Fixed Rate CMO | | 5.64% | | n/a | | n/a | | n/a | | 25-Jul-34 | | 328 |
| Balloon Maturity Mortgage Backed Securities | | 4.04% | | n/a | | n/a | | n/a | | 1-Feb-11 | | 41 |
Total: Mortgage Assets | | 5.09% | | 10.24% | | 1.80% | | 6.95 | | 1-Apr-44 | | 310 |
(3) 24.4% ($552.4 million) of the adjustable rate mortgage backed securities 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 | $ | 2,200,881,059 | | 66.96% | | | | Whole Pool | $ | 2,111,057,588 | | 64.22% |
| Freddie Mac | | 585,557,206 | | 17.81% | | | | Non Whole Pool | | 1,176,136,418 | | 35.78% |
| Ginnie Mae | | 500,755,741 | | 15.23% | | | | | | | | |
Total Portfolio | $ | 3,287,194,006 | | 100.00% | | | | Total Portfolio | $ | 3,287,194,006 | | 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 | | 34.16% | | 35.62% |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 29.39% | | 28.27% |
| Fixed Rate Mortgage Backed Securities | | 18.78% | | 19.56% |
| Fixed Rate Agency Debt | | 10.86% | | 13.49% |
| Fixed Rate CMO | | 27.28% | | 25.40% |
| Balloon Maturity Mortgage Backed Securities | | 15.42% | | 15.32% |
Total: Mortgage Assets | | 30.46% | | 31.32% |
On July 10, 2006, Prepayment Speeds were released for paydowns occurring in June 2006 (April - June for three month speeds). The numbers above reflect that data.
Weighted Average Price and Effective Duration of the Investment Portfolio
| Weighted Average Purchase Price | $ | 102.34 |
| Weighted Average Current Price | $ | 100.53 |
| Modeled Effective Duration | | 1.299 |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Adjustable Rate Mortgages | | | | | | |
| One Month LIBOR | $ | 27,659,043 | | 1.21% | | 0.84% |
Moving Treasury Average | | 48,097,892 | | 2.13% | | 1.46% |
Cost Of Funds Index | | 365,783,683 | | 16.19% | | 11.13% |
| Six Month LIBOR | | 167,287,640 | | 7.40% | | 5.09% |
| Six Month CD Rate | | 2,497,996 | | 0.11% | | 0.08% |
| One Year LIBOR | | 668,763,197 | | 29.60% | | 20.34% |
| Conventional One Year CMT | | 672,612,473 | | 29.77% | | 20.46% |
| FHA and VA One Year CMT | | 301,107,258 | | 13.33% | | 9.16% |
| Other | | 5,813,426 | | 0.26% | | 0.18% |
Total ARMs | $ | 2,259,622,608 | | 100.00% | | 68.74% |
| | | | | | | |
Hybrid ARMs | | | | | | |
Generic Fannie or Freddie Hybrid ARMs | | | | | | |
| 13 - 18 Months to First Reset | $ | 114,772,053 | | 33.25% | | 3.49% |
| 19 - 24 Months to First Reset | | 25,512,200 | | 7.39% | | 0.78% |
| 25 - 36 Months to First Reset | | 20,674,983 | | 5.99% | | 0.63% |
Total | $ | 160,959,236 | | 46.63% | | 4.90% |
| | | | | | | |
Agency Alt-A Hybrid ARMs | | | | | | |
| 13 - 18 Months to First Reset | $ | 2,510,482 | | 0.73% | | 0.08% |
| 19 - 24 Months to First Reset | | 7,121,524 | | 2.06% | | 0.22% |
| 25 - 36 Months to First Reset | | 10,052,063 | | 2.91% | | 0.30% |
| 37 - 47 Months to First Reset | | 1,249,494 | | 0.36% | | 0.04% |
Total | $ | 20,933,563 | | 6.06% | | 0.64% |
| | | | | | | |
GNMA Hybrid ARMs | | | | | | |
| 13 - 24 Months to First Reset | $ | 156,101,467 | | 45.23% | | 4.74% |
| 25 - 36 Months to First Reset | | 7,194,418 | | 2.08% | | 0.22% |
Total | $ | 163,295,885 | | 47.31% | | 4.96% |
| | | | | | | |
Total Hybrid ARMs | $ | 345,188,684 | | 100.00% | | 10.50% |
| | | | | | | |
Balloons | | | | | | |
| 2.0 - 3.0 Years to Balloon Date | $ | 8,398,917 | | 19.62% | | 0.26% |
| 3.01 - 4.0 Years to Balloon Date | | 24,909,092 | | 58.20% | | 0.76% |
| 4.01 - 4.5 Years to Ballon Date | | 9,493,969 | | 22.18% | | 0.29% |
Total Balloons | $ | 42,801,978 | | 100.00% | | 1.30% |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Fixed Rate Agency Debt | | | | | | |
| Feb 2010 Stated Final Maturity | $ | 71,246,386 | | 100.00% | | 2.17% |
Total Fixed Rate Agency Debt | $ | 71,246,386 | | 100.00% | | 2.17% |
| | | | | | | |
Fixed Rate CMOs | | | | | | |
| Fixed Rate CMOs | $ | 54,870,793 | | 100.00% | | 1.67% |
Total Fixed Rate CMOs | $ | 54,870,793 | | 100.00% | | 1.67% |
| | | | | | | |
Fixed Rate Assets | | | | | | |
| 10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | $ | 1,739,771 | | 0.33% | | 0.05% |
| 15yr $85,000 Maximum Loan Size | | 63,897,189 | | 12.43% | | 1.94% |
| 15yr $110,000 Maximum Loan Size | | 4,177,759 | | 0.81% | | 0.13% |
| 15yr 100% Investor Property | | 590,672 | | 0.12% | | 0.02% |
| 15yr 100% FNMA Expanded Approval Level 3 | | 654,274 | | 0.13% | | 0.02% |
| 15yr 100% Alt-A | | 35,448,103 | | 6.90% | | 1.08% |
| 15yr Geography Specific (NY, FL, VT, TX) | | 1,586,387 | | 0.31% | | 0.05% |
| 15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 22,695,982 | | 4.42% | | 0.69% |
| 20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 1,004,114 | | 0.20% | | 0.03% |
| 20yr 100% Alt-A | | 660,516 | | 0.13% | | 0.02% |
| 30yr $85,000 Maximum Loan Size | | 177,532,998 | | 34.58% | | 5.40% |
| 30yr $110,000 Maximum Loan Size | | 34,285,977 | | 6.68% | | 1.04% |
| 30yr 100% Investor Property | | 5,764,664 | | 1.12% | | 0.18% |
| 30yr 100% FNMA Expanded Approval Level 3 | | 40,237,135 | | 7.84% | | 1.22% |
| 30yr 100% Alt-A | | 30,441,848 | | 5.93% | | 0.93% |
| 30yr Geography Specific (NY, FL, VT, TX) | | 3,888,182 | | 0.76% | | 0.12% |
| 30yr 100% GNMA Builder Buydown Program | | 3,889,313 | | 0.76% | | 0.12% |
| 30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 84,968,673 | | 16.55% | | 2.58% |
Total Fixed Rate Collateral | $ | 513,463,557 | | 100.00% | | 15.62% |
| | | | | | | |
| | | | | | | |
Total (All Mortgage Assets) | $ | 3,287,194,006 | | | | 100.00% |
Total Cash and Short-Term Receivables | | 49,070,044 | | | | |
Long-Term Note Receivable From OFS | | 65,000,000 | | | | |
Total | $ | 3,401,264,050 | | | | |
Repurchase Counterparties | | Dollar Amount of Borrowings | | Weighted Average Maturity in Days | | Longest Maturity |
| | | | | | | |
Deutsche Bank (1) | $ | 1,007,689,000 | | 169 | | 31-May-07 |
| JP Morgan Secs | | 702,193,000 | | 25 | | 4-Oct-06 |
| WAMU | | 386,783,000 | | 10 | | 11-Aug-06 |
| Nomura | | 218,243,000 | | 39 | | 18-Sep-06 |
| Countrywide Secs | | 208,486,000 | | 86 | | 15-Dec-06 |
| Goldman Sachs | | 194,365,000 | | 67 | | 25-Oct-06 |
| BNP Paribas | | 137,449,250 | | 46 | | 6-Oct-06 |
| RBS Greenwich Capital | | 122,808,000 | | 23 | | 23-Aug-06 |
| UBS Securities | | 106,068,000 | | 33 | | 19-Oct-06 |
| Bank of America | | 36,178,000 | | 64 | | 3-Oct-06 |
| Cantor Fitzgerald | | 32,067,000 | | 11 | | 11-Aug-06 |
| | | | | | | |
Total | $ | 3,152,329,250 | | 78 | | 31-May-07 |
| | | | | | | |
(1) Includes $507 Million floating rate repurchase obligations. | | | | | | |
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