Exhibit 99.1
UNAUDITED as of 11/9/2006
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) | $ | 1,987,160,999 | | 68.72% | | 64.94% |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 268,110,377 | | 9.27% | | 8.76% |
| Fixed Rate Mortgage Backed Securities | | 475,561,399 | | 16.44% | | 15.54% |
| Fixed Rate Agency Debt | | 68,973,625 | | 2.39% | | 2.25% |
| Fixed Rate CMO | | 50,979,300 | | 1.76% | | 1.67% |
| Balloon Maturity Mortgage Backed Securities | | 41,106,964 | | 1.42% | | 1.34% |
Total: Mortgage Assets (2) | $ | 2,891,892,664 | | 100.00% | | |
| | | | | | | |
| Total Cash and Net Short-Term Receivables | $ | 103,569,421 | | | | 3.38% |
| Cash out on Margin (Encumbered Cash) | | 0 | | | | 0.00% |
| Long-Term Note Receivable From Opteum Financial Services | | 65,000,000 | | | | 2.12% |
Total: All Assets* | $ | 3,060,462,085 | | | | 100.00% |
Note: The Value of Securities in the Box is $28,715,325
(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 11/9/2006 |
* | 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) | | 5.09% | | 10.29% | | 1.85% | | 4.27 | | 1-Apr-44 | | 325 |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 4.87% | | 10.04% | | 1.33% | | 15.23 | | 1-Nov-35 | | 329 |
| Fixed Rate Mortgage Backed Securities | | 6.90% | | n/a | | n/a | | n/a | | 1-Apr-36 | | 270 |
| Fixed Rate Agency Debt | | 4.00% | | n/a | | n/a | | n/a | | 25-Feb-10 | | 40 |
| Fixed Rate CMO | | 5.64% | | n/a | | n/a | | n/a | | 25-Jul-34 | | 324 |
| Balloon Maturity Mortgage Backed Securities | | 4.02% | | n/a | | n/a | | n/a | | 1-Feb-11 | | 38 |
Total: Mortgage Assets | | 5.33% | | 10.26% | | 1.80% | | 5.57 | | 1-Apr-44 | | 306 |
(3) 24.3% ($483.6 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 | $ | 1,941,194,311 | | 67.12% | | | | Whole Pool | $ | 1,837,661,645 | | 63.55% |
| Freddie Mac | | 513,282,375 | | 17.75% | | | | Non Whole Pool | | 1,054,231,019 | | 36.45% |
| Ginnie Mae | | 437,415,978 | | 15.13% | | | | | | | | |
Total Portfolio | $ | 2,891,892,664 | | 100.00% | | | | Total Portfolio | $ | 2,891,892,664 | | 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 | | 29.40% | | 33.01% |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 27.95% | | 25.72% |
| Fixed Rate Mortgage Backed Securities | | 14.53% | | 18.40% |
| Fixed Rate Agency Debt | | 21.52% | | 12.59% |
| Fixed Rate CMO | | 19.18% | | 19.06% |
| Balloon Maturity Mortgage Backed Securities | | 10.33% | | 13.58% |
Total: Mortgage Assets | | 26.26% | | 29.11% |
On November 7, 2006 Prepayment Speeds were released for paydowns occurring in October 2006 (August - October for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration
| Weighted Average Purchase Price | $ | 102.34 |
| Weighted Average Current Price | $ | 100.81 |
| Modeled Effective Duration | | 1.051 |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Adjustable Rate Mortgages | | | | | | |
| One Month LIBOR | $ | 20,516,946 | | 1.03% | | 0.70% |
Moving Treasury Average | | 42,732,722 | | 2.15% | | 1.48% |
Cost Of Funds Index | | 344,908,068 | | 17.36% | | 11.93% |
| Six Month LIBOR | | 126,282,228 | | 6.35% | | 4.37% |
| Six Month CD Rate | | 2,008,693 | | 0.10% | | 0.07% |
| One Year LIBOR | | 593,436,570 | | 29.86% | | 20.52% |
| Conventional One Year CMT | | 574,842,710 | | 28.93% | | 19.88% |
| FHA and VA One Year CMT | | 277,318,523 | | 13.96% | | 9.59% |
| Other | | 5,114,539 | | 0.26% | | 0.18% |
Total ARMs | $ | 1,987,160,999 | | 100.00% | | 68.72% |
| | | | | | | |
Hybrid ARMs | | | | | | |
Generic Fannie or Freddie Hybrid ARMs | | | | | | |
| 13 - 18 Months to First Reset | $ | 87,287,790 | | 32.56% | | 3.01% |
| 19 - 24 Months to First Reset | | 38,357,723 | | 14.31% | | 1.33% |
Total | $ | 125,645,513 | | 46.87% | | 4.34% |
| | | | | | | |
Agency Alt-A Hybrid ARMs | | | | | | |
| 13 - 18 Months to First Reset | $ | 6,203,684 | | 2.31% | | 0.22% |
| 25 - 36 Months to First Reset | | 10,538,260 | | 3.93% | | 0.36% |
Total | $ | 16,741,944 | | 6.24% | | 0.58% |
| | | | | | | |
GNMA Hybrid ARMs | | | | | | |
| 13 - 24 Months to First Reset | $ | 125,722,920 | | 46.89% | | 4.35% |
Total | $ | 125,722,920 | | 46.89% | | 4.35% |
| | | | | | | |
Total Hybrid ARMs | $ | 268,110,377 | | 100.00% | | 9.27% |
| | | | | | | |
Balloons | | | | | | |
| < = 4.0 Years to Balloon Date | $ | 16,745,020 | | 40.74% | | 0.58% |
| 4.01 - 5.0 Years to Balloon Date | | 15,352,943 | | 37.35% | | 0.53% |
| 5.01 - 5.5 Years to Balloon Date | | 9,009,001 | | 21.91% | | 0.31% |
Total Balloons | $ | 41,106,964 | | 100.00% | | 1.42% |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Fixed Rate Agency Debt | | | | | | |
| 4.5yr Stated Final Maturity | $ | 68,973,625 | | 100.00% | | 2.39% |
Total Fixed Rate Agency Debt | $ | 68,973,625 | | 100.00% | | 2.39% |
| | | | | | | |
Fixed Rate CMOs | | | | | | |
| Fixed Rate CMOs | $ | 50,979,300 | | 100.00% | | 1.76% |
Total Fixed Rate CMOs | $ | 50,979,300 | | 100.00% | | 1.76% |
| | | | | | | |
Fixed Rate Assets | | | | | | |
| 10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | $ | 1,580,534 | | 0.34% | | 0.06% |
| 15yr $85,000 Maximum Loan Size | | 60,422,565 | | 12.71% | | 2.09% |
| 15yr $110,000 Maximum Loan Size | | 4,046,080 | | 0.85% | | 0.14% |
| 15yr 100% Investor Property | | 582,473 | | 0.12% | | 0.02% |
| 15yr 100% FNMA Expanded Approval Level 3 | | 646,328 | | 0.14% | | 0.02% |
| 15yr 100% Alt-A | | 32,165,636 | | 6.76% | | 1.11% |
| 15yr Geography Specific (NY, FL, VT, TX) | | 1,560,068 | | 0.33% | | 0.05% |
| 15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 19,989,915 | | 4.20% | | 0.69% |
| 20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 961,776 | | 0.20% | | 0.03% |
| 20yr 100% Alt-A | | 656,520 | | 0.14% | | 0.02% |
| 30yr $85,000 Maximum Loan Size | | 167,380,332 | | 35.20% | | 5.79% |
| 30yr $110,000 Maximum Loan Size | | 32,673,948 | | 6.87% | | 1.13% |
| 30yr 100% Investor Property | | 5,492,131 | | 1.15% | | 0.19% |
| 30yr 100% FNMA Expanded Approval Level 3 | | 35,287,957 | | 7.42% | | 1.22% |
| 30yr 100% Alt-A | | 26,828,142 | | 5.64% | | 0.93% |
| 30yr Geography Specific (NY, FL, VT, TX) | | 3,719,100 | | 0.78% | | 0.13% |
| 30yr 100% GNMA Builder Buydown Program | | 3,886,146 | | 0.82% | | 0.13% |
| 30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 77,681,748 | | 16.33% | | 2.69% |
Total Fixed Rate Collateral | $ | 475,561,399 | | 100.00% | | 16.44% |
| | | | | | | |
| | | | | | | |
Total (All Mortgage Assets) | $ | 2,891,892,664 | | | | 100.00% |
Total Cash and Short-Term Receivables | | 103,569,421 | | | | |
Long-term Receivables From OFS | | 65,000,000 | | | | |
Total Assets and Cash | $ | 3,060,462,085 | | | | |
| | | | | | | |
Total Forward Settling Purchases | $ | 0 | | | | |
Repurchase Counterparties | | Dollar Amount of Borrowings | | Weighted Average Maturity in Days | | Longest Maturity |
| | | | | | | |
Deutsche Bank (1) | $ | 845,375,000 | | 146 | | 31-May-07 |
| JP Morgan Secs | | 686,874,489 | | 25 | | 23-Jan-07 |
| WAMU | | 465,505,000 | | 42 | | 28-Dec-06 |
| Countrywide Secs | | 371,710,000 | | 86 | | 8-May-07 |
| Nomura | | 297,420,000 | | 140 | | 8-May-07 |
| Merrill Lynch | | 59,495,000 | | 11 | | 20-Nov-06 |
| BNP Paribas | | 52,625,000 | | 59 | | 8-Jan-07 |
| Lehman Bros | | 29,657,000 | | 7 | | 16-Nov-06 |
| RBS Greenwich Capital | | 29,651,000 | | 39 | | 12-Jan-07 |
| UBS Securities | | 21,514,650 | | 74 | | 22-Jan-07 |
Total | $ | 2,859,827,139 | | 84 | | 31-May-07 |
| | | | | | | |
(1) Includes $507 Million floating rate repo obligations | | | | |
