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 |