Exhibit 99.1
UNAUDITED as of 12/29/2006
Opteum Inc. - Asset Information
This Table Reflects All Transactions.
Prices Used Are As Of 12/29/2006 And Are Based on the Average of Third-Party Broker Quotes.
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) | $ | 2,105,817,840 | | 74.98% | | 69.94% |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 76,488,093 | | 2.72% | | 2.54% |
| Fixed Rate Mortgage Backed Securities | | 476,120,980 | | 16.95% | | 15.81% |
| Fixed Rate Agency Debt | | 62,069,389 | | 2.21% | | 2.06% |
| Fixed Rate CMO | | 47,720,909 | | 1.70% | | 1.59% |
| Balloon Maturity Mortgage Backed Securities | | 40,516,992 | | 1.44% | | 1.35% |
Total: Mortgage Assets (2) | $ | 2,808,734,203 | | 100.00% | | |
| | | | | | | |
| Total Cash and Net Short-Term Receivables | $ | 136,952,067 | | | | 4.55% |
| Cash out on Margin (Encumbered Cash) | | 0 | | | | 0.00% |
| Long-Term Note Receivable From Opteum Financial Services | | 65,000,000 | | | | 2.16% |
Total: All Assets* | $ | 3,010,686,270 | | | | 100.00% |
Note: The Value of Securities in the Box is $1,074,296.
(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 12/29/2006. |
* | 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) | | 5.12% | | 10.26% | | 1.80% | | 4.63 | | 1-Apr-44 | | 324 |
| Hybrid Adjustable Rate Mortgage Backed Securities | | 4.71% | | 10.29% | | 1.98% | | 19.15 | | 1-Nov-35 | | 331 |
| Fixed Rate Mortgage Backed Securities | | 6.90% | | n/a | | n/a | | n/a | | 1-Sep-36 | | 270 |
| Fixed Rate Agency Debt | | 4.00% | | n/a | | n/a | | n/a | | 25-Feb-10 | | 38 |
| Fixed Rate CMO | | 5.65% | | n/a | | n/a | | n/a | | 25-Jul-34 | | 322 |
| Balloon Maturity Mortgage Backed Securities | | 4.02% | | n/a | | n/a | | n/a | | 1-Feb-11 | | 36 |
Total: Mortgage Assets | | 5.38% | | 10.26% | | 1.80% | | 5.14 | | 1-Apr-44 | | 305 |
(3) 26.2% ($552.5 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 | $ | 1,887,110,333 | | 67.19% | | | | Whole Pool | $ | 1,788,688,765 | | 63.68% |
| Freddie Mac | | 498,861,377 | | 17.76% | | | | Non Whole Pool | | 1,020,045,438 | | 36.32% |
| Ginnie Mae | | 422,762,493 | | 15.05% | | | | | | | | |
Total Portfolio | $ | 2,808,734,203 | | 100.00% | | | | Total Portfolio | $ | 2,808,734,203 | | 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 | 28.59% | | 31.42% |
| Hybrid Adjustable Rate Mortgage Backed Securities | 18.34% | | 18.27% |
| Fixed Rate Mortgage Backed Securities | 14.98% | | 17.76% |
| Fixed Rate Agency Debt | | 0.50% | | 7.95% |
| Fixed Rate CMO | | 20.89% | | 20.16% |
| Balloon Maturity Mortgage Backed Securities | | 15.59% | | 12.29% |
Total: Mortgage Assets | | 25.12% | | 27.91% |
On December 7, 2006, Prepayment Speeds were released for paydowns occurring in November 2006 (September - November for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration
| Weighted Average Purchase Price | $ 102.34 |
| Weighted Average Current Price | $ 101.04 |
| Modeled Effective Duration | 0.884 |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Adjustable Rate Mortgages | | | | | | |
| One Month LIBOR | $ | 19,679,087 | | 0.93% | | 0.71% |
Moving Treasury Average | | 41,650,741 | | 1.98% | | 1.49% |
Cost Of Funds Index | | 341,836,740 | | 16.23% | | 12.17% |
| Six Month LIBOR | | 118,089,456 | | 5.61% | | 4.20% |
| Six Month CD Rate | | 2,002,823 | | 0.10% | | 0.07% |
| One Year LIBOR | | 649,046,491 | | 30.82% | | 23.11% |
| Conventional One Year CMT | | 556,702,951 | | 26.44% | | 19.82% |
| FHA and VA One Year CMT | | 371,964,951 | | 17.66% | | 13.24% |
| Other | | 4,844,600 | | 0.23% | | 0.17% |
Total ARMs | $ | 2,105,817,840 | | 100.00% | | 74.98% |
| | | | | | | |
Hybrid ARMs | | | | | | |
Generic Fannie or Freddie Hybrid ARMs | | | | |
| 13 - 18 Months to First Reset | $ | 15,803,837 | | 20.67% | | 0.56% |
| 19 - 24 Months to First Reset | | 26,635,793 | | 34.82% | | 0.95% |
Total | $ | 42,439,630 | | 55.49% | | 1.51% |
| | | | | | | |
Agency Alt-A Hybrid ARMs | | | | | | |
| 13 - 18 Months to First Reset | $ | 6,370,551 | | 8.33% | | 0.22% |
| 19 - 24 Months to First Reset | | 0 | | 0.00% | | 0.00% |
| 25 - 36 Months to First Reset | | 10,335,633 | | 13.51% | | 0.37% |
| 37 - 47 Months to First Reset | | 0 | | 0.00% | | 0.00% |
Total | $ | 16,706,184 | | 21.84% | | 0.59% |
| | | | | | | |
GNMA Hybrid ARMs | | | | | | |
| 13 - 24 Months to First Reset | $ | 17,342,279 | | 22.67% | | 0.62% |
Total | $ | 17,342,279 | | 22.67% | | 0.62% |
| | | | | | | |
Total Hybrid ARMs | $ | 76,488,093 | | 100.00% | | 2.72% |
| | | | | | | |
Balloons | | | | | | |
| 2.0 - 3.0 Years to Balloon Date | $ | 16,548,157 | | 40.84% | | 0.59% |
| 3.01 - 4.0 Years to Balloon Date | | 14,998,506 | | 37.02% | | 0.53% |
| 4.01 - 4.5 Years to Balloon Date | | 8,970,329 | | 22.14% | | 0.32% |
Total Balloons | $ | 40,516,992 | | 100.00% | | 1.44% |
| | | Internally Generated Market Value | | % of Asset Class | | % of Total Mortgage Assets |
Fixed Rate Agency Debt | | | | | | |
| Feb 2010 Stated Final Maturity | $ | 62,069,389 | | 100.00% | | 2.21% |
Total Fixed Rate Agency Debt | $ | 62,069,389 | | 100.00% | | 2.21% |
| | | | | | | |
Fixed Rate CMOs | | | | | | |
| Fixed Rate CMOs | $ | 47,720,909 | | 100.00% | | 1.70% |
Total Fixed Rate CMOs | $ | 47,720,909 | | 100.00% | | 1.70% |
| | | | | | | |
Fixed Rate Assets | | | | | | |
| 10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | $ | 1,557,348 | | 0.33% | | 0.06% |
| 15yr $85,000 Maximum Loan Size | | 59,535,810 | | 12.50% | | 2.11% |
| 15yr $110,000 Maximum Loan Size | | 3,959,799 | | 0.83% | | 0.14% |
| 15yr 100% Investor Property | | 579,321 | | 0.12% | | 0.02% |
| 15yr 100% FNMA Expanded Approval Level 3 | | 645,116 | | 0.14% | | 0.02% |
| 15yr 100% Alt-A | | 31,531,890 | | 6.62% | | 1.12% |
| 15yr Geography Specific (NY, FL, VT, TX) | | 1,442,174 | | 0.30% | | 0.05% |
| 15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 19,584,771 | | 4.11% | | 0.70% |
| 20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 945,162 | | 0.20% | | 0.03% |
| 20yr 100% Alt-A | | 653,895 | | 0.14% | | 0.02% |
| 30yr $85,000 Maximum Loan Size | | 164,743,594 | | 34.60% | | 5.87% |
| 30yr $110,000 Maximum Loan Size | | 32,094,028 | | 6.74% | | 1.14% |
| 30yr 100% Investor Property | | 5,484,720 | | 1.15% | | 0.20% |
| 30yr 100% FNMA Expanded Approval Level 3 | | 33,933,477 | | 7.13% | | 1.21% |
| 30yr 100% Alt-A | | 25,652,690 | | 5.39% | | 0.91% |
| 30yr Geography Specific (NY, FL, VT, TX) | | 3,583,003 | | 0.75% | | 0.13% |
| 30yr 100% GNMA Builder Buydown Program | | 3,800,088 | | 0.80% | | 0.14% |
| 30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | | 86,394,094 | | 18.15% | | 3.08% |
Total Fixed Rate Collateral | $ | 476,120,980 | | 100.00% | | 16.95% |
| | | | | | | |
| | | | | | | |
Total (All Mortgage Assets) | $ | 2,808,734,203 | | | | 100.00% |
Total Cash and Short-Term Receivables | | 136,952,067 | | | | |
Long-Term Note Receivable From OFS | | 65,000,000 | | | | |
Total | $ | 3,010,686,270 | | | | |
Repurchase Counterparties | | Dollar Amount of Borrowings | | Weighted Average Maturity in Days | | Longest Maturity |
| | | | | | | |
Deutsche Bank (1) | $ | 834,940,000 | | 108 | | 12-Sep-07 |
| JP Morgan Secs | | 652,936,000 | | 105 | | 26-Nov-07 |
| Nomura | | 463,410,000 | | 101 | | 15-Jun-07 |
| WAMU | | 333,587,000 | | 31 | | 29-Jan-07 |
| Countrywide Secs | | 206,220,000 | | 86 | | 8-May-07 |
| BNP Paribas | | 92,155,000 | | 25 | | 14-Feb-07 |
| Goldman Sachs | | 70,068,000 | | 129 | | 28-Aug-07 |
| Bank of America | | 54,120,000 | | 143 | | 21-May-07 |
| UBS Securities | | 21,514,650 | | 24 | | 22-Jan-07 |
| RBS Greenwich Capital | | 12,729,000 | | 14 | | 12-Jan-07 |
| | | | | | | |
Total | $ | 2,741,679,650 | | 92 | | 26-Nov-07 |
| | | | | | | |
(1) Includes $507 Million floating rate repo obligations | | | |
