Exhibit 99.1
UNAUDITED as of 2/28/2007
Opteum Inc. - Asset Information
This Table Reflects All Transactions.
Prices 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) | $ | 1,894,186,591 | 63.24% | 62.66% | ||
Hybrid Adjustable Rate Mortgage Backed Securities | 499,595,694 | 16.68% | 16.53% | |||
Fixed Rate Mortgage Backed Securities | 506,204,498 | 16.90% | 16.74% | |||
Fixed Rate Agency Debt | 50,357,991 | 1.68% | 1.67% | |||
Fixed Rate CMO | 44,980,033 | 1.50% | 1.49% | |||
Total: Mortgage Assets (2) (3) | $ | 2,995,324,807 | 100.00% | |||
Total Cash and Net Short-Term Receivables | $ | 24,234,736 | 0.80% | |||
Cash out on Margin (Encumbered Cash) | 3,500,000 | 0.11% | ||||
Total: All Assets (4) | $ | 3,023,059,543 | 100.00% |
(1) | Adjustable Rate MBS are those that reset coupons within one year’s time. |
(2) The value of unencumbered securities is $55,411,358.
(3) | This includes forward settling purchases. There are no forward settling sales as of 2/28/2007. |
(4) | The information contained herein EXCLUDES all Opteum Financial Services, LLC’s assets and all intercompany loans from Opteum Inc. to Opteum Financial Services, LLC. |
Characteristics
Asset Category | Weighted Average Coupon | Weighted Average Lifetime Cap | Weighted Average Periodic Cap Per Year (5) | Weighted Average Coupon Reset (in Months) | Longest Maturity | Weighted Average Maturity (in Months) | ||||||
Adjustable Rate Mortgage Backed Securities (5) | 5.23% | 10.37% | 1.83% | 4.03 | 1-Apr-44 | 322 | ||||||
Hybrid Adjustable Rate Mortgage Backed Securities | 5.47% | 11.23% | 7.17% | 37.36 | 1-Jan-37 | 349 | ||||||
Fixed Rate Mortgage Backed Securities | 6.90% | n/a | n/a | n/a | 1-Jan-37 | 277 | ||||||
Fixed Rate Agency Debt | 4.00% | n/a | n/a | n/a | 25-Feb-10 | 36 | ||||||
Fixed Rate CMO | 5.65% | n/a | n/a | n/a | 25-Jul-34 | 320 | ||||||
Total: Mortgage Assets | 5.54% | 10.55% | 3.19% | 10.98 | 1-Apr-44 | 314 |
(5) 26.4% ($500.6 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 | $ | 2,368,452,466 | 79.07% | Whole Pool | $ | 2,058,734,851 | 68.73% | |||||
Freddie Mac | 281,916,152 | 9.41% | Non Whole Pool | 936,589,956 | 31.27% | |||||||
Ginnie Mae | 344,956,189 | 11.52% | ||||||||||
Total Portfolio | $ | 2,995,324,807 | 100.00% | Total Portfolio | $ | 2,995,324,807 | 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 | 32.20% | 34.24% | ||
Hybrid Adjustable Rate Mortgage Backed Securities | 11.81% | 17.53% | ||
Fixed Rate Mortgage Backed Securities | 13.66% | 17.26% | ||
Fixed Rate Agency Debt | 15.72% | 11.85% | ||
Fixed Rate CMO | 22.41% | 21.33% | ||
Total: Mortgage Assets | 27.60% | 29.69% |
On February 7, 2007, Prepayment Speeds were released for paydowns occurring in January 2007 (November - January for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration
Weighted Average Purchase Price | $ 102.37 |
Weighted Average Current Price | $ 101.26 |
Modeled Effective Duration | 1.011 |
Internally Generated Market Value | % of Asset Class | % of Total Mortgage Assets | ||||
Adjustable Rate Mortgages | ||||||
One Month LIBOR | $ | 15,083,840 | 0.80% | 0.50% | ||
Moving Treasury Average | 38,075,360 | 2.01% | 1.27% | |||
Cost Of Funds Index | 330,886,340 | 17.47% | 11.05% | |||
Six Month LIBOR | 73,264,141 | 3.87% | 2.45% | |||
Six Month CD Rate | 1,991,464 | 0.11% | 0.07% | |||
One Year LIBOR | 692,006,926 | 36.53% | 23.10% | |||
Conventional One Year CMT | 441,854,791 | 23.33% | 14.75% | |||
FHA and VA One Year CMT | 296,421,934 | 15.65% | 9.90% | |||
Other | 4,601,795 | 0.23% | 0.15% | |||
Total ARMs | $ | 1,894,186,591 | 100.00% | 63.24% | ||
Hybrid ARMs | ||||||
Generic Fannie or Freddie Hybrid ARMs | ||||||
13 - 18 Months to First Reset | $ | 141,049,361 | 28.23% | 4.71% | ||
19 - 24 Months to First Reset | 75,684,372 | 15.15% | 2.53% | |||
25 - 36 Months to First Reset | 0 | 0.00% | 0.00% | |||
37 - 60 Months to First Reset | 252,361,237 | 50.51% | 8.42% | |||
Total | $ | 469,094,970 | 93.89% | 15.66% | ||
Agency Alt-A Hybrid ARMs | ||||||
13 - 18 Months to First Reset | $ | 4,159,813 | 0.83% | 0.14% | ||
19 - 24 Months to First Reset | 7,146,618 | 1.43% | 0.24% | |||
25 - 36 Months to First Reset | 2,549,545 | 0.52% | 0.08% | |||
37 - 60 Months to First Reset | 0 | 0.00% | 0.00% | |||
Total | $ | 13,855,976 | 2.78% | 0.46% | ||
GNMA Hybrid ARMs | ||||||
13 - 24 Months to First Reset | $ | 16,644,748 | 3.33% | 0.56% | ||
Total | $ | 16,644,748 | 3.33% | 0.56% | ||
Total Hybrid ARMs | $ | 499,595,694 | 100.00% | 16.68% | ||
Internally Generated Market Value | % of Asset Class | % of Total Mortgage Assets | ||||
Fixed Rate Agency Debt | ||||||
Feb 2010 Stated Final Maturity | $ | 50,357,991 | 100.00% | 1.68% | ||
Total Fixed Rate Agency Debt | $ | 50,357,991 | 100.00% | 1.68% | ||
Fixed Rate CMOs | ||||||
Fixed Rate CMOs | $ | 44,980,033 | 100.00% | 1.50% | ||
Total Fixed Rate CMOs | $ | 44,980,033 | 100.00% | 1.50% | ||
Fixed Rate Assets | ||||||
10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | $ | 1,495,769 | 0.30% | 0.06% | ||
15yr $85,000 Maximum Loan Size | 57,875,660 | 11.43% | 1.93% | |||
15yr $110,000 Maximum Loan Size | 3,690,388 | 0.73% | 0.12% | |||
15yr 100% Investor Property | 573,700 | 0.11% | 0.02% | |||
15yr 100% FNMA Expanded Approval Level 3 | 437,157 | 0.09% | 0.01% | |||
15yr 100% Alt-A | 30,222,208 | 5.97% | 1.01% | |||
15yr Geography Specific (NY, FL, VT, TX) | 1,426,123 | 0.28% | 0.05% | |||
15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | 18,605,352 | 3.68% | 0.62% | |||
20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | 891,218 | 0.18% | 0.03% | |||
20yr 100% Alt-A | 651,678 | 0.13% | 0.02% | |||
30yr $85,000 Maximum Loan Size | 162,183,484 | 32.04% | 5.41% | |||
30yr $110,000 Maximum Loan Size | 74,297,700 | 14.68% | 2.48% | |||
30yr 100% Investor Property | 5,364,422 | 1.06% | 0.18% | |||
30yr 100% FNMA Expanded Approval Level 3 | 31,155,008 | 6.15% | 1.04% | |||
30yr 100% Alt-A | 24,329,643 | 4.81% | 0.81% | |||
30yr Geography Specific (NY, FL, VT, TX) | 6,631,654 | 1.31% | 0.22% | |||
30yr 100% GNMA Builder Buydown Program | 3,544,393 | 0.70% | 0.12% | |||
30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.) | 82,828,941 | 16.35% | 2.77% | |||
Total Fixed Rate Collateral | $ | 506,204,498 | 100.00% | 16.90% | ||
Total (All Mortgage Assets) | $ | 2,995,324,807 | 100.00% | |||
Total Cash and Short-Term Receivables | 27,734,736 | |||||
Total | $ | 3,023,059,543 |
Repurchase Counterparties | Dollar Amount of Borrowings | Weighted Average Maturity in Days | Longest Maturity | |||
Deutsche Bank (1) | $ | 947,417,000 | 88 | 12-Sep-07 | ||
ING | 698,420,000 | 121 | 27-Aug-07 | |||
JP Morgan Secs | 573,121,000 | 109 | 26-Nov-07 | |||
Nomura | 328,640,000 | 78 | 15-Jun-07 | |||
Countrywide Secs | 127,167,000 | 75 | 29-May-07 | |||
RBS Greenwich Capital | 98,613,281 | 68 | 7-May-07 | |||
Bank of America | 54,120,000 | 82 | 21-May-07 | |||
Lehman Bros | 27,045,000 | 90 | 29-May-07 | |||
Goldman Sachs | 26,729,000 | 181 | 28-Aug-07 | |||
Total | $ | 2,881,272,281 | 98 | 26-Nov-07 | ||
(1) Includes $507 Million floating rate repo obligations |