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 | | | |
