EX-99.1 2 a05-15154_1ex99d1.htm EX-99.1

Exhibit 99.1

 

UNAUDITED as of 8/17/2005

 

Bimini Mortgage Management, Inc. - Asset Information

This Table Reflects All Transactions.  Prices Used Have Been Internally Generated.

 

Valuation

 

 

 

 

 

 

 

 

Asset Category

 

Market Value

 

As a Percentage of
Mortgage Assets

 

As a Percentage of
Mortgage Assets, Cash
and P&I Receivable

 

Fixed Rate Mortgage Backed Securities

 

$

655,875,066

 

17.61%

 

 

16.55%

 

 

Fixed Rate CMO

 

$

90,673,430

 

2.43%

 

 

2.29%

 

 

Fixed Rate Agency Debt

 

$

99,000,000

 

2.66%

 

 

2.50%

 

 

Adjustable Rate Mortgage Backed Securities (1)

 

$

2,042,903,079

 

54.85%

 

 

51.56%

 

 

Hybrid Adjustable Rate Mortgage Backed Securities

 

$

780,603,707

 

20.96%

 

 

19.70%

 

 

Balloon Maturity Mortgage Backed Securities

 

$

55,345,621

 

1.49%

 

 

1.40%

 

 

Total: Mortgage Assets (2)

 

$

3,724,400,903

 

100.00%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Cash, P&I Receivables, and Cash on Margin

 

$

237,470,150

 

 

 

 

5.99%

 

 

Total: All Assets

 

$

3,961,871,053

 

 

 

 

100.00%

 

 

 

(1) Adjustable Rate MBS are those that reset coupons within one year’s time.

(2) This includes Forward Settling Purchases.

Note: The Value of Securities in the Box is $688,583

 

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)

 

Fixed Rate Mortgage Backed Securities

 

6.93%

 

 

n/a

 

 

n/a

 

 

n/a

 

 

1-Jun-35

 

282

 

Fixed Rate CMO

 

5.51%

 

 

n/a

 

 

n/a

 

 

n/a

 

 

25-Jul-34

 

331

 

Fixed Rate Agency Debt

 

4.00%

 

 

n/a

 

 

n/a

 

 

n/a

 

 

25-Feb-10

 

54

 

Adjustable Rate Mortgage Backed Securities (3)

 

4.25%

 

 

10.59

%

 

1.79

%

 

4.48

 

 

1-Dec-42

 

337

 

Hybrid Adjustable Rate Mortgage Backed Securities

 

4.34%

 

 

10.01

%

 

1.61

%

 

21.30

 

 

1-Apr-44

 

342

 

Balloon Maturity Mortgage Backed Securities

 

4.07%

 

 

n/a

 

 

n/a

 

 

n/a

 

 

1-Feb-11

 

53

 

Total: Mortgage Assets

 

4.76%

 

 

10.43

%

 

1.73

%

 

9.13

 

 

1-Apr-44

 

316

 

 

(3) 38.4% ($784.3 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

 

Fannie Mae

 

$

2,383,512,019

 

64.00%

 

 

Freddie Mac

 

$

707,599,770

 

19.00%

 

 

Ginnie Mae

 

$

633,289,114

 

17.00%

 

 

Total Portfolio

 

$

3,724,400,903

 

100.00%

 

 

 

Pool Status

 

Market Value

 

As a Percentage of Mortgage Assets

 

Whole Pool

 

$

2,190,963,675

 

58.83%

 

 

Non Whole Pool

 

$

1,533,437,228

 

41.17%

 

 

 

 

 

 

 

 

 

Total Portfolio

 

$

3,724,400,903

 

100.00%

 

 

 

Prepayment Speeds

Asset Category

 

Weighted Average
One Month
Prepayment Speeds
(CPR)

 

Weighted Average
Three Month
Prepayment Speeds
(CPR)

 

Fixed Rate Mortgage Backed Securities

 

27.03

%

 

32.02

%

 

Fixed Rate CMO

 

37.37

%

 

36.88

%

 

Fixed Rate Agency Debt

 

n/a

 

 

n/a

 

 

Adjustable Rate Mortgage Backed Securities

 

33.81

%

 

35.54

%

 

Hybrid Adjustable Rate Mortgage Backed Securities

 

37.38

%

 

32.83

%

 

Balloon Maturity Mortgage Backed Securities

 

47.44

%

 

31.54

%

 

Total: Mortgage Assets

 

33.54

%

 

33.96

%

 

 

On August 5, 2005 Prepayment Speeds were released for paydowns occurring in July 2005 (May - July for three month speeds). The numbers above reflect that data.

 

Portfolio Price and Duration

 

 

 

Weighted Average Purchase Price

 

$

102.89

 

Weighted Average Current Price

 

$

101.81

 

Modeled Effective Duration (as of 08/15/05)

 

1.078

 

 


 

UNAUDITED as of 8/17/2005

 

 

 

 

Internally
Generated Market
Value

 

% of Asset
Class

 

% of Total Mortgage
Assets

 

 

 

 

 

 

 

 

 

Adjustable Rate Mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

One Month Libor

 

$

62,426,699

 

3.06

%

 

1.68

%

 

Moving Treasury Average

 

$

73,035,800

 

3.58

%

 

1.96

%

 

Cost Of Funds Index

 

$

447,827,580

 

21.92

%

 

12.02

%

 

Six Month LIBOR

 

$

281,326,147

 

13.77

%

 

7.55

%

 

Six Month CD Rate

 

$

3,291,912

 

0.16

%

 

0.09

%

 

One Year LIBOR

 

$

271,549,143

 

13.29

%

 

7.29

%

 

Conventional One Year CMT

 

$

535,301,639

 

26.20

%

 

14.37

%

 

FHA and VA One Year CMT

 

$

360,975,614

 

17.67

%

 

9.69

%

 

Other

 

$

7,168,545

 

0.35

%

 

0.19

%

 

Total ARMs

 

$

2,042,903,079

 

100.00

%

 

54.85

%

 

 

 

 

 

 

 

 

 

 

 

Hybrid ARMs

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Generic Fannie or Freddie Hybrid ARMs

 

 

 

 

 

 

 

 

 

13 - 18 Months to First Reset

 

$

270,259,487

 

34.62

%

 

7.26

%

 

19 - 24 Months to First Reset

 

$

204,424,911

 

26.19

%

 

5.49

%

 

25 - 36 Months to First Reset

 

$

21,563,583

 

2.76

%

 

0.58

%

 

37 - 38 Months to First Reset

 

$

0

 

0.00

%

 

0.00

%

 

Total

 

$

496,247,981

 

63.57

%

 

13.32

%

 

 

 

 

 

 

 

 

 

 

 

Agency Alt-A Hybrid ARMs

 

 

 

 

 

 

 

 

 

13 - 18 Months to First Reset

 

$

8,152,601

 

1.04

%

 

0.22

%

 

19 - 24 Months to First Reset

 

$

24,819,206

 

3.18

%

 

0.67

%

 

25 - 36 Months to First Reset

 

$

15,103,039

 

1.93

%

 

0.41

%

 

37 - 50 Months to First Reset

 

$

16,236,589

 

2.08

%

 

0.44

%

 

Total

 

$

64,311,434

 

8.24

%

 

1.73

%

 

 

 

 

 

 

 

 

 

 

 

GNMA Hybrid ARMs

 

 

 

 

 

 

 

 

 

13 - 24 Months to First Reset

 

$

0

 

0.00

%

 

0.00

%

 

25 - 36 Months to First Reset

 

$

220,044,291

 

28.19

%

 

5.91

%

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

220,044,291

 

28.19

%

 

5.91

%

 

Total Hybrid ARMs

 

$

780,603,707

 

100.00

%

 

20.96

%

 

 

 

 

Internally
Generated Market
Value

 

% of Asset
Class

 

% of Total Mortgage
Assets

 

 

 

 

 

 

 

 

 

Balloons

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

< = 4.5 Years to Balloon Date

 

$

18,002,499

 

32.53

%

 

0.48

%

 

4.6 - 5.5 Years to Balloon Date

 

$

23,828,347

 

43.05

%

 

0.64

%

 

5.6 - 6.0 Years to Balloon Date

 

$

13,514,775

 

24.42

%

 

0.36

%

 

Total Balloons

 

$

55,345,621

 

100.00

%

 

1.49

%

 

 

 

 

 

 

 

 

 

 

 

Fixed Rate Agency Debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4.5yr Stated Final Maturity

 

$

99,000,000

 

100.00

%

 

2.66

%

 

Total Fixed Rate Agency Debt

 

$

99,000,000

 

100.00

%

 

2.66

%

 

 

 

 

 

 

 

 

 

 

 

Fixed Rate CMOs

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed Rate CMOs

 

$

90,673,430

 

100.00

%

 

2.43

%

 

Total Fixed Rate CMOs

 

$

90,673,430

 

100.00

%

 

2.43

%

 

 

 

 

 

 

 

 

 

 

 

Fixed Rate Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10yr Other (Seasoned, Low Avg Bal, Low FICO, etc.)

 

$

2,337,864

 

0.31

%

 

0.06

%

 

15year $85,000 Maximum Loan Size

 

$

82,162,320

 

11.01

%

 

2.21

%

 

15year $110,000 Maximum Loan Size

 

$

5,226,327

 

0.70

%

 

0.14

%

 

15yr 100% Investor Property

 

$

635,364

 

0.09

%

 

0.02

%

 

15yr 100% FNMA Expanded Approval Level 3

 

$

1,276,142

 

0.17

%

 

0.03

%

 

15yr 100% Alt-A

 

$

45,371,717

 

6.08

%

 

1.22

%

 

15yr Geography Specific (NY, FL, VT, TX)

 

$

535,087

 

0.07

%

 

0.01

%

 

15yr Other (Seasoned, Low Avg Bal, Low FICO, etc.)

 

$

31,469,754

 

4.22

%

 

0.84

%

 

20yr Other (Seasoned, Low Avg Bal, Low FICO, etc.)

 

$

1,307,283

 

0.18

%

 

0.04

%

 

20yr 100% Alt-A

 

$

1,127,462

 

0.15

%

 

0.03

%

 

30year $85,000 Maximum Loan Size

 

$

166,815,598

 

22.34

%

 

4.48

%

 

30year $110,000 Maximum Loan Size

 

$

45,372,038

 

6.08

%

 

1.22

%

 

30yr 100% Investor Property

 

$

7,906,504

 

1.06

%

 

0.21

%

 

30yr 100% FNMA Expanded Approval Level 3

 

$

70,606,397

 

9.46

%

 

1.90

%

 

30yr 100% Alt-A

 

$

56,181,385

 

7.53

%

 

1.51

%

 

30yr Geography Specific (NY, FL, VT, TX)

 

$

5,241,997

 

0.70

%

 

0.14

%

 

30yr 100% GNMA Builder Buydown Program

 

$

8,522,594

 

1.14

%

 

0.23

%

 

30yr Other (Seasoned, Low Avg Bal, Low FICO, etc.)

 

$

123,779,235

 

16.58

%

 

3.32

%

 

Total Fixed Rate Collateral

 

$

655,875,066

 

100.00

%

 

17.61

%

 

 

 

 

 

 

 

 

 

 

 

Total (All Mortgage Assets)

 

$

3,724,400,903

 

 

 

 

100.00

%

 

Cash or Cash Receivables

 

$

237,470,150

 

 

 

 

 

 

 

Total Assets and Cash

 

$

3,961,871,053

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Forward Settling Purchases

 

$

8,448,833

 

 

 

 

0.23

%

 

 


 

Unaudited Funding Information as of 8/17/2005

 

 

Repurchase Counterparties

 

Dollar Amount of
Borrowings

 

Weighted Average
Maturity in Days

 

Longest
Maturity

 

 

 

 

 

 

 

 

 

Deutsche Bank (1)

 

$

850,651,906

 

190

 

29-May-06

 

Nomura

 

$

783,963,000

 

108

 

1-May-06

 

Cantor Fitzgerald

 

$

638,187,932

 

152

 

25-Apr-06

 

REFCO

 

$

314,014,000

 

17

 

6-Sep-05

 

Bear Stearns

 

$

217,019,000

 

113

 

7-Jul-06

 

Goldman Sachs

 

$

195,588,117

 

53

 

30-Jan-06

 

Countrywide Securities

 

$

126,917,000

 

48

 

22-Dec-05

 

WAMU

 

$

122,175,000

 

18

 

13-Jan-06

 

Bank of America

 

$

110,092,000

 

13

 

23-Sep-05

 

JP Morgan Securities

 

$

91,475,720

 

199

 

10-Jul-06

 

UBS Securities

 

$

79,132,000

 

169

 

25-Apr-06

 

Merrill Lynch

 

$

58,303,000

 

244

 

19-Apr-06

 

Lehman Brothers

 

$

57,982,000

 

64

 

21-Oct-05

 

Daiwa Securities

 

$

33,546,000

 

200

 

7-Jul-06

 

Morgan Stanley

 

$

4,160,759

 

138

 

3-Jan-06

 

 

 

 

 

 

 

 

 

Total

 

$

3,683,207,433

 

122

 

10-Jul-06

 

 

 

 

 

 

 

 

 

Total Forward Settling Purchases

 

8,448,833

 

 

 

 

 

 

 

 

 

 

 

 

 

Estimated Haircut (at 3%)

 

253,465

 

 

 

 

 

Estimated Forward Borrowings

 

8,195,368

 

 

 

 

 

Est Total Borrowing

 

$

3,691,402,801

 

 

 

 

 

 

Asset Class

 

Weighted Average
Maturity in Days

 

Longest Maturity

 

 

 

 

 

 

 

Fixed Rate MBS

 

106

 

7-Jul-06

 

Fixed Rate CMO

 

43

 

27-Feb-06

 

Fixed Rate Agency Debt

 

29

 

16-Sep-05

 

Adjustable Rate MBS

 

109

 

29-May-06

 

Hybrid Adjustable Rate MBS

 

190

 

10-Jul-06

 

Balloon Maturity MBS

 

95

 

29-May-06

 

 

 

122

 

10-Jul-06

 

 

(1) Includes $507 Million floating rate repo obligations