EX-99.1 2 opx8k03072007ex99-1.htm OPX 8K 3-7-2007 EXHIBIT 99.1 OPX 8k 3-7-2007 Exhibit 99.1

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