Maryland
|
72-1571637
|
|
(State
or other jurisdiction of
incorporation
or organization)
|
(I.R.S.
Employer
Identification
No.)
|
Large
accelerated filer ¨
|
Accelerated
filer þ
|
Non-accelerated
filer ¨
|
PART
I. FINANCIAL INFORMATION
|
3
|
ITEM
1. FINANCIAL
STATEMENTS.
|
3
|
Consolidated
Balance Sheets as of June 30, 2006 (unaudited) and December 31,
2005
|
3
|
Consolidated
Statements of Operations for the six and three months ended June
30, 2006
and 2005 (unaudited)
|
5
|
Consolidated
Statement of Stockholders’ Equity for the six months ended June 30, 2006
(unaudited)
|
7
|
Consolidated
Statements of Cash Flows for the six months ended June 30, 2006
and 2005
(unaudited)
|
8
|
Notes
to Consolidated Financial Statements (unaudited)
|
10
|
ITEM
2. MANAGEMENT’S
DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND
RESULTS OF OPERATIONS.
|
34
|
ITEM
3. QUANTITATIVE
AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
|
47
|
ITEM
4. CONTROLS
AND PROCEDURES.
|
47
|
PART
II. OTHER INFORMATION
|
|
ITEM
1. LEGAL
PROCEEDINGS.
|
48
|
ITEM
1A. RISK
FACTORS
|
48
|
ITEM
4. SUBMISSION
OF MATTERS TO A VOTE OF SECURITY HOLDERS.
|
48
|
ITEM
6. EXHIBITS.
|
48
|
OPTEUM
INC.
|
||||
CONSOLIDATED
BALANCE SHEETS
|
||||
(Unaudited)
|
||||
June
30,
|
December
31,
|
|||
ASSETS
|
2006
|
2005
|
||
MORTGAGE
BACKED SECURITIES:
|
||||
Pledged
to counterparties, at fair value
|
$
|
3,402,507,367
|
$
|
3,493,490,046
|
Unpledged,
at fair value
|
4,780,647
|
539,313
|
||
TOTAL
MORTGAGE BACKED SECURITIES
|
3,407,288,014
|
3,494,029,359
|
||
Cash
and cash equivalents
|
71,416,035
|
130,510,948
|
||
Restricted
cash
|
1,080,000
|
2,310,000
|
||
Securities
held for sale
|
987,716
|
2,782,548
|
||
Mortgage
loans held for sale, net
|
756,838,343
|
894,237,630
|
||
Retained
interests, trading
|
88,395,952
|
98,010,592
|
||
Mortgage
servicing rights, net
|
96,637,099
|
86,081,594
|
||
Principal
payments receivable
|
18,519,079
|
21,497,365
|
||
Accrued
interest receivable
|
16,107,413
|
15,740,475
|
||
Other
receivables, net
|
10,229,903
|
24,512,118
|
||
Property
and equipment, net
|
17,113,546
|
16,067,170
|
||
Prepaid
and other assets
|
22,163,947
|
19,321,766
|
||
TOTAL
ASSETS
|
$
|
4,506,777,047
|
$
|
4,805,101,565
|
LIABILITIES
AND STOCKHOLDERS' EQUITY
|
||||
LIABILITIES:
|
||||
Repurchase
agreements
|
$
|
3,306,887,250
|
$
|
3,337,598,362
|
Warehouse
lines of credit and drafts payable
|
736,969,786
|
873,741,429
|
||
Other
secured borrowings
|
104,825,432
|
104,886,339
|
||
Junior
subordinated notes due to Bimini Capital Trust I & II
|
103,097,000
|
103,097,000
|
||
Accrued
interest payable
|
25,490,425
|
30,232,719
|
||
Unsettled
security purchases
|
-
|
58,278,701
|
||
Dividends
payable
|
6,318,383
|
-
|
||
Compensation
and related benefits payable
|
801,667
|
-
|
||
Deferred
tax liability
|
7,703,705
|
18,360,679
|
||
Accounts
payable, accrued expenses and other
|
14,607,421
|
26,417,996
|
||
TOTAL
LIABILITIES
|
4,306,701,069
|
4,552,613,225
|
||
STOCKHOLDERS'
EQUITY:
|
||||
Preferred
Stock, $0.001 par value; 10,000,000 shares authorized; designated,
1,800,000 shares of Class A Redeemable and 2,000,000 shares as
Class B
Redeemable; issued and outstanding at December 31, 2005, 1,223,208
Class A
Redeemable and no Class B Redeemable; no shares issued and outstanding
at
June 30, 2006
|
-
|
1,223
|
||
Class
A Common Stock, $0.001 par value; 98,000,000 shares designated:
24,354,114
shares issued and outstanding at June 30, 2006 and 24,129,042 shares
issued and 23,567,242 shares outstanding at December 31,
2005
|
24,354
|
24,129
|
||
Less
Treasury Stock; 561,800 shares of Class A Common Stock, at cost,
at
December 31, 2005
|
-
|
(5,236,354)
|
||
Class
B Common Stock, $0.001 par value; 1,000,000 shares designated,
319,388
shares issued and outstanding at June 30, 2006 and December 31,
2005
|
319
|
319
|
||
Class
C Common Stock, $0.001 par value; 1,000,000 shares designated,
319,388
shares issued and outstanding at June 30, 2006 and December 31,
2005
|
319
|
319
|
||
Additional
paid-in capital
|
333,692,307
|
342,230,342
|
||
Accumulated
other comprehensive loss
|
(110,485,739)
|
(76,494,378)
|
||
Accumulated
deficit
|
(23,155,582)
|
(8,037,260)
|
||
|
||||
TOTAL
STOCKHOLDERS' EQUITY
|
200,075,978
|
252,488,340
|
||
TOTAL
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
$
|
4,506,777,047
|
$
|
4,805,101,565
|
See
notes to consolidated financial
statements.
|
OPTEUM
INC.
|
||||||||
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
||||||||
(Unaudited)
|
||||||||
Six
Months Ended
|
Three
Months Ended
|
|||||||
June
30, 2006
|
June
30, 2005
|
June
30, 2006
|
June
30, 2005
|
|||||
REVENUES:
|
||||||||
INTEREST
INCOME:
|
||||||||
Interest
income, net of amortization of premium and discount
|
$
|
135,965,632
|
$
|
67,818,574
|
$
|
75,293,511
|
$
|
36,748,640
|
Interest
expense
|
(116,707,064)
|
(46,545,132)
|
(60,518,293)
|
(26,453,422)
|
||||
NET
INTEREST INCOME
|
19,258,568
|
21,273,442
|
14,775,218
|
10,295,218
|
||||
(LOSSES)
ON SALES OF MORTGAGE LOANS
|
(2,072,488)
|
-
|
(9,149,146)
|
-
|
||||
GAINS
ON SALES OF MORTGAGE BACKED SECURITIES
|
-
|
1,982,382
|
-
|
-
|
||||
SERVICING
INCOME:
|
||||||||
Servicing
fee income
|
12,674,275
|
-
|
6,375,051
|
-
|
||||
Fair
value adjustments to mortgage servicing rights
|
(10,830,079)
|
-
|
(2,767,598)
|
-
|
||||
NET
SERVICING INCOME
|
1,844,196
|
-
|
3,607,453
|
-
|
||||
OTHER
INCOME
|
3,277,379
|
-
|
1,529,237
|
-
|
||||
TOTAL
NON-INTEREST INCOME(LOSS)
|
3,049,087
|
1,982,382
|
(4,012,456)
|
-
|
||||
TOTAL
NET REVENUES
|
22,307,655
|
23,255,824
|
10,762,762
|
10,295,218
|
||||
EXPENSES:
|
|
|
||||||
DIRECT
OPERATING EXPENSES
|
545,823
|
623,918
|
226,573
|
283,945
|
||||
GENERAL
AND ADMINISTRATIVE EXPENSES:
|
||||||||
Compensation
and related benefits
|
17,620,883
|
2,522,610
|
9,596,327
|
1,317,277
|
||||
Directors’
fees and liability insurance
|
420,034
|
306,973
|
210,139
|
150,523
|
||||
Audit,
legal and other professional fees
|
2,614,897
|
360,600
|
1,412,749
|
162,595
|
||||
Other
interest expense
|
3,680,857
|
-
|
1,949,072
|
-
|
||||
Other
administrative expenses
|
18,534,446
|
315,485
|
9,596,719
|
162,479
|
||||
TOTAL
GENERAL AND ADMINISTRATIVE EXPENSES
|
42,871,117
|
3,505,668
|
22,765,006
|
1,792,874
|
||||
TOTAL
EXPENSES
|
43,416,940
|
4,129,586
|
22,991,579
|
2,076,819
|
||||
(LOSS)
INCOME BEFORE INCOME TAXES
|
(21,109,285)
|
19,126,238
|
(12,228,817)
|
8,218,399
|
||||
INCOME
TAX BENEFIT
|
12,333,281
|
-
|
8,539,937
|
-
|
||||
NET
(LOSS) INCOME
|
$
|
(8,776,004)
|
$
|
19,126,238
|
$
|
(3,688,880)
|
$
|
8,218,399
|
BASIC
AND DILUTED NET (LOSS) INCOME PER SHARE OF:
|
||||||||
CLASS
A COMMON STOCK
|
$
|
(0.37)
|
$
|
0.90
|
$
|
(0.15)
|
$
|
0.39
|
CLASS
B COMMON STOCK
|
$
|
(0.36)
|
$
|
0.90
|
$
|
(0.15)
|
$
|
0.39
|
WEIGHTED
AVERAGE NUMBER OF SHARES OUTSTANDING USED IN COMPUTING BASIC AND
DILUTED
PER SHARE AMOUNTS:
|
||||||||
CLASS
A COMMON STOCK
|
23,704,908
|
20,846,479
|
23,970,333
|
20,896,789
|
||||
CLASS
B COMMON STOCK
|
319,388
|
319,388
|
319,388
|
319,388
|
||||
CASH
DIVIDENDS DECLARED PER SHARE OF:
|
||||||||
CLASS
A COMMON STOCK
|
$
|
0.36
|
$
|
0.93
|
$
|
0.25
|
$
|
0.40
|
CLASS
B COMMON STOCK
|
$
|
0.36
|
$
|
0.93
|
$
|
0.25
|
$
|
0.40
|
See
notes to consolidated financial
statements.
|
CONSOLIDATED
STATEMENT OF STOCKHOLDERS' EQUITY (Unaudited)
|
|||||||||||
Six
Months Ended June 30, 2006
|
|||||||||||
Common
Stock,
Amounts
at par value
|
Class
A Redeemable Preferred
|
Treasury
|
Additional
Paid-in
|
Accumulated
Other Comprehensive
|
Accumulated
|
||||||
Class
A
|
Class
B
|
Class
C
|
Stock
|
Stock
|
Capital
|
Loss
|
Deficit
|
Total
|
|||
Balances,
December 31, 2005
|
$
24,129
|
$
319
|
$
319
|
$
1,223
|
$(5,236,354)
|
$342,230,342
|
$
(76,494,378)
|
$(8,037,260)
|
$
252,488,340
|
||
Fair
value adjustment upon adoption of SFAS No. 156 (see Note
5)
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
2,621,918
|
2,621,918
|
||
Issuance
of Class A Common Stock for board compensation and equity plan
phantom
share exercises, net
|
91
|
-
|
-
|
-
|
-
|
196,222
|
-
|
-
|
196,313
|
||
Conversion
of Class A Redeemable Preferred into Class A Common
|
1,223
|
-
|
-
|
(1,223)
|
-
|
-
|
-
|
-
|
-
|
||
Treasury
Stock Purchases
|
-
|
-
|
-
|
-
|
(4,500,326)
|
-
|
-
|
-
|
(4,500,326)
|
||
Retirement
of Treasury Stock
|
(1,089)
|
-
|
-
|
-
|
9,736,680
|
(9,735,591)
|
-
|
-
|
-
|
||
Cash
dividends declared, March 2006
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(2,645,853)
|
(2,645,853)
|
||
Cash
dividends declared, June 2006
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(6,318,383)
|
(6,318,383)
|
||
Phantom
shares vested and amortization of equity plan compensation,
net
|
-
|
-
|
-
|
-
|
-
|
1,129,718
|
-
|
-
|
1,129,718
|
||
Stock
issuance costs
|
-
|
-
|
-
|
-
|
-
|
(128,384)
|
-
|
-
|
(128,384)
|
||
Net
loss
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(8,776,004)
|
(8,776,004)
|
||
Unrealized
loss on available-for-sale securities, net
|
-
|
-
|
-
|
-
|
-
|
-
|
(33,991,361)
|
-
|
(33,991,361)
|
||
Comprehensive
loss
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(42,767,365)
|
||
|
|
|
|
|
|
|
|
|
|||
Balances,
June 30, 2006
|
$
24,354
|
$
319
|
$
319
|
$
-
|
$
-
|
$
333,692,307
|
$(110,485,739)
|
$(23,155,582)
|
$
200,075,978
|
||
See
notes to consolidated financial
statements.
|
OPTEUM
INC.
|
||||
CONSOLIDATED
STATEMENTS OF CASH FLOWS
|
||||
(Unaudited)
|
||||
Six
Months Ended June 30,
|
||||
2006
|
2005
|
|||
CASH
FLOWS FROM OPERATING ACTIVITIES:
|
||||
Net
(loss) income
|
$
|
(8,776,004)
|
$
|
19,126,238
|
Adjustments
to reconcile net (loss) income to net cash provided by operating
activities:
|
||||
Loss
on sale of mortgage loans held for sale
|
2,072,488
|
-
|
||
Amortization
of premium and discount on mortgage backed securities
|
(7,504,090)
|
14,844,054
|
||
Decrease
in residual interest in asset backed securities
|
9,614,640
|
-
|
||
Decrease
in securities held for sale
|
1,794,832
|
-
|
||
Increase
in mortgage servicing rights, net
|
(6,257,280)
|
-
|
||
Deferred
income tax benefit
|
(12,333,281)
|
-
|
||
Gains
on sales of mortgage backed securities
|
-
|
(1,982,382)
|
||
Stock
compensation
|
1,626,307
|
1,195,799
|
||
Depreciation
and amortization
|
2,103,872
|
73,693
|
||
Changes
in operating assets and liabilities:
|
||||
Decrease
in mortgage loans held for sale
|
135,326,799
|
-
|
||
Decrease
in other receivables, net
|
14,282,215
|
-
|
||
Increase
in accrued interest receivable
|
(366,939)
|
(5,117,666)
|
||
(Increase)/decrease
in prepaids and other assets
|
(3,156,171)
|
363,782
|
||
(Decrease)/increase
in accrued interest payable
|
(4,742,294)
|
16,265,162
|
||
(Decrease)/increase
in accounts payable, accrued expenses and other
|
(4,162,891)
|
121,024
|
||
NET
CASH PROVIDED BY OPERATING ACTIVITIES
|
119,221,927
|
44,889,704
|
||
CASH
FLOWS FROM INVESTING ACTIVITIES:
|
||||
From
available-for-sale securities:
|
||||
Purchases
|
(706,141,244)
|
(1,743,844,856)
|
||
Sales
|
-
|
172,040,665
|
||
Principal
repayments
|
711,094,904
|
561,313,859
|
||
Purchases
of property and equipment
|
(2,836,259)
|
(325,523)
|
||
NET
CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES
|
2,117,401
|
(1,010,815,855)
|
||
CASH
FLOWS FROM FINANCING ACTIVITIES:
|
||||
Decrease
in restricted cash
|
1,230,000
|
5,927,000
|
||
(Decrease)/Increase
net borrowings under repurchase agreements
|
(30,711,112)
|
946,669,631
|
||
Net
proceeds from trust preferred securities offering
|
-
|
48,443,337
|
||
Decrease
in warehouse lines of credit, drafts payable and other secured
borrowings
|
(143,678,566)
|
-
|
||
Stock
issuance and other costs
|
(428,659)
|
(43,930)
|
||
Purchases
of treasury stock
|
(4,500,326)
|
-
|
||
Cash
dividends paid
|
(2,645,853)
|
(11,241,953)
|
||
NET
CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES
|
(180,434,241)
|
989,754,085
|
||
NET
CHANGE IN CASH AND CASH EQUIVALENTS
|
(59,094,913)
|
23,827,934
|
||
CASH
AND CASH EQUIVALENTS, Beginning of the period
|
130,510,948
|
128,942,436
|
||
CASH
AND CASH EQUIVALENTS, End of the period
|
$
|
71,416,035
|
$
|
152,770,370
|
OPTEUM
INC.
|
||||
CONSOLIDATED
STATEMENTS OF CASH FLOWS (CONT’D)
|
||||
(Unaudited)
|
||||
Six
Months Ended June 30,
|
||||
2006
|
2005
|
|||
SUPPLEMENTAL
DISCLOSURES OF CASH FLOW INFORMATION:
|
||||
Cash
paid during the period for interest
|
$
|
125,130,215
|
$
|
30,279,970
|
SUPPLEMENTAL
SCHEDULE OF NONCASH INVESTING AND FINANCING ACTIVITIES:
|
||||
Cash
dividends declared and payable, not yet paid
|
$
|
6,318,383
|
$
|
8,486,958
|
Unsettled
security purchases
|
$
|
-
|
$
|
7,169,550
|
See
notes to consolidated financial
statements.
|
Six
Months Ended June 30,
|
Three
Months Ended June 30,
|
||||||
2006
|
2005
|
2006
|
2005
|
||||
Net
(loss) income
|
$
|
(8,776,004)
|
$
|
19,126,238
|
$
(3,688,868)
|
$
|
8,218,399
|
Realized
gain on available-for-sale securities, net
|
-
|
(1,982,382)
|
-
|
-
|
|||
Unrealized
loss on available-for-sale securities, net
|
(33,991,361)
|
(19,993,799)
|
(22,176,263)
|
(454,738)
|
|||
Comprehensive
(loss) income
|
$
|
(42,767,365)
|
$
|
(2,849,943)
|
$
(25,865,131)
|
$
|
7,763,661
|
Mortgage
loans held for sale
|
$
|
742,302,240
|
Deferred
loan origination costs—and others
|
14,949,090
|
|
Valuation
allowance
|
(412,987)
|
|
$
|
756,838,343
|
Series
|
Issue
Date
|
June
30, 2006
|
December
31, 2005
|
|||
HMAC
2004-1
|
March
4, 2004
|
$
|
2,896,040
|
$
|
5,096,056
|
|
HMAC
2004-2
|
May
10, 2004
|
973,031
|
3,240,431
|
|||
HMAC
2004-3
|
June
30, 2004
|
91,957
|
1,055,651
|
|||
HMAC
2004-4
|
August
16, 2004
|
2,092,794
|
3,749,261
|
|||
HMAC
2004-5
|
September
28, 2004
|
4,785,002
|
6,177,669
|
|||
HMAC
2004-6
|
November
17, 2004
|
10,338,653
|
14,321,046
|
|||
OMAC
2005-1
|
January
31, 2005
|
11,964,403
|
14,720,910
|
|||
OMAC
2005-2
|
April
5, 2005
|
12,378,032
|
11,301,619
|
|||
OMAC
2005-3
|
June
17, 2005
|
13,614,114
|
14,656,477
|
|||
OMAC
2005-4
|
August
25, 2005
|
8,114,027
|
12,551,775
|
|||
OMAC
2005-5
|
November
23, 2005
|
6,036,633
|
11,139,697
|
|||
OMAC
2006-1
|
March
23, 2006
|
10,387,287
|
-
|
|||
OMAC
2006-2
|
June
26, 2006
|
4,723,979
|
-
|
|||
Total
|
$
|
88,395,952
|
$
|
98,010,592
|
June
30, 2006
|
December
31, 2005
|
|
Prepayment
speeds (CPR)
|
36.26%
|
28.65%
|
Weighted-average-life
|
4.18
|
2.83
|
Expected
credit losses
|
0.74%
|
1.07%
|
Discount
rates
|
16.81%
|
14.90%
|
Interest
rates
|
Forward
LIBOR Yield curve
|
Forward
LIBOR Yield curve
|
June
30, 2006
|
December
31, 2005
|
|||
Balance
Sheet Carrying value of retained interests - fair value
|
$
|
88,395,952
|
$
|
98,010,592
|
Weighted
average life (in years)
|
5.24
|
2.62
|
||
Prepayment
assumption (annual rate)
|
32.28%
|
32.53%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(8,847,221)
|
$
|
(7,817,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(15,581,981)
|
$
|
(16,089,000)
|
Expected
Credit losses (annual rate)
|
0.58%
|
0.61%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(3,461,968)
|
$
|
(3,247,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(6,898,938)
|
$
|
(6,419,000)
|
Residual
Cash-Flow Discount Rate
|
12.78%
|
13.96%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(4,128,810)
|
$
|
(3,804,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(7,924,214)
|
$
|
(7,392,000)
|
Interest
rates on variable and adjustable loans and bonds
|
Forward
LIBOR Yield Curve
|
Forward
LIBOR Yield Curve
|
||
Impact
on fair value of 10% adverse change
|
$
|
(33,543,511)
|
$
|
(21,265,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(52,553,733)
|
$
|
(34,365,000)
|
Series
|
Issue
Date
|
Original
Unpaid Principal Balance
|
Projected
Aggregate Static Pool Loss Percentage
|
Static
Pool Loss Percentage
Through
June 30, 2006
|
Static
Pool Loss Percentage
Through
December 31, 2005
|
HMAC
2004-1
|
March
4, 2004
|
$
309,710,005
|
0.13%
|
0.04%
|
0.01%
|
HMAC
2004-2
|
May
10, 2004
|
$
388,737,548
|
0.17%
|
0.21%
|
0.12%
|
HMAC
2004-3
|
June
30, 2004
|
$
417,055,285
|
0.16%
|
0.09%
|
0.06%
|
HMAC
2004-4
|
August
16, 2004
|
$
410,122,752
|
0.33%
|
0.02%
|
0.01%
|
HMAC
2004-5
|
September
28, 2004
|
$
413,874,856
|
0.46%
|
0.00%
|
0.00%
|
HMAC
2004-6
|
November
17, 2004
|
$
761,026,691
|
0.56%
|
0.03%
|
0.01%
|
OMAC
2005-1
|
January
31, 2005
|
$
802,625,137
|
0.58%
|
0.05%
|
0.01%
|
OMAC
2005-2
|
April
5, 2005
|
$
883,987,488
|
0.50%
|
0.01%
|
0.00%
|
OMAC
2005-3
|
June
17, 2005
|
$
937,116,704
|
0.45%
|
0.00%
|
0.00%
|
OMAC
2005-4
|
August
25, 2005
|
$
1,321,738,691
|
0.75%
|
0.00%
|
0.00%
|
OMAC
2005-5
|
November
23, 2005
|
$
986,276,688
|
0.77%
|
0.00%
|
0.00%
|
OMAC
2006-1
|
March
23, 2006
|
$
934,441,049
|
0.65%
|
0.00%
|
-
|
OMAC
2006-2
|
June
26, 2006
|
$
491,571,939
|
0.90%
|
-
|
-
|
|
|||||
Total
|
$
9,058,284,833
|
|
For
the Six Months Ended June 30, 2006
|
For
the Three Months Ended June 30, 2006
|
|||
Proceeds
from securitizations
|
$
|
1,436,837,754
|
$
|
497,532,754
|
Servicing
fees received
|
9,252,461
|
4,660,106
|
||
Servicing
advances paid
|
1,550,373
|
1,215,103
|
||
Cash
flows received on retained interests
|
2,008,777
|
992,669
|
As
of Date
|
Total
Principal Amount of Loans
|
Principal
Amount of Loans Greater than 60 Days Past Due
|
Net
Credit Losses
|
|||
June
30, 2006
|
$
|
6,817,453,679
|
$
|
113,956,163
|
$
|
2,058,234
|
December
31, 2005
|
$
|
6,363,279,281
|
$
|
57,871,123
|
$
|
912,990
|
For
the Six Months Ended June 30, 2006
|
|||
Balance
at beginning of period (at cost)
|
$
|
86,081,594
|
|
Adjustment
to fair value upon adoption of SFAS 156 at January 1, 2006
|
4,298,225
|
||
Additions
|
17,087,360
|
||
Changes
in fair Value:
|
|||
Changes
in fair value
|
(9,685,346)
|
||
Change
in fair value due to change in valuation assumptions
|
(1,144,733)
|
(10,830,079)
|
|
Balance
at end of period
|
$
|
96,637,099
|
At
June 30, 2006
|
At
December 31, 2005
|
|||
Prepayment
assumption (annual rate) (PSA)
|
417.9
|
254.0
|
||
Impact
on fair value of 10% adverse change
|
$
|
(3,467,265)
|
$
|
(3,615,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(6,596,466)
|
$
|
(6,936,000)
|
MSR
Cash-Flow Discount Rate
|
14.30%
|
10.74%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(3,923,392)
|
$
|
(4,856,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(7,487,117)
|
$
|
(9,280,000)
|
June
30, 2006
|
December
31, 2005
|
|||
Adjustable
Rate Mortgages
|
$
|
2,319,096,678
|
$
|
2,006,767,437
|
Fixed
Rate and Balloons Mortgages
|
697,145,510
|
733,366,217
|
||
Hybrid
Arms
|
391,045,826
|
753,895,705
|
||
Totals
|
$
|
3,407,288,014
|
$
|
3,494,029,359
|
June
30, 2006
|
December
31, 2005
|
|||
Principal
balance
|
$
|
3,396,909,813
|
$
|
3,457,887,912
|
Unamortized
premium
|
123,320,155
|
115,133,248
|
||
Unaccreted
discount
|
(2,452,745)
|
(2,497,423)
|
||
Gross
unrealized gains
|
615,979
|
265,615
|
||
Gross
unrealized losses
|
(111,105,188)
|
(76,759,993)
|
||
Carrying
value/estimated fair value
|
$
|
3,407,288,014
|
$
|
3,494,029,359
|
Loss
Position Less than 12 Months
|
Loss
Position More than 12 Months
|
Total
|
||||||||||
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
|||||||
Hybrid
Arms and Balloons
|
$
|
191,778,336
|
$
|
(2,506,896)
|
$
|
183,428,500
|
$
|
(8,442,849)
|
$
|
375,206,836
|
$
|
(10,949,745)
|
Adjustable
Rate Mortgages
|
1,287,872,457
|
(29,922,497)
|
808,180,997
|
(33,709,309)
|
2,096,053,454
|
(63,631,806)
|
||||||
Fixed
Rate Mortgages
|
189,957,106
|
(4,551,138)
|
507,188,404
|
(31,972,499)
|
697,145,510
|
(36,523,637)
|
||||||
$
|
1,669,607,899
|
$
|
(36,980,531)
|
$
|
1,498,797,901
|
$
|
(74,124,657)
|
$
|
3,168,405,800
|
$
|
(111,105,188)
|
Loss
Position Less than 12 Months
|
Loss
Position More than 12 Months
|
Total
|
||||||||||
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
Estimated
Fair
Value
|
Unrealized
Losses
|
|||||||
Hybrid
Arms and Balloons
|
$
|
563,661,156
|
$
|
(8,409,428)
|
$
|
$141,675,752
|
$
|
(4,510,901)
|
$
|
705,336,908
|
$
|
(12,920,329)
|
Adjustable
Rate Mortgages
|
1,648,085,054
|
(27,917,630)
|
270,945,493
|
(8,944,837)
|
1,919,030,547
|
(36,862,467)
|
||||||
Fixed
Rate Mortgages
|
425,260,838
|
(10,762,306)
|
346,435,009
|
(16,214,890)
|
771,695,847
|
(26,977,197)
|
||||||
$
|
2,637,007,048
|
$
|
(47,089,364)
|
$
|
759,056,254
|
$
|
(29,670,628)
|
$
|
3,396,063,302
|
$
|
(76,759,993)
|
(Unaudited)
|
(Unaudited)
|
||||||
Six
Months Ended June 30,
|
Three
Months Ended June 30,
|
||||||
2006
|
2005
|
2006
|
2005
|
||||
Basic
and diluted EPS of Class A Common Stock:
|
|||||||
Numerator:
net (loss) income allocated to the shares of Class A Common Stock
|
$
|
(8,662,402)
|
$
|
18,838,279
|
$
(3,641,129)
|
$
|
8,094,686
|
Denominator:
basic and diluted:
|
|||||||
Shares
of Class A Common Stock outstanding at the balance sheet date
|
24,354,114
|
20,385,936
|
24,354,114
|
20,385,936
|
|||
Dividend
eligible equity plan shares issued as of the balance sheet
date
|
-
|
512,072
|
-
|
516,961
|
|||
Effect
of weighting
|
(649,206)
|
(51,529)
|
(383,781)
|
(6,108)
|
|||
Weighted
average shares-basic and diluted
|
23,704,908
|
20,846,479
|
23,970,333
|
20,896,789
|
|||
Basic
and diluted EPS of Class A Common Stock
|
$
|
(0.37)
|
$
|
0.90
|
$
(0.15)
|
$
|
0.39
|
Basic
and diluted EPS of Class B Common Stock:
|
|||||||
Numerator:
net (loss) income allocated to Class B Common Stock
|
$
|
(113,602)
|
$
|
287,959
|
$
(47,751)
|
$
|
123,713
|
Denominator:
basic and diluted:
|
|||||||
Shares
of Class B Common Stock outstanding at the balance sheet date
|
319,388
|
319,388
|
319,388
|
319,388
|
|||
Effect
of weighting
|
-
|
-
|
-
|
-
|
|||
Weighted
average shares-basic and diluted
|
319,388
|
319,388
|
319,388
|
319,388
|
|||
Basic
and diluted EPS of Class B Common Stock
|
$
|
(0.36)
|
$
|
0.90
|
$
(0.15)
|
$
|
0.39
|
Outstanding
Principal Balance at
June
30, 2006
|
||
Warehouse
and aggregate lines of credit:
|
||
A
committed warehouse line of credit for $100.0 million between OFS
and
Residential Funding Corporation ("RFC"). The agreement expires
on
September 30, 2006. The agreement provides for interest rates based
upon
one month LIBOR plus a margin between 1.25% and 1.50% depending
on the
product that was originated or acquired.
|
$
|
6,691,253
|
A
committed warehouse line of credit for $850.0 million between OFS
and JP
Morgan Chase. The agreement expires on May 30, 2007 and is expected
to be
renewed prior to its expiration. The agreement provides for interest
rates
based upon one month LIBOR plus a margin of 0.60% to 1.50% depending
on
the product originated or acquired.
|
148,111,110
|
|
An
aggregation facility for $1.0 billion between OFS and Citigroup
Global
Markets Realty Inc. to aggregate loans pending securitization.
The
agreement expires on February 28, 2007. The agreement provides
for
interest rates based upon one month LIBOR plus a margin of
0.50%.
|
50,182,230
|
|
A
$750.0 million purchase and security agreement between OFS and
UBS Warburg
Real Estate Securities, Inc. (“UBS Warburg”). The facility is due upon
demand and can be cancelled by either party upon notification to
the
counterparty. OFS incurs a charge for the facility based on one
month
LIBOR plus 1.00%. The facility is secured by loans held for sale
and cash
generated from sales to investors.
|
104,602,632
|
|
Drafts
payable
|
15,260,490
|
|
Loan
sale agreements accounted for as financings:
|
||
An
uncommitted $500.0 million purchase agreement between OFS and Colonial
Bank. The facility is due upon demand and can be cancelled by either
party
upon notification to the counterparty. OFS incurs a charge for
the
facility based on one month LIBOR plus 0.50% for the first $300.0
million
purchased and one month LIBOR plus 0.75%
for
the amount used above and beyond $300.0 million. The
facility is secured by loans held for sale and cash generated from
sales
to investors.
|
412,122,071
|
|
Total
|
$
|
736,969,786
|
Outstanding
Principal Balance at
June
30, 2006
|
||
A
committed warehouse line of credit for $150.0 million between OFS
and JP
Morgan Chase that allows for a sublimit for MSRs. The agreement
expires
May 30, 2007 and is expected to be renewed prior to its expiration.
The
agreement provides for an interest rate based on LIBOR plus 1.50%
to 1.85%
depending on collateral type.
|
$
|
71,435,442
|
Citigroup
Global Realty Inc. working capital line of credit secured by the
retained
interests in securitizations through OMAC 2006-2. The facility
expires on
October 31, 2006. The agreement provides for an interest rate based
on
LIBOR plus 2.00%.
|
33,389,990
|
|
$
|
104,825,432
|
OVERNIGHT
(1
DAY OR LESS)
|
BETWEEN
2 AND
30
DAYS
|
BETWEEN
31 AND
90
DAYS
|
GREATER
THAN
90
DAYS
|
TOTAL
|
||||||
Agency-Backed
Mortgage Backed securities:
|
||||||||||
Amortized
cost of securities sold, including accrued interest
receivable
|
$
|
—
|
$
|
1,843,789,784
|
$
|
687,967,255
|
$
|
818,475,995
|
$
|
3,350,233,034
|
Fair
market value of securities sold, including accrued interest
receivable
|
$
|
—
|
$
|
1,794,765,144
|
$
|
671,886,428
|
$
|
781,345,823
|
$
|
3,247,997,395
|
Repurchase
agreement liabilities associated with these securities
|
$
|
—
|
$
|
1,812,218,000
|
$
|
686,979,000
|
$
|
807,690,250
|
$
|
3,306,887,250
|
Net
weighted average borrowing rate
|
—
|
5.07%
|
4.99%
|
5.16%
|
5.08%
|
OVERNIGHT
(1
DAY OR LESS)
|
BETWEEN
2 AND
30
DAYS
|
BETWEEN
31 AND
90
DAYS
|
GREATER
THAN
90
DAYS
|
TOTAL
|
||||||
Agency-Backed
Mortgage Backed securities:
|
||||||||||
Amortized
cost of securities sold, including accrued interest
receivable
|
$
|
—
|
$
|
906,106,459
|
$
|
813,436,832
|
$
|
1,533,016,956
|
$
|
3,252,560,247
|
Fair
market value of securities sold, including accrued interest
receivable
|
$
|
—
|
$
|
893,159,892
|
$
|
791,259,152
|
$
|
1,498,980,224
|
$
|
3,183,399,268
|
Repurchase
agreement liabilities associated with these securities
|
$
|
—
|
$
|
914,262,355
|
$
|
857,995,007
|
$
|
1,565,341,000
|
$
|
3,337,598,362
|
Net
weighted average borrowing rate
|
—
|
4.22%
|
4.01%
|
4.19%
|
4.15%
|
Repurchase
Agreement Counterparties
|
Amount
Outstanding ($000)
|
Amount
at Risk(1) ($000)
|
Weighted
Average Maturity of Repurchase Obligations in
Days
|
Percent
of Total Amount Outstanding
|
|||
Deutsche
Bank Securities, Inc.
|
$
|
980,859
|
11,419
|
194
|
29.66
|
%
|
|
JP
Morgan Securities
|
747,306
|
22,796
|
24
|
22.60
|
|||
Washington
Mutual
|
357,109
|
13,420
|
10
|
10.80
|
|||
Nomura
Securities International, Inc.
|
312,260
|
10,782
|
44
|
9.44
|
|||
RBS
Greenwich Capital
|
198,199
|
5,861
|
37
|
5.99
|
|||
Countrywide
Securities Corp
|
194,649
|
6,641
|
113
|
5.89
|
|||
BNP
Paribas Securities Corp
|
167,528
|
5,834
|
64
|
5.07
|
|||
UBS
Investment Bank, LLC
|
131,313
|
3,405
|
55
|
3.97
|
|||
Goldman
Sachs
|
103,786
|
3,522
|
35
|
3.14
|
|||
Merrill
Lynch
|
53,952
|
1,481
|
3
|
1.63
|
|||
Bear
Stearns & Co. Inc.
|
22,399
|
1,462
|
7
|
0.68
|
|||
Daiwa
Securities America Inc.
|
19,732
|
(255)
|
7
|
0.60
|
|||
Lehman
Brothers
|
9,155
|
310
|
31
|
0.28
|
|||
Cantor
Fitzgerald
|
8,640
|
386
|
6
|
0.25
|
|||
HSBC
Securities (USA) Inc.
|
0
|
483
|
0
|
0.00
|
|||
Total
|
$
|
3,306,887
|
|
87,547
|
100
|
%
|
Repurchase
Agreement Counterparties
|
Amount
Outstanding ($000)
|
Amount
at Risk(1) ($000)
|
Weighted
Average Maturity of Repurchase Obligations in
Days
|
Percent
of Total Amount Outstanding
|
|||
Deutsche
Bank Securities, Inc.
|
$
|
894,748
|
12,018
|
135
|
26.81
|
%
|
|
Nomura
Securities International, Inc.
|
623,631
|
27,010
|
122
|
18.69
|
|||
Cantor
Fitzgerald
|
467,638
|
15,958
|
70
|
14.01
|
|||
Washington
Mutual
|
375,345
|
11,630
|
7
|
11.25
|
|||
Goldman
Sachs
|
207,525
|
7,438
|
44
|
6.22
|
|||
Bear
Stearns & Co. Inc.
|
167,610
|
6,096
|
157
|
5.02
|
|||
UBS
Investment Bank, LLC
|
158,781
|
5,059
|
93
|
4.76
|
|||
Merrill
Lynch
|
128,119
|
(7,949)
|
96
|
3.84
|
|||
JP
Morgan Securities
|
115,807
|
1,652
|
151
|
3.47
|
|||
Morgan
Stanley
|
73,505
|
1,767
|
26
|
2.20
|
|||
Lehman
Brothers
|
62,643
|
2,399
|
87
|
1.88
|
|||
Countrywide
Securities Corp
|
22,930
|
1,238
|
86
|
0.69
|
|||
Daiwa
Securities America Inc.
|
19,732
|
39
|
188
|
0.58
|
|||
Bank
of America Securities, LLC
|
19,584
|
815
|
27
|
0.58
|
|||
Total
|
$
|
3,337,598
|
85,170
|
100
|
%
|
Balance—Beginning
of period
|
$
|
2,037,980
|
Provision
|
1,567,105
|
|
Charge-Offs
|
(896,036)
|
|
Balance—End
of period
|
$
|
2,709,049
|
Payments
Due by Period
|
||||||||||
Contractual
Obligations
|
Total
|
Less
than 1 year
|
1-3
years
|
3-5
years
|
More
than 5 years
|
|||||
Repurchase
agreements
|
$
|
3,306,887
|
$
|
3,306,887
|
$
|
-
|
$
|
-
|
$
|
-
|
Warehouse
lines of credit
|
721,710
|
721,710
|
-
|
-
|
-
|
|||||
Drafts
payable
|
15,260
|
15,260
|
-
|
-
|
-
|
|||||
Other
secured borrowings
|
104,825
|
104,825
|
-
|
-
|
-
|
|||||
Junior
subordinated notes
|
103,097
|
-
|
-
|
103,097
|
-
|
|||||
Operating
leases
|
17,296
|
5,909
|
8,079
|
2,472
|
836
|
|||||
Total
|
$
|
4,269,075
|
$
|
4,154,591
|
$
|
8,079
|
$
|
105,569
|
$
|
836
|
(Amounts
in thousands)
|
OPTEUM
|
OFS
|
Consolidated
Total
|
|||
Six
months
ended
June
30, 2006
|
Six
months
ended
June
30, 2006
|
Six
months
ended
June
30, 2006
|
||||
Net
interest income
|
$
|
12,214
|
$
|
7,044
|
$
|
19,258
|
Other
revenues, net
|
70
|
2,979
|
3,049
|
|||
Direct
operating expenses
|
(546)
|
-
|
(546)
|
|||
General
and administrative expenses
|
(5,157)
|
(37,714)
|
(42,871)
|
|||
Income
(loss) before income taxes
|
6,582
|
(27,691)
|
(21,109)
|
|||
Income
tax benefit
|
-
|
12,333
|
12,333
|
|||
Total
assets
|
3,519,968
|
986,809
|
4,506,777
|
|||
Capital
expenditures
|
687
|
2,149
|
2,836
|
(Amounts
in thousands)
|
OPTEUM
|
OFS
|
Consolidated
Total
|
|||
Three
months
ended
June
30, 2006
|
Three
months
ended
June
30, 2006
|
Three
months
ended
June
30, 2006
|
||||
Net
interest income
|
$
|
10,707
|
$
|
4,069
|
$
|
14,776
|
Other
revenues, net
|
70
|
(4,083)
|
(4,013)
|
|||
Direct
operating expenses
|
(227)
|
-
|
(227)
|
|||
General
and administrative expenses
|
(3,028)
|
(19,737)
|
(22,765)
|
|||
Income
(loss) before income taxes
|
7,523
|
(19,752)
|
(12,229)
|
|||
Income
tax benefit
|
-
|
8,540
|
8,540
|
Deferred
income tax benefit:
|
Six
Months ended June 30, 2006
|
Three
Months ended June 30, 2006
|
||
Federal
|
$
|
15,025,484
|
$
|
8,624,312
|
State
|
1,674,348
|
961,053
|
||
Total
deferred income tax benefit
|
16,699,832
|
9,585,365
|
||
Deferred
income tax (expense):
|
||||
Federal
|
(3,928,773)
|
(941,216)
|
||
State
|
(437,778)
|
(104,212)
|
||
Total
deferred income tax (expense)
|
(4,366,551)
|
(1,045,428)
|
||
Total
deferred income tax benefit
|
$
|
12,333,281
|
$
|
8,539,937
|
Six
months
ended
June 30, 2006
|
Three
months ended June 30, 2006
|
|||
Net
loss, if taxed at the Federal tax rate
|
$
|
13,721,035
|
$
|
7,948,731
|
Exclusion
of REIT Taxable Income
|
(2,612,773)
|
(260,503)
|
||
Permanent
tax differences
|
(12,837)
|
(5,057)
|
||
State
tax benefit, net of Federal tax effect
|
1,237,856
|
856,766
|
||
Total
deferred income tax benefit
|
$
|
12,333,281
|
$
|
8,539,937
|
Deferred
tax assets:
|
||
Federal
tax loss carry-forward
|
$
|
16,446,944
|
State
tax loss carry-forward
|
2,999,443
|
|
Mark-to-market
adjustments
|
176,791
|
|
Total
gross deferred tax assets
|
$
|
19,623,178
|
Deferred
tax liabilities:
|
||
Capitalized
cost of mortgage servicing rights
|
$
|
(23,212,525)
|
Loan
origination and other amounts
|
(2,423,284)
|
|
Intangible
assets
|
(1,691,074)
|
|
Total
gross deferred tax liabilities
|
$
|
(27,326,883)
|
Net
deferred tax liabilities
|
$
|
(7,703,705)
|
Six
Months ended
June
30, 2006
|
Three
months ended
June
30, 2006
|
|||
GAAP
net loss
|
$
|
(8,776,004)
|
$
|
(3,688,880)
|
Plus:
GAAP net loss of taxable REIT subsidiary included above
|
15,357,749
|
11,211,895
|
||
GAAP
net income from REIT operations
|
6,581,745
|
7,523,015
|
||
Add:
inter-company interest paid on loans
|
4,048,871
|
2,216,542
|
||
Add:
estimated book depreciation and amortization
|
174,690
|
87,345
|
||
Less:
estimated tax depreciation and amortization
|
(171,826)
|
(85,913)
|
||
Phantom
share book/tax differences, net
|
604,327
|
266,033
|
||
Other
book/tax differences, net
|
(44,666)
|
(21,239)
|
||
REIT
Taxable Net Income
|
$
|
11,193,141
|
$
|
9,985,783
|
June
30, 2006
|
December
31, 2005
|
|||
Balance
Sheet Carrying value of retained interests - fair value
|
$
|
88,395,952
|
$
|
98,010,592
|
Weighted
average life (in years)
|
5.24
|
2.62
|
||
Prepayment
assumption (annual rate)
|
32.28%
|
32.53%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(8,847,221)
|
$
|
(7,817,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(15,581,981)
|
$
|
(16,089,000)
|
Expected
Credit losses (annual rate)
|
0.58%
|
0.61%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(3,461,968)
|
$
|
(3,247,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(6,898,938)
|
$
|
(6,419,000)
|
Residual
Cash-Flow Discount Rate
|
12.78%
|
13.96%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(4,128,810)
|
$
|
(3,804,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(7,924,214)
|
$
|
(7,392,000)
|
Interest
rates on variable and adjustable loans and bonds
|
Forward
LIBOR Yield Curve
|
Forward
LIBOR Yield Curve
|
||
Impact
on fair value of 10% adverse change
|
$
|
(33,543,511)
|
$
|
(21,265,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(52,553,733)
|
$
|
(34,365,000)
|
At
June 30, 2006
|
At
December 31, 2005
|
|||
Prepayment
assumption (annual rate) (PSA)
|
417.9
|
254.0
|
||
Impact
on fair value of 10% adverse change
|
$
|
(3,467,265)
|
$
|
(3,615,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(6,596,466)
|
$
|
(6,936,000)
|
MSR
Cash-Flow Discount Rate
|
14.30%
|
10.74%
|
||
Impact
on fair value of 10% adverse change
|
$
|
(3,923,392)
|
$
|
(4,856,000)
|
Impact
on fair value of 20% adverse change
|
$
|
(7,487,117)
|
$
|
(9,280,000)
|
Asset
Category
|
Market
Value
|
Percentage
of
Entire
Portfolio
|
Weighted
Average
Coupon
|
Weighted
Average
Maturity
in
Months
|
Longest
Maturity
|
Weighted
Average
Coupon
Reset
in Months
|
Weighted
Average
Lifetime
Cap
|
Weighted
Average
Periodic
Cap
|
|
Adjustable-Rate
MBS
|
$
|
2,319,096,678
|
68.06%
|
4.70%
|
329
|
1-Apr-44
|
5.09
|
10.22%
|
1.84%
|
Fixed-Rate
MBS
|
$
|
653,659,358
|
19.18%
|
6.48%
|
254
|
1-Apr-36
|
n/a
|
n/a
|
n/a
|
Hybrid
Adjustable-Rate MBS
|
$
|
391,045,826
|
11.48%
|
4.80%
|
333
|
1-Nov-35
|
18.16
|
10.04%
|
1.45%
|
Balloon
Maturity MBS
|
$
|
43,486,152
|
1.28%
|
4.05%
|
42
|
1-Feb-11
|
n/a
|
n/a
|
n/a
|
Total
Portfolio
|
$
|
3,407,288,014
|
100.00%
|
5.05%
|
311
|
1-Apr-44
|
6.98
|
10.20%
|
1.79%
|
Agency
|
Market
Value
|
Percentage
of
Entire
Portfolio
|
|
Fannie
Mae
|
$
|
2,281,622,803
|
66.96%
|
Freddie
Mac
|
608,951,562
|
17.87%
|
|
Ginnie
Mae
|
516,713,649
|
15.17%
|
|
Total
Portfolio
|
$
|
3,407,288,014
|
100.00%
|
Entire
Portfolio
|
||
Effective
Duration (1)
|
1.42
|
|
Weighted
Average Purchase Price
|
$
|
102.34
|
Weighted
Average Current Price
|
$
|
100.31
|
(1) |
Effective
duration of 1.42 indicates that an interest rate increase of 1% would
be
expected to cause a 1.42% decline in the value of the MBS in the
Company’s
investment portfolio.
|
Quarter
Ended
|
Principal
Balance
of
Investment
Securities
Held
|
Unamortized
Premium
(Net)
|
Amortized
Cost of
Securities
Held
|
Amortized
Cost/Principal
Balance
Held
|
Fair
Market
Value
of
Investment
Securities
Held
|
Fair
Market
Value/Principal
Balance
Held
|
||||
At
June 30, 2006
|
$
|
3,396,909,813
|
$
|
120,867,410
|
$
|
3,517,777,223
|
103.558
|
$
|
3,407,288,014
|
100.306
|
At
March 31,2006
|
3,515,112,798
|
111,754,082
|
3,626,866,880
|
103.179
|
3,538,554,210
|
100.667
|
||||
At
December 31, 2005
|
3,457,891,363
|
112,635,825
|
3,570,527,188
|
103.257
|
3,494,029,359
|
101.045
|
||||
At
September 30, 2005
|
3,797,400,645
|
113,392,661
|
3,910,793,306
|
102.986
|
3,858,319,701
|
101.604
|
||||
At
June 30, 2005
|
3,784,668,467
|
114,672,670
|
3,899,341,137
|
103.030
|
3,876,205,996
|
102.419
|
||||
At
March 31, 2005
|
3,212,516,823
|
109,389,703
|
3,321,906,527
|
103.405
|
3,299,051,561
|
102.694
|
||||
At
December 31, 2004
|
2,876,319,085
|
97,753,097
|
2,974,072,182
|
103.399
|
2,973,232,897
|
103.369
|
||||
At
September 30, 2004
|
1,589,828,988
|
48,498,955
|
1,638,327,943
|
103.051
|
1,638,264,065
|
103.047
|
||||
At
June 30, 2004
|
1,479,500,209
|
38,033,673
|
1,517,533,882
|
102.571
|
1,508,421,270
|
101.955
|
||||
At
March 31, 2004
|
1,473,583,661
|
39,535,014
|
1,513,118,676
|
102.683
|
1,516,539,744
|
102.915
|
Interest
Rates Fall
100
Basis Points
|
Interest
Rates Rise
100
Basis Points
|
Interest
Rates Rise
200
Basis Points
|
||||
Adjustable-Rate
MBS
|
||||||
(Fair
Value $2,319,096,678)
|
||||||
Change
in fair value
|
$
|
20,555,814
|
$
|
(20,555,814)
|
$
|
(41,111,628)
|
Change
as a percent of fair value
|
0.89%
|
(0.89)%
|
(1.77)%
|
|||
Fixed-Rate
MBS
|
||||||
(Fair
Value $653,659,358)
|
||||||
Change
in fair value
|
$
|
20,366,423
|
$
|
(20,366,423)
|
$
|
(40,732,847)
|
Change
as a percent of fair value
|
3.12%
|
(3.12)%
|
(6.23)%
|
|||
Hybrid
Adjustable-Rate MBS
|
||||||
(Fair
Value $391,045,826)
|
||||||
Change
in fair value
|
$
|
6,406,589
|
$
|
(6,406,589)
|
$
|
(12,813,177)
|
Change
as a percent of fair value
|
1.64%
|
(1.64)%
|
(3.28)%
|
|||
Balloon
Maturity MBS
|
||||||
(Fair
Value $43,486,152)
|
||||||
Change
in fair value
|
$
|
975,069
|
$
|
(975,069)
|
$
|
(1,950,138)
|
Change
as a percent of fair value
|
2.24%
|
(2.24)%
|
(4.48)%
|
|||
Cash
|
||||||
(Fair
Value $71,416,035)
|
||||||
Portfolio
Total
|
||||||
(Fair
Value $3,407,288,014)
|
||||||
Change
in fair value
|
$
|
48,303,895
|
$
|
(48,303,895)
|
$
|
(96,607,790)
|
Change
as a percent of fair value
|
1.42%
|
(1.42)%
|
(2.84)%
|
Interest
Rates Fall
100
Basis Points
|
Interest
Rates Rise
100
Basis Points
|
Interest
Rates Rise
200
Basis Points
|
||||
Adjustable-Rate
MBS
|
||||||
(Fair
Value $2,319,096,678)
|
||||||
Change
in fair value
|
$
|
15,621,036
|
$
|
(25,565,555)
|
$
|
(61,140,579)
|
Change
as a percent of fair value
|
0.67%
|
(1.10)%
|
(2.64)%
|
|||
Fixed-Rate
MBS
|
||||||
(Fair
Value $653,659,358)
|
||||||
Change
in fair value
|
$
|
16,594,826
|
$
|
(22,914,841)
|
$
|
(48,400,748)
|
Change
as a percent of fair value
|
2.54%
|
(3.51)%
|
(7.40)%
|
|||
Hybrid
Adjustable-Rate MBS
|
||||||
(Fair
Value $391,045,826)
|
||||||
Change
in fair value
|
$
|
5,098,245
|
$
|
(7,519,098)
|
$
|
(16,944,594)
|
Change
as a percent of fair value
|
1.30%
|
(1.92)%
|
(4.33)%
|
|||
Balloon
Maturity MBS
|
||||||
(Fair
Value $43,486,152)
|
||||||
Change
in fair value
|
$
|
953,549
|
$
|
(975,682)
|
$
|
(1,926,500)
|
Change
as a percent of fair value
|
2.19%
|
(2.24)%
|
(4.43)%
|
|||
Cash
|
||||||
(Fair
Value $71,416,035)
|
||||||
Portfolio
Total
|
||||||
(Fair
Value $3,407,288,014)
|
||||||
Change
in fair value
|
$
|
38,267,656
|
$
|
(56,975,176)
|
$
|
(128,412,421)
|
Change
as a percent of fair value
|
1.12%
|
(1.67)%
|
(3.77)%
|
Repurchase
Agreement Counterparties
|
Amount
Outstanding ($000)
|
Amount
at Risk(1) ($000)
|
Weighted
Average Maturity of Repurchase Obligations in
Days
|
Percent
of Total Amount Outstanding
|
|||
Deutsche
Bank Securities, Inc.
|
$
|
980,859
|
11,419
|
194
|
29.66
|
%
|
|
JP
Morgan Securities
|
747,306
|
22,796
|
24
|
22.60
|
|||
Washington
Mutual
|
357,109
|
13,420
|
10
|
10.80
|
|||
Nomura
Securities International, Inc.
|
312,260
|
10,782
|
44
|
9.44
|
|||
RBS
Greenwich Capital
|
198,199
|
5,861
|
37
|
5.99
|
|||
Countrywide
Securities Corp
|
194,649
|
6,641
|
113
|
5.89
|
|||
BNP
Paribas Securities Corp
|
167,528
|
5,834
|
64
|
5.07
|
|||
UBS
Investment Bank, LLC
|
131,313
|
3,405
|
55
|
3.97
|
|||
Goldman
Sachs
|
103,786
|
3,522
|
35
|
3.14
|
|||
Merrill
Lynch
|
53,952
|
1,481
|
3
|
1.63
|
|||
Bear
Stearns & Co. Inc.
|
22,399
|
1,462
|
7
|
0.68
|
|||
Daiwa
Securities America Inc.
|
19,732
|
(255)
|
7
|
0.60
|
|||
Lehman
Brothers
|
9,155
|
310
|
31
|
0.28
|
|||
Cantor
Fitzgerald
|
8,640
|
386
|
6
|
0.25
|
|||
HSBC
Securities (USA) Inc
|
0
|
483
|
0
|
0.00
|
|||
Total
|
$
|
3,306,887
|
|
87,547
|
100.00
|
%
|
Six
Months ended
June
30, 2006
|
Three
months ended
June
30, 2006
|
|||
GAAP
net loss
|
$
|
(8,776,004)
|
$
|
(3,688,880)
|
Plus:
GAAP net loss of taxable REIT subsidiary included above
|
15,357,749
|
11,211,895
|
||
GAAP
net income from REIT operations
|
6,581,745
|
7,523,015
|
||
Add:
inter-company interest paid on loans
|
4,048,871
|
2,216,542
|
||
Add:
estimated book depreciation and amortization
|
174,690
|
87,345
|
||
Less:
estimated tax depreciation and amortization
|
(171,826)
|
(85,913)
|
||
Phantom
share book/tax differences, net
|
604,327
|
266,033
|
||
Other
book/tax differences, net
|
(44,666)
|
(21,239)
|
||
REIT
Taxable Net Income
|
$
|
11,193,141
|
$
|
9,985,783
|
Quarter
Ended
|
Average
Investment
Securities
Held
|
Total
Interest Income
|
Yield
on
Average
Interest
Earning
Assets
|
Average
Balance
of
Repurchase
Obligations
Outstanding
|
Interest
Expense
|
Average
Cost
of
Funds
|
Net
Interest
Income
|
Net
Interest
Spread
|
|||||
June
30, 2006
|
$
|
3,472,921,112
|
$
|
56,745,891
|
6.536%
|
$
|
3,360,421,038
|
$
|
42,829,452
|
5.098%
|
$
|
13,916,439
|
1.438%
|
March
31, 2006
|
3,516,291,784
|
42,219,327
|
4.803%
|
3,375,776,594
|
37,660,857
|
4.462%
|
4,558,470
|
0.340%
|
|||||
December
31, 2005
|
3,676,174,530
|
43,139,911
|
4.694
%
|
3,533,486,002
|
35,912,966
|
4.065
%
|
7,226,945
|
0.629
%
|
|||||
September
30, 2005
|
3,867,262,849
|
43,574,308
|
4.507
%
|
3,723,603,116
|
33,101,847
|
3.556
%
|
10,472,461
|
0.951
%
|
|||||
June 30,
2005
|
3,587,628,779
|
36,748,640
|
4.097
%
|
3,449,743,973
|
26,703,422
|
3.096
%
|
10,045,218
|
1.001
%
|
|||||
March 31,
2005
|
3,136,142,229
|
31,069,934
|
3.963
%
|
2,976,409,157
|
19,841,710
|
2.667
%
|
11,228,224
|
1.296
%
|
|||||
December 31,
2004
|
2,305,748,481
|
20,463,071
|
3.550
%
|
2,159,890,886
|
10,824,164
|
2.005
%
|
9,638,907
|
1.545
%
|
|||||
September 30,
2004
|
1,573,342,668
|
11,017,346
|
2.801
%
|
1,504,919,407
|
4,253,337
|
1.131
%
|
6,764,009
|
1.670
%
|
|||||
June 30,
2004
|
1,512,480,507
|
10,959,098
|
2.898
%
|
1,452,004,000
|
4,344,012
|
1.197
%
|
6,615,086
|
1.702
%
|
|||||
March 31,
2004
|
871,140,453
|
7,194,033
|
3.303
%
|
815,814,500
|
2,736,434
|
1.342
%
|
4,457,599
|
1.962
%
|
Quarter
Ended
|
Total
Interest Income
|
Yield
on Average Interest Earning Assets
|
Quarterly
Retrospective Adjustment
|
Expressed
as a Yield on Average Interest Earning Assets
|
Interest
Income from Investment Securities Held, Cash and
Other
|
Expressed
as a Yield on Average Interest Earning Assets
|
At
June 30, 2006
|
$
56,745,891
|
6.536%
|
$
14,702,330
|
1.693%
|
$
42,043,561
|
4.842%
|
At
March 31,2006
|
42,219,327
|
4.803%
|
2,524,824
|
0.287%
|
39,694,503
|
4.515%
|
At
December 31, 2005
|
43,139,911
|
4.694%
|
3,248,812
|
0.353%
|
39,891,099
|
4.341%
|
At
September 30, 2005
|
43,574,308
|
4.507%
|
4,347,892
|
0.450%
|
39,226,416
|
4.057%
|
At
June 30, 2005
|
36,748,640
|
4.097%
|
2,413,146
|
0.269%
|
34,335,494
|
3.828%
|
At
March 31, 2005
|
31,069,934
|
3.963%
|
1,012,711
|
0.129%
|
30,057,223
|
3.834%
|
At
December 31, 2004
|
20,463,071
|
3.550%
|
1,250,031
|
0.217%
|
19,213,040
|
3.333%
|
At
September 30, 2004
|
11,017,346
|
2.801%
|
-
|
0.000%
|
11,017,346
|
2.801%
|
At
June 30, 2004
|
10,959,098
|
2.898%
|
-
|
0.000%
|
10,959,098
|
2.898%
|
At
March 31, 2004
|
7,194,033
|
3.303%
|
-
|
0.000%
|
7,194,033
|
3.303%
|
For
the Six months Ending June 30, 2006
|
For
the Six months Ending June 30, 2005
|
For
the Three months Ending June 30, 2006
|
For
the Three months Ending June 30, 2005
|
||
Fair
Value adjustment of retained interests, trading
|
$
|
(24,472)
|
N/A
|
(20,246)
|
N/A
|
Gain
on Sales
|
45,487
|
N/A
|
24,658
|
N/A
|
|
Fees
on brokered loans
|
3,135
|
N/A
|
1,586
|
N/A
|
|
Gain/(loss)
on derivatives
|
2,521
|
N/A
|
(881)
|
N/A
|
|
Direct
loan origination expenses, deferred
|
689
|
N/A
|
(549)
|
N/A
|
|
Fees
earned, brokering servicing
|
1,306
|
N/A
|
535
|
N/A
|
|
Write
off purchased pipeline (Purchase Accounting Adjustment)
|
(534)
|
N/A
|
-
|
N/A
|
|
28,132
|
N/A
|
5,103
|
N/A
|
||
Direct
loan origination expenses, reclassified
|
(30,204)
|
N/A
|
(14,252)
|
N/A
|
|
|
|
|
|
||
Net
gain/(loss) on sale of mortgage loans
|
$
|
(2,072)
|
N/A
|
(9,149)
|
N/A
|
Six
Months Ended June 30,
|
Three
Months Ended June 30,
|
||||||
2006
|
2005
|
2006
|
2005
|
||||
Net
(loss) income
|
$
|
(8,776,004)
|
$
|
19,126,238
|
$
(3,688,868)
|
$
|
8,218,399
|
Realized
gain on available-for-sale securities, net
|
-
|
(1,982,382)
|
-
|
-
|
|||
Unrealized
loss on available-for-sale securities, net
|
(33,991,361)
|
(19,993,799)
|
(22,176,263)
|
(454,738)
|
|||
Comprehensive
(loss) income
|
$
|
(42,767,365)
|
$
|
(2,849,943)
|
$
(25,865,131)
|
$
|
7,763,661
|
2.1
|
Agreement
and Plan of Merger, incorporated
by reference to Exhibit 2.1 to the Company’s Form 8-K, dated September 29,
2005, filed with the SEC on September 30, 2005
|
3.1
|
Articles
of Amendment and Restatement, incorporated by reference to Exhibit
3.1 to the
Company’s Form S-11/A, filed with the SEC on April 29,
2004
|
3.2
|
Articles
Supplementary, incorporated by reference to Exhibit
3.1 to the
Company’s Form 8-K, dated November 3, 2005, filed with the SEC on November
8, 2005
|
3.3
|
Articles
of Amendment, incorporated by reference to Exhibit
3.1 to the
Company’s Form 8-K, dated February 10, 2006, filed with the SEC on
February 15, 2006
|
3.4
|
Amended
and Restated Bylaws, incorporated by reference to Exhibit
3.2 to the
Company’s Form S-11/A, filed with the SEC on April 29,
2004
|
4.1
|
Specimen
Common Stock Certificate incorporated by reference to Exhibit 4.1
to the
Company’s Form 10-Q for the period ended March 31, 2006, filed with the
SEC on May 8, 2006.
|
10.1
|
2003
Long-Term Incentive Compensation Plan, incorporated by reference
to
Exhibit
10.2 to the
Company’s Form S-11/A, effective as of March 31, 2004, filed with the SEC
on May 26, 2004
|
10.2
|
Employment
Agreement between Bimini Mortgage Management, Inc. and Jeffrey J.
Zimmer, incorporated by reference to Exhibit
10.3 to the
Company’s Form S-11/A, dated April 12, 2004, filed with the SEC on April
29, 2004
|
10.3
|
Employment
Agreement between Bimini Mortgage Management, Inc. and Robert E.
Cauley, incorporated by reference to Exhibit
10.4 to the
Company’s Form S-11/A, dated April 12, 2004, filed with the SEC on April
29, 2004
|
10.4
|
Employment
Agreement between Opteum Financial Services, LLC and Peter R.
Norden,
incorporated by reference to Exhibit
10.5 to the
Company’s Form 10-K, dated September 29, 2005, filed with the SEC on March
10, 2006
|
10.5
|
Letter
Agreement, dated November 4, 2003 from AVM, L.P. to Bimini Mortgage
Management, Inc. with respect to consulting services to be provided
by AVM, L.P. and Letter Agreement, dated February 10, 2004 from AVM,
L.P. to Bimini Mortgage Management with respect to assignment of
AVM,
L.P.'s rights, interest and responsibilities to III Associates,
incorporated by reference to Exhibit 10.5 to the Company’s Form S-11/A,
filed
with the SEC on May 26, 2004
|
10.6
|
Agency
Agreement, dated November 20, 2003 between AVM, L.P. and Bimini
Mortgage Management, Inc., incorporated by reference to Exhibit
10.6 to the
Company’s Form S-11/A, dated November 20, 2003, filed with the SEC on May
26, 2004
|
10.7
|
2004
Performance Bonus Plan, incorporated by reference to Exhibit
10.7 to the
Company’s Form S-11/A, dated August 13, 2004, filed with the SEC on August
25, 2004
|
10.8
|
Phantom
Share Award Agreement between Bimini Mortgage Management, Inc. and
Jeffrey J. Zimmer, incorporated by reference to Exhibit
10.8 to the
Company’s Form S-11/A, dated August 13, 2004, filed with the SEC on August
25, 2004
|
10.9
|
Phantom
Share Award Agreement between Bimini Mortgage Management, Inc. and
Robert E. Cauley, incorporated by reference to Exhibit
10.9 to the
Company’s Form S-11/A, dated August 13, 2004, filed with the SEC on August
25, 2004
|
10.10
|
Voting
Agreement, among certain stockholders of Bimini Mortgage Management,
Inc.,
Jeffrey J. Zimmer, Robert E. Cauley, Amber K. Luedke, George H.
Haas, IV,
Kevin L. Bespolka, Maureen A. Hendricks, W. Christopher Mortenson,
Buford
H. Ortale, Peter Norden, certain of Mr. Norden’s affiliates, Jason Kaplan,
certain of Mr. Kaplan’s affiliates and other former owners of Opteum
Financial Services, LLC, incorporated by reference to Exhibit 99(D)
to the
Company’s Schedule 13D, dated November 3, 2005, filed with the SEC on
November 14, 2005
|
*31.1
|
Certification
of the Principal Executive Officer, pursuant to Rule 13a-14(a)
or
15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant
to
Section 302 of the Sarbanes-Oxley Act of 2002
|
*31.2
|
Certification
of the Principal Financial Officer, pursuant to Rule 13a-14(a)
or
15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant
to
Section 302 of the Sarbanes-Oxley Act of 2002
|
*32.1
|
Certification
of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350,
as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
2002
|
*32.2
|
Certification
of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350,
as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
2002
|
*
Filed herewith.
|
OPTEUM INC.
|
||
Date:
August 7, 2006
|
By:
|
/s/
Robert E. Cauley
Robert
E. Cauley
Chief
Financial Officer, Chief Investment Officer and
Secretary
|
2.1
|
Agreement
and Plan of Merger, incorporated
by reference to Exhibit 2.1 to the Company’s Form 8-K, dated September 29,
2005, filed with the SEC on September 30, 2005
|
3.1
|
Articles
of Amendment and Restatement, incorporated by reference to Exhibit
3.1 to the
Company’s Form S-11/A, filed with the SEC on April 29,
2004
|
3.2
|
Articles
Supplementary, incorporated by reference to Exhibit
3.1 to the
Company’s Form 8-K, dated November 3, 2005, filed with the SEC on November
8, 2005
|
3.3
|
Articles
of Amendment, incorporated by reference to Exhibit
3.1 to the
Company’s Form 8-K, dated February 10, 2006, filed with the SEC on
February 15, 2006
|
3.4
|
Amended
and Restated Bylaws, incorporated by reference to Exhibit
3.2 to the
Company’s Form S-11/A, filed with the SEC on April 29,
2004
|
4.1
|
Specimen
Common Stock Certificate incorporated by reference to Exhibit 4.1
to the
Company’s Form 10-Q for the period ended March 31, 2006, filed with the
SEC on May 8, 2006.
|
10.1
|
2003
Long-Term Incentive Compensation Plan, incorporated by reference
to
Exhibit
10.2 to the
Company’s Form S-11/A, effective as of March 31, 2004, filed with the SEC
on May 26, 2004
|
10.2
|
Employment
Agreement between Bimini Mortgage Management, Inc. and Jeffrey J.
Zimmer, incorporated by reference to Exhibit
10.3 to the
Company’s Form S-11/A, dated April 12, 2004, filed with the SEC on April
29, 2004
|
10.3
|
Employment
Agreement between Bimini Mortgage Management, Inc. and Robert E.
Cauley, incorporated by reference to Exhibit
10.4 to the
Company’s Form S-11/A, dated April 12, 2004, filed with the SEC on April
29, 2004
|
10.4
|
Employment
Agreement between Opteum Financial Services, LLC and Peter R.
Norden,
incorporated by reference to Exhibit
10.5 to the
Company’s Form 10-K, dated September 29, 2005, filed with the SEC on March
10, 2006
|
10.5
|
Letter
Agreement, dated November 4, 2003 from AVM, L.P. to Bimini Mortgage
Management, Inc. with respect to consulting services to be provided
by AVM, L.P. and Letter Agreement, dated February 10, 2004 from AVM,
L.P. to Bimini Mortgage Management with respect to assignment of
AVM,
L.P.'s rights, interest and responsibilities to III Associates,
incorporated by reference to Exhibit 10.5 to the Company’s Form S-11/A,
filed
with the SEC on May 26, 2004
|
10.6
|
Agency
Agreement, dated November 20, 2003 between AVM, L.P. and Bimini
Mortgage Management, Inc., incorporated by reference to Exhibit
10.6 to the
Company’s Form S-11/A, dated November 20, 2003, filed with the SEC on May
26, 2004
|
10.7
|
2004
Performance Bonus Plan, incorporated by reference to Exhibit
10.7 to the
Company’s Form S-11/A, dated August 13, 2004, filed with the SEC on August
25, 2004
|
10.8
|
Phantom
Share Award Agreement between Bimini Mortgage Management, Inc. and
Jeffrey J. Zimmer, incorporated by reference to Exhibit
10.8 to the
Company’s Form S-11/A, dated August 13, 2004, filed with the SEC on August
25, 2004
|
10.9
|
Phantom
Share Award Agreement between Bimini Mortgage Management, Inc. and
Robert E. Cauley, incorporated by reference to Exhibit
10.9 to the
Company’s Form S-11/A, dated August 13, 2004, filed with the SEC on August
25, 2004
|
10.10
|
Voting
Agreement, among certain stockholders of Bimini Mortgage Management,
Inc.,
Jeffrey J. Zimmer, Robert E. Cauley, Amber K. Luedke, George H.
Haas, IV,
Kevin L. Bespolka, Maureen A. Hendricks, W. Christopher Mortenson,
Buford
H. Ortale, Peter Norden, certain of Mr. Norden’s affiliates, Jason Kaplan,
certain of Mr. Kaplan’s affiliates and other former owners of Opteum
Financial Services, LLC, incorporated by reference to Exhibit 99(D)
to the
Company’s Schedule 13D, dated November 3, 2005, filed with the SEC on
November 14, 2005
|
*31.1
|
Certification
of the Principal Executive Officer, pursuant to Rule 13a-14(a)
or
15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant
to
Section 302 of the Sarbanes-Oxley Act of 2002
|
*31.2
|
Certification
of the Principal Financial Officer, pursuant to Rule 13a-14(a)
or
15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant
to
Section 302 of the Sarbanes-Oxley Act of 2002
|
*32.1
|
Certification
of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350,
as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
2002
|
*32.2
|
Certification
of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350,
as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of
2002
|
*
Filed herewith.
|