SECURITIES
AND EXCHANGE COMMISSION
WASHINGTON,
DC 20549
Form
8-K
CURRENT
REPORT
Pursuant
to Section 13 or 15(d) of the
Securities
Exchange Act of 1934
Date
of
Report (Date of earliest event reported): September
15, 2006
Opteum
Inc.
(Exact
Name of Registrant as Specified in Charter)
|
Maryland
|
001-32171
|
72-1571637
|
|
(State
or Other Jurisdiction of Incorporation)
|
(Commission
File Number)
|
(IRS
Employer Identification No.)
|
3305
Flamingo Drive, Vero Beach, Florida 32963
(Address
of Principal Executive Offices) (Zip Code)
Registrant’s
telephone number, including area code
(772) 231-1400
N/A
(Former
Name or Former Address, if Changed Since Last Report)
Check
the
appropriate box below if the Form 8-K filing is intended to simultaneously
satisfy the filing obligation of the registrant under any of the following
provisions:
|
¨
|
Written
communications pursuant to Rule 425 under the Securities Act (17
CFR
230.425)
|
|
¨
|
Soliciting
material pursuant to Rule 14a-12 under the Exchange Act (17 CFR
240.14a-12)
|
|
¨
|
Pre-commencement
communications pursuant to Rule 14d-2(b) under the Exchange Act (17
CFR
240.14d-2(b))
|
|
¨
|
Pre-commencement
communications pursuant to Rule 13e-4(c) under the Exchange Act (17
CFR
240.13e-4(c))
|
|
REGULATION
FD DISCLOSURE
|
On
September 15, 2006, Opteum Inc. (the “Company”) released
the information set forth in the attached Exhibit 99.1 concerning the investment
portfolio holdings of the Company as of September
14, 2006.
The
information furnished under this “Item 7.01 Regulation FD Disclosure,” including
the exhibit related hereto, shall not be deemed “filed” for purposes of Section
18 of the Securities Exchange Act of 1934, as amended.
|
ITEM
9.01.
|
EXHIBITS
|
|
(c)
|
Exhibit
|
The
following exhibit is filed pursuant to Item 601 of Regulation S-K:
99.1
-
Updated Portfolio Information of Opteum Inc.
Pursuant
to the requirements of the Securities Exchange Act of 1934, the Registrant
has
duly caused this report to be signed on its behalf by the undersigned hereunto
duly authorized.
|
Date:
September 15, 2006
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OPTEUM
INC.
|
||
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By:
|
/s/
Jeffrey J. Zimmer
|
||
|
Jeffrey
J. Zimmer
|
|||
|
Chairman,
Chief Executive Officer and
President
|
|||
|
Exhibit
No.
|
|
|
|
|
|
|
|
99.1
|
-
|
Updated
Portfolio Information of Opteum
Inc.
|
Exhibit
99.1
UNAUDITED
as of 9/14/2006
Opteum
Inc. - Asset Information
This
Table Reflects All Transactions. Prices Used Are 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)
|
$
|
2,139,073,685
|
69.48%
|
65.51%
|
||
|
Hybrid
Adjustable Rate Mortgage Backed Securities
|
282,113,952
|
9.16%
|
8.64%
|
|||
|
Fixed
Rate Mortgage Backed Securities
|
493,824,799
|
16.04%
|
15.12%
|
|||
|
Fixed
Rate Agency Debt
|
69,408,583
|
2.25%
|
2.13%
|
|||
|
Fixed
Rate CMO
|
53,031,709
|
1.72%
|
1.62%
|
|||
|
Balloon
Maturity Mortgage Backed Securities
|
41,622,028
|
1.35%
|
1.27%
|
|||
|
Total:
Mortgage Assets (2)
|
$
|
3,079,074,756
|
100.00%
|
|
||
|
|
|
|||||
|
Total
Cash and Net Short-Term Receivables
|
$
|
120,633,378
|
3.69%
|
|||
|
Cash
out on Margin (Encumbered Cash)
|
830,000
|
0.03%
|
||||
|
Long-Term
Note Receivable From Opteum Financial Services
|
65,000,000
|
1.99%
|
||||
|
Total:
All Assets*
|
$
|
3,265,538,134
|
|
|
|
100.00%
|
Note:
The Value of Securities in the Box is $16,688,175
|
(1)
|
Adjustable
Rate MBS are those that reset coupons within one year’s
time.
|
|
(2)
|
This
includes forward settling purchases. There are no forward settling
sales
as of 9/14/2006
|
|
*
|
The
information contained herein EXCLUDES all Opteum Financial Services
LLC’s
assets.
|
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)
|
|
|
Adjustable
Rate Mortgage Backed Securities (3)
|
4.93%
|
10.28%
|
1.85%
|
4.82
|
1-Apr-44
|
327
|
||||||
|
Hybrid
Adjustable Rate Mortgage Backed Securities
|
4.87%
|
10.03%
|
1.32%
|
17.02
|
1-Nov-35
|
331
|
||||||
|
Fixed
Rate Mortgage Backed Securities
|
6.90%
|
n/a
|
n/a
|
n/a
|
1-Apr-36
|
272
|
||||||
|
Fixed
Rate Agency Debt
|
4.00%
|
n/a
|
n/a
|
n/a
|
25-Feb-10
|
41
|
||||||
|
Fixed
Rate CMO
|
5.64%
|
n/a
|
n/a
|
n/a
|
25-Jul-34
|
327
|
||||||
|
Balloon
Maturity Mortgage Backed Securities
|
4.03%
|
n/a
|
n/a
|
n/a
|
1-Feb-11
|
40
|
||||||
|
Total:
Mortgage Assets
|
|
5.22%
|
|
10.25%
|
|
1.80%
|
|
6.24
|
|
1-Apr-44
|
|
308
|
(3)
23.8% ($509.0 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
|
$
|
2,064,972,190
|
67.06%
|
Whole
Pool
|
$
|
1,967,796,423
|
63.91%
|
|||||
|
Freddie
Mac
|
546,691,857
|
17.76%
|
Non
Whole Pool
|
1,111,278,333
|
36.09%
|
|||||||
|
Ginnie
Mae
|
467,410,709
|
15.18%
|
|
|
|
|||||||
|
Total
Portfolio
|
$
|
3,079,074,756
|
|
100.00%
|
|
|
|
Total
Portfolio
|
$
|
3,079,074,756
|
|
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
|
32.24%
|
34.66%
|
||
|
Hybrid
Adjustable Rate Mortgage Backed Securities
|
27.86%
|
27.74%
|
||
|
Fixed
Rate Mortgage Backed Securities
|
17.13%
|
19.62%
|
||
|
Fixed
Rate Agency Debt
|
14.81%
|
12.78%
|
||
|
Fixed
Rate CMO
|
22.42%
|
22.95%
|
||
|
Balloon
Maturity Mortgage Backed Securities
|
19.95%
|
16.46%
|
||
|
Total:
Mortgage Assets
|
28.77%
|
|
30.84%
|
On
September 8, 2006, Prepayment Speeds were released for paydowns occurring in
August 2006 (June - August for three month speeds). The numbers above reflect
that data.
Portfolio
Price and Duration
|
Weighted
Average Purchase Price
|
$
|
102.34
|
|
Weighted
Average Current Price
|
$
|
100.72
|
|
Modeled
Effective Duration
|
1.197
|
|
Internally
Generated Market Value
|
%
of Asset Class
|
%
of Total Mortgage Assets
|
||||
|
Adjustable
Rate Mortgages
|
||||||
|
One
Month LIBOR
|
$
|
23,214,324
|
1.08%
|
0.76%
|
||
|
Moving
Treasury
Average
|
44,970,173
|
2.10%
|
1.46%
|
|||
|
Cost
Of
Funds
Index
|
353,959,018
|
16.55%
|
11.50%
|
|||
|
Six
Month LIBOR
|
147,446,062
|
6.89%
|
4.79%
|
|||
|
Six
Month CD Rate
|
2,484,382
|
0.12%
|
0.08%
|
|||
|
One
Year LIBOR
|
643,140,495
|
30.07%
|
20.89%
|
|||
|
Conventional
One Year CMT
|
619,608,491
|
28.97%
|
20.12%
|
|||
|
FHA
and VA One Year CMT
|
298,867,547
|
13.97%
|
9.71%
|
|||
|
Other
|
5,383,193
|
0.25%
|
0.17%
|
|||
|
Total
ARMs
|
$
|
2,139,073,685
|
100.00%
|
69.48%
|
||
|
Hybrid
ARMs
|
||||||
|
Generic
Fannie or Freddie Hybrid ARMs
|
||||||
|
13
- 18 Months to First Reset
|
$
|
86,204,854
|
30.56%
|
2.80%
|
||
|
19
- 24 Months to First Reset
|
33,495,230
|
11.87%
|
1.09%
|
|||
|
25
- 36 Months to First Reset
|
11,702,296
|
4.15%
|
0.38%
|
|||
|
37
- 48 Months to First Reset
|
0
|
0.00%
|
0.00%
|
|||
|
Total
|
$
|
131,402,380
|
46.58%
|
4.27%
|
||
|
Agency
Alt-A Hybrid ARMs
|
||||||
|
13
- 18 Months to First Reset
|
$
|
2,061,398
|
0.73%
|
0.07%
|
||
|
19
- 24 Months to First Reset
|
4,558,238
|
1.62%
|
0.15%
|
|||
|
25
- 36 Months to First Reset
|
10,700,269
|
3.79%
|
0.34%
|
|||
|
37
- 47 Months to First Reset
|
0
|
0.00%
|
0.00%
|
|||
|
Total
|
$
|
17,319,905
|
6.14%
|
0.56%
|
||
|
GNMA
Hybrid ARMs
|
||||||
|
13
- 24 Months to First Reset
|
$
|
126,361,150
|
44.79%
|
4.10%
|
||
|
25
- 36 Months to First Reset
|
7,030,517
|
2.49%
|
0.23%
|
|||
|
Total
|
$
|
133,391,667
|
47.28%
|
4.33%
|
||
|
|
|
|
|
|||
|
Total
Hybrid ARMs
|
$
|
282,113,952
|
100.00%
|
9.16%
|
||
|
Balloons
|
||||||
|
<
= 4.0 Years to Balloon Date
|
$
|
17,197,959
|
41.31%
|
0.55%
|
||
|
4.01
- 5.0 Years to Balloon Date
|
15,252,649
|
36.65%
|
0.50%
|
|||
|
5.01
- 5.5 Years to Balloon Date
|
9,171,420
|
22.04%
|
0.30%
|
|||
|
Total
Balloons
|
$
|
41,622,028
|
100.00%
|
1.35%
|
|
Internally
Generated Market Value
|
%
of Asset Class
|
%
of Total Mortgage Assets
|
||||
|
Fixed
Rate Agency Debt
|
||||||
|
4.5yr
Stated Final Maturity
|
$
|
69,408,583
|
100.00%
|
2.25%
|
||
|
Total
Fixed Rate Agency Debt
|
$
|
69,408,583
|
100.00%
|
2.25%
|
||
|
Fixed
Rate CMOs
|
||||||
|
Fixed
Rate CMOs
|
$
|
53,031,709
|
100.00%
|
1.72%
|
||
|
Total
Fixed Rate CMOs
|
$
|
53,031,709
|
100.00%
|
1.72%
|
||
|
Fixed
Rate Assets
|
||||||
|
10yr
Other (Seasoned, Low Avg Bal, Low FICO, etc.)
|
$
|
1,668,845
|
0.34%
|
0.05%
|
||
|
15yr
$85,000 Maximum Loan Size
|
62,056,083
|
12.57%
|
2.02%
|
|||
|
15yr
$110,000 Maximum Loan Size
|
4,155,547
|
0.84%
|
0.13%
|
|||
|
15yr
100% Investor Property
|
586,758
|
0.12%
|
0.02%
|
|||
|
15yr
100% FNMA Expanded Approval Level 3
|
651,389
|
0.13%
|
0.02%
|
|||
|
15yr
100% Alt-A
|
33,150,718
|
6.71%
|
1.08%
|
|||
|
15yr
Geography Specific (NY, FL, VT, TX)
|
1,575,420
|
0.32%
|
0.05%
|
|||
|
15yr
Other (Seasoned, Low Avg Bal, Low FICO, etc.)
|
21,427,729
|
4.34%
|
0.70%
|
|||
|
20yr
Other (Seasoned, Low Avg Bal, Low FICO, etc.)
|
966,435
|
0.20%
|
0.03%
|
|||
|
20yr
100% Alt-A
|
658,015
|
0.13%
|
0.02%
|
|||
|
30yr
$85,000 Maximum Loan Size
|
172,503,643
|
34.93%
|
5.60%
|
|||
|
30yr
$110,000 Maximum Loan Size
|
33,443,555
|
6.77%
|
1.09%
|
|||
|
30yr
100% Investor Property
|
5,482,782
|
1.11%
|
0.18%
|
|||
|
30yr
100% FNMA Expanded Approval Level 3
|
37,077,192
|
7.51%
|
1.20%
|
|||
|
30yr
100% Alt-A
|
28,613,148
|
5.79%
|
0.93%
|
|||
|
30yr
Geography Specific (NY, FL, VT, TX)
|
3,783,319
|
0.77%
|
0.12%
|
|||
|
30yr
100% GNMA Builder Buydown Program
|
3,880,837
|
0.79%
|
0.13%
|
|||
|
30yr
Other (Seasoned, Low Avg Bal, Low FICO, etc.)
|
82,143,384
|
16.63%
|
2.67%
|
|||
|
Total
Fixed Rate Collateral
|
$
|
493,824,799
|
100.00%
|
16.04%
|
||
|
|
|
|||||
|
Total
(All Mortgage Assets)
|
$
|
3,079,074,756
|
100.00%
|
|||
|
Total
Cash and Short-Term Receivables
|
121,463,378
|
|||||
|
Long-term
Receivables From OFS
|
65,000,000
|
|||||
|
Total
Assets and Cash
|
$
|
3,265,538,134
|
||||
|
|
||||||
|
Total
Forward Settling Purchases
|
$
|
0
|
|
Repurchase
Counterparties
|
Dollar
Amount of Borrowings
|
Weighted
Average Maturity in Days
|
Longest
Maturity
|
||||
|
|
|||||||
|
Deutsche
Bank (1)
|
$
|
1,019,052,000
|
140
|
31-May-07
|
|||
|
JP
Morgan Securities
|
606,402,489
|
62
|
24-Nov-06
|
||||
|
WAMU
|
479,244,000
|
29
|
27-Nov-06
|
||||
|
Countrywide
Securities
|
283,030,000
|
113
|
20-Feb-07
|
||||
|
Goldman
Sachs
|
200,070,378
|
26
|
25-Oct-06
|
||||
|
Nomura
|
132,328,000
|
4
|
18-Sep-06
|
||||
|
BNP
Paribas
|
120,891,250
|
18
|
10-Oct-06
|
||||
|
HSBC
|
69,155,768
|
24
|
10-Oct-06
|
||||
|
Merrill
Lynch
|
59,495,000
|
67
|
20-Nov-06
|
||||
|
Bank
of America
|
36,178,000
|
19
|
3-Oct-06
|
||||
|
UBS
Securities
|
30,788,000
|
35
|
19-Oct-06
|
||||
|
RBS
Greenwich Capital
|
16,922,000
|
76
|
29-Nov-06
|
||||
|
Cantor
Fitzgerald
|
4,871,000
|
14
|
28-Sep-06
|
||||
|
Total
|
$
|
3,058,427,885
|
79
|
31-May-07
|
|||
|
(1)
Includes $507 Million floating rate repurchase
obligations.
|
|||||||