Maryland
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001-35236
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27-3269228
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(State or Other Jurisdiction of Incorporation)
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(Commission File Number)
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(IRS Employer Identification No.)
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¨
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Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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¨
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Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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¨
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Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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¨
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Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
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99.1
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Press Release dated December 11, 2013
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Date: December 11, 2013
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ORCHID ISLAND CAPITAL, INC.
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||
By:
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/s/ Robert E. Cauley | ||
Robert E. Cauley
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|||
Chairman and Chief Executive Officer
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·
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December 2013 Monthly Dividend of $0.18 Per Share
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·
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MBS Portfolio Characteristics as of November 29, 2013
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·
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MBS Assets by Agency
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·
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Investment Company Act of 1940 Whole Pool Test Results
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·
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Repurchase agreement exposure by counterparty
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·
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MBS Risk Measures
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MBS Valuation Characteristics
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||||||||||||||||||||||||
(in thousands of $s)
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||||||||||||||||||||||||
Percentage
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Weighted
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Realized
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||||||||||||||||||||||
Current
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Fair
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Current
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of
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Average
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Nov 2013 CPR
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|||||||||||||||||||
Asset Category
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Face
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Value
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Price
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Portfolio
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Coupon
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(Reported in Dec)
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||||||||||||||||||
As of November 29, 2013
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||||||||||||||||||||||||
Adjustable Rate MBS
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$ | 4,949 | $ | 5,346 | 108.02 | 1.55 | % | 3.92 | % | 0.18 | % | |||||||||||||
10-1 Hybrid Rate MBS
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77,470 | 77,505 | 100.04 | 22.46 | % | 2.56 | % | 5.64 | % | |||||||||||||||
Hybrid Adjustable Rate MBS
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77,470 | 77,505 | 100.04 | 22.46 | % | 2.56 | % | 5.64 | % | |||||||||||||||
15 Year Fixed Rate MBS
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21,937 | 22,662 | 103.30 | 6.57 | % | 3.00 | % | 1.07 | % | |||||||||||||||
20 Year Fixed Rate MBS
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30,841 | 31,852 | 103.28 | 9.23 | % | 3.50 | % | 0.32 | % | |||||||||||||||
30 Year Fixed Rate MBS
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174,101 | 183,583 | 105.45 | 53.22 | % | 4.24 | % | 2.78 | % | |||||||||||||||
Total Fixed Rate MBS
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226,879 | 238,097 | 104.94 | 69.02 | % | 4.03 | % | 2.29 | % | |||||||||||||||
Total Pass-through MBS
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309,298 | 320,948 | 103.77 | 93.03 | % | 3.67 | % | 3.08 | % | |||||||||||||||
Interest-Only Securities
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131,481 | 18,672 | 14.20 | 5.41 | % | 4.38 | % | 18.84 | % | |||||||||||||||
Inverse Interest-Only Securities
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38,669 | 5,385 | 13.93 | 1.56 | % | 5.91 | % | 15.62 | % | |||||||||||||||
Structured MBS
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170,150 | 24,057 | 14.14 | 6.97 | % | 4.72 | % | 18.11 | % | |||||||||||||||
Total Mortgage Assets
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$ | 479,448 | $ | 345,005 | - | 100.00 | % | 3.74 | % | 8.35 | % |
MBS Assets by Agency
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Investment Company Act of 1940 (Whole Pool) Test
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||||||||||||||||
(in thousands of $s)
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(in thousands of $s)
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||||||||||||||||
Percentage
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Percentage
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||||||||||||||||
Fair
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of
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Fair
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of
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||||||||||||||
Asset Category
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Value
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Portfolio
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Asset Category
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Value
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Portfolio
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||||||||||||
As of November 29, 2013
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As of November 29, 2013
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||||||||||||||||
Fannie Mae
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$ | 202,984 | 58.8 | % |
Whole Pool Assets
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$ | 274,447 | 79.5 | % | ||||||||
Freddie Mac
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123,471 | 35.8 | % |
Non Whole Pool Assets
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70,558 | 20.5 | % | ||||||||||
Ginnie Mae
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18,550 | 5.4 | % |
Total Mortgage Assets
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$ | 345,005 | 100.0 | % | |||||||||
Total Mortgage Assets
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$ | 345,005 | 100.0 | % |
Repurchase Agreement Exposure By Counterparty
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|||||||||||||
(in thousands of $s)
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|||||||||||||
Weighted
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|||||||||||||
% of
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Average
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||||||||||||
Total
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Total
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Maturity
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Longest
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||||||||||
As of November 29, 2013
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Borrowings
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Debt
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in Days
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Maturity
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|||||||||
Citigroup Global Markets Inc
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$ | 119,358 | 38.0 | % | 33 |
1/14/2014
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|||||||
South Street Securities, LLC
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49,981 | 15.9 | % | 15 |
12/23/2013
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||||||||
Cantor Fitzgerald & Co
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39,511 | 12.6 | % | 23 |
12/24/2013
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||||||||
Suntrust Robinson Humphrey, Inc
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31,559 | 10.0 | % | 3 |
12/2/2013
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||||||||
Mizuho Securities USA, Inc
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26,698 | 8.5 | % | 33 |
1/10/2014
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||||||||
Morgan Stanley & Co
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20,088 | 6.4 | % | 13 |
12/13/2013
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||||||||
CRT Capital Group, LLC
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15,246 | 4.8 | % | 29 |
1/24/2014
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||||||||
KGS-Alpha Capital Markets, L.P
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11,929 | 3.8 | % | 36 |
1/24/2014
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||||||||
Total Borrowings
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$ | 314,370 | 100.0 | % | 25 |
1/24/2014
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MBS Risk Measures
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(in thousands of $s)
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||||||||||||||||||||||||
Mortgage Assets
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||||||||||||||||||||||||
Weighted
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||||||||||||||||||||||||
Average
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Weighted
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Weighted
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Modeled
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Modeled
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||||||||||||||||||||
Months
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Average
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Average
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Interest
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Interest
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||||||||||||||||||||
To Next
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Lifetime
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Periodic
|
Rate
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Rate
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||||||||||||||||||||
Fair
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Coupon Reset
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Cap
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Cap Per Year
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Sensitivity
|
Sensitivity
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|||||||||||||||||||
Asset Category
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Value
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(if applicable)
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(if applicable)
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(if applicable)
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(-50 BPS)*
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(+50 BPS)*
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||||||||||||||||||
As of November 29, 2013
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||||||||||||||||||||||||
Adjustable Rate MBS
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$ | 5,346 | 4 | 10.13 | % | 2.00 | % | $ | 11 | $ | (25 | ) | ||||||||||||
Hybrid Adjustable Rate MBS
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77,505 | 111 | 7.56 | % | 2.00 | % | 2,076 | (2,490 | ) | |||||||||||||||
Total Fixed Rate MBS
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238,097 | n/a | n/a | n/a | 5,476 | (7,138 | ) | |||||||||||||||||
Total Pass-through MBS
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320,948 | n/a | n/a | n/a | 7,563 | (9,653 | ) | |||||||||||||||||
Interest-Only Securities
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18,672 | n/a | n/a | n/a | (3,086 | ) | 2,628 | |||||||||||||||||
Inverse Interest-Only Securities
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5,385 | 1 | 6.08 | % | n/a | 169 | (239 | ) | ||||||||||||||||
Structured MBS
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24,057 | n/a | n/a | n/a | (2,917 | ) | 2,389 | |||||||||||||||||
Total Mortgage Assets
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$ | 345,005 | n/a | n/a | n/a | $ | 4,646 | $ | (7,264 | ) | ||||||||||||||
Funding Hedges
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||||||||||||||||||||||||
Modeled
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Modeled
|
|||||||||||||||||||||||
Interest
|
Interest
|
|||||||||||||||||||||||
Average
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Hedge
|
Rate
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Rate
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|||||||||||||||||||||
Notional
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Period
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Sensitivity
|
Sensitivity
|
|||||||||||||||||||||
Balance
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End Date
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(-50 BPS)*
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(+50 BPS)*
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|||||||||||||||||||||
Eurodollar Futures Contracts - Short Positions
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$ | 257,353 |
Dec-2018
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$ | (4,530 | ) | $ | 5,469 | ||||||||||||||||
Grand Total
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$ | 116 | $ | (1,795 | ) |
*
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Modeled results from Citigroup Global Markets, Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR OAS. These results are for illustrative purposes only and actual results may differ materially.
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