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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Exhibit No.
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Description
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99.1
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Press Release dated August 11, 2015
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Date: August 11, 2015
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ORCHID ISLAND CAPITAL, INC.
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By:
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/s/ Robert E. Cauley
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Robert E. Cauley
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Chairman and Chief Executive Officer
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Exhibit No.
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Description
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99.1
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Press Release dated August 11, 2015
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·
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August 2015 Monthly Dividend of $0.14 Per Share
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·
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RMBS Portfolio Characteristics as of July 31, 2015
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·
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Repurchased 291,116 shares through stock repurchase program
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·
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RMBS Valuation Characteristics
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 (Whole Pool) Test Results
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·
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Repurchase Agreement Exposure by Counterparty
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·
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RMBS Risk Measures
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RMBS Valuation Characteristics
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($ in thousands)
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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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Jul 2015 CPR
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|||||||||||||||||||
Asset Category
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Face
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Value(1)(2)
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Price
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Portfolio
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Coupon
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(Reported in Aug)
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||||||||||||||||||
As of July 31, 2015
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$ | 3,215 | $ | 3,445 | 107.15 | 0.18 | % | 3.65 | % | 43.72 | % | |||||||||||||
10-1 Hybrid Rate RMBS
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55,081 | 56,370 | 102.34 | 3.02 | % | 2.56 | % | 16.25 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
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55,081 | 56,370 | 102.34 | 3.02 | % | 2.56 | % | 16.25 | % | |||||||||||||||
15 Year Fixed Rate RMBS
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211,963 | 221,941 | 104.71 | 11.88 | % | 3.14 | % | 7.48 | % | |||||||||||||||
20 Year Fixed Rate RMBS
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228,152 | 245,728 | 107.70 | 13.16 | % | 4.00 | % | 3.64 | % | |||||||||||||||
30 Year Fixed Rate RMBS
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1,137,720 | 1,228,069 | 107.94 | 65.76 | % | 4.17 | % | 7.77 | % | |||||||||||||||
Total Fixed Rate RMBS
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1,577,835 | 1,695,738 | 107.47 | 90.80 | % | 4.01 | % | 7.10 | % | |||||||||||||||
Total Pass-through RMBS
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1,636,131 | 1,755,553 | 107.30 | 94.00 | % | 3.96 | % | 7.53 | % | |||||||||||||||
Interest-Only Securities
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563,085 | 70,247 | 12.48 | 3.76 | % | 3.62 | % | 17.06 | % | |||||||||||||||
Inverse Interest-Only Securities
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200,720 | 41,818 | 20.83 | 2.24 | % | 6.19 | % | 18.10 | % | |||||||||||||||
Structured RMBS
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763,805 | 112,065 | 14.67 | 6.00 | % | 4.58 | % | 17.33 | % | |||||||||||||||
Total Mortgage Assets
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$ | 2,399,936 | $ | 1,867,618 | 100.00 | % | 4.00 | % | 10.88 | % |
RMBS Assets by Agency
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Investment Company Act of 1940 (Whole Pool) Test
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($ in thousands)
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($ in thousands)
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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(1)(2)
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Portfolio
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Asset Category
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Value(1)(2)
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Portfolio
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||||||||||||
As of July 31, 2015
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As of July 31, 2015
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Fannie Mae
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$ | 1,463,963 | 78.4 | % |
Whole Pool Assets
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$ | 1,571,896 | 84.2 | % | ||||||||
Freddie Mac
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384,676 | 20.6 | % |
Non Whole Pool Assets
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295,722 | 15.8 | % | ||||||||||
Ginnie Mae
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18,979 | 1.0 | % |
Total Mortgage Assets
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$ | 1,867,618 | 100.0 | % | |||||||||
Total Mortgage Assets
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$ | 1,867,618 | 100.0 | % |
(1)
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Amounts in the tables above include assets with a fair value of approximately $194.3 million purchased in July 2015 which settle in August 2015, and excludes assets with a fair value of $179.3 million sold in July 2015 which settle in August 2015.
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(2)
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The tables above include to-be-announced securities sold with a fair value of approximately $20.6 million entered into prior to month-end which settle in August 2015.
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Repurchase Agreement Exposure By Counterparty
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($ in thousands)
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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 July 31, 2015
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Borrowings(1)
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Debt
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in Days
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Maturity
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J.P. Morgan Securities LLC
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$ | 156,332 | 9.1 | % | 11 |
8/31/2015
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ICBC Financial Services LLC
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148,325 | 8.6 | % | 13 |
8/21/2015
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Citigroup Global Markets Inc
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146,476 | 8.5 | % | 16 |
9/18/2015
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Cantor Fitzgerald & Co
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144,574 | 8.4 | % | 14 |
8/17/2015
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ED&F Man Capital Markets Inc
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139,184 | 8.1 | % | 21 |
10/6/2015
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Mizuho Securities USA, Inc
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116,538 | 6.8 | % | 15 |
9/2/2015
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Mitsubishi UFJ Securities (USA), Inc
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113,119 | 6.6 | % | 18 |
8/31/2015
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KGS-Alpha Capital Markets, L.P
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103,826 | 6.0 | % | 19 |
9/1/2015
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RBC Capital Markets, LLC
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102,724 | 6.0 | % | 18 |
9/22/2015
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Nomura Securities International, Inc.
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98,366 | 5.7 | % | 20 |
8/31/2015
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South Street Securities, LLC
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90,471 | 5.3 | % | 13 |
8/20/2015
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Daiwa Securities America Inc.
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82,918 | 4.8 | % | 11 |
9/9/2015
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Wells Fargo Bank, N.A.
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65,587 | 3.8 | % | 14 |
8/14/2015
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Goldman, Sachs & Co
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55,918 | 3.2 | % | 48 |
9/17/2015
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Morgan Stanley & Co
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53,593 | 3.1 | % | 6 |
8/6/2015
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CRT Capital Group, LLC
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46,221 | 2.7 | % | 19 |
8/28/2015
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Guggenheim Securities, LLC
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27,660 | 1.6 | % | 29 |
9/2/2015
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Merrill Lynch, Pierce, Fenner & Smith Inc
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14,371 | 0.8 | % | 13 |
8/13/2015
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Barclays Capital Inc
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10,089 | 0.6 | % | 14 |
8/14/2015
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Suntrust Robinson Humphrey, Inc
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4,463 | 0.3 | % | 28 |
8/28/2015
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Total Borrowings
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$ | 1,720,755 | 100.0 | % | 17 |
10/6/2015
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(1)
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In July 2015, the Company purchased assets with a fair value of approximately $194.3 million which settle in August 2015 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
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RMBS Risk Measures
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($ in thousands)
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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
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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
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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)(1)
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(+50 BPS)(1)
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As of July 31, 2015
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Adjustable Rate RMBS
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$ | 3,445 | 1 | 10.07 | % | 2.00 | % | $ | 24 | $ | (26 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
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56,370 | 90 | 7.56 | % | 2.00 | % | 940 | (1,130 | ) | |||||||||||||||
Total Fixed Rate RMBS
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1,695,738 | n/a | n/a | n/a | 30,955 | (40,198 | ) | |||||||||||||||||
Total Pass-through RMBS
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1,755,553 | n/a | n/a | n/a | 31,919 | (41,354 | ) | |||||||||||||||||
Interest-Only Securities
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70,247 | n/a | n/a | n/a | (12,026 | ) | 10,270 | |||||||||||||||||
Inverse Interest-Only Securities
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41,818 | 1 | 6.38 | % | n/a | (110 | ) | (1,168 | ) | |||||||||||||||
Structured RMBS
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112,065 | n/a | n/a | n/a | (12,136 | ) | 9,102 | |||||||||||||||||
Total Mortgage Assets
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$ | 1,867,618 | n/a | n/a | n/a | $ | 19,783 | $ | (32,252 | ) | ||||||||||||||
Funding Hedges
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Modeled
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Modeled
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Interest
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Interest
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Average
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Hedge
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Rate
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Rate
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Notional
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Period
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Sensitivity
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Sensitivity
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Balance(2)
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End Date
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(-50 BPS)(1)
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(+50 BPS)(1)
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Eurodollar Futures Contracts - Short Positions
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$ | 900,000 |
Mar-2019
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$ | (14,983 | ) | $ | 16,875 | ||||||||||||||||
Treasury Futures Contracts - Short Positions
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240,000 |
Sep-2015
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(8,495 | ) | 10,921 | |||||||||||||||||||
Payer Swaption
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100,000 |
Sep-2025
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(4 | ) | 50 | |||||||||||||||||||
Grand Total
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$ | (3,699 | ) | $ | (4,406 | ) |
(1)
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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 Option-Adjusted Spreads. These results are for illustrative purposes only and actual results may differ materially.
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(2)
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Treasury Futures Contracts were valued at 127.4375 at July 31, 2015. The nominal value of the short position was $305.9 million.
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