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 November 10, 2015
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Date: November 10, 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 November 10, 2015
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·
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November 2015 Monthly Dividend of $0.14 Per Share
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·
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RMBS Portfolio Characteristics as of October 30, 2015
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·
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RMBS Valuation Characteristics
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 (Whole Pool) Test Results
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·
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Repurchase Agreement Exposure by Counterparty
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·
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ 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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Oct 2015 CPR
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|||||||||||||||||||
Asset Category
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Face
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Value(1)
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Price
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Portfolio
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Coupon
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(Reported in Nov)
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||||||||||||||||||
As of October 30, 2015
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$ | 2,809 | $ | 2,995 | 106.59 | 0.15 | % | 3.62 | % | 0.23 | % | |||||||||||||
10-1 Hybrid Rate RMBS
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52,696 | 53,882 | 102.25 | 2.67 | % | 2.55 | % | 9.55 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
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52,696 | 53,882 | 102.25 | 2.67 | % | 2.55 | % | 9.55 | % | |||||||||||||||
15 Year Fixed Rate RMBS
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101,120 | 106,719 | 105.54 | 5.30 | % | 3.28 | % | 7.47 | % | |||||||||||||||
20 Year Fixed Rate RMBS
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401,856 | 432,014 | 107.50 | 21.44 | % | 4.00 | % | 3.30 | % | |||||||||||||||
30 Year Fixed Rate RMBS
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1,207,634 | 1,311,534 | 108.60 | 65.07 | % | 4.35 | % | 7.94 | % | |||||||||||||||
Total Fixed Rate RMBS
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1,710,610 | 1,850,267 | 108.16 | 91.81 | % | 4.20 | % | 6.84 | % | |||||||||||||||
Total Pass-through RMBS
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1,766,115 | 1,907,144 | 107.99 | 94.63 | % | 4.16 | % | 6.91 | % | |||||||||||||||
Interest-Only Securities
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525,560 | 63,196 | 12.02 | 3.14 | % | 3.59 | % | 14.02 | % | |||||||||||||||
Inverse Interest-Only Securities
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222,499 | 44,986 | 20.22 | 2.23 | % | 6.16 | % | 12.88 | % | |||||||||||||||
Structured RMBS
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748,059 | 108,182 | 14.46 | 5.37 | % | 4.66 | % | 13.72 | % | |||||||||||||||
Total Mortgage Assets
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$ | 2,514,174 | $ | 2,015,326 | 100.00 | % | 4.18 | % | 8.89 | % |
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)
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Portfolio
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Asset Category
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Value(1)
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Portfolio
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|||
As of October 30, 2015
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As of October 30, 2015
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Fannie Mae
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$
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1,634,651
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81.1%
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Whole Pool Assets
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$
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1,542,820
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76.6%
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Freddie Mac
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363,764
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18.1%
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Non Whole Pool Assets
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472,506
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23.4%
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Ginnie Mae
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16,911
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0.8%
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Total Mortgage Assets
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$
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2,015,326
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100.0%
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Total Mortgage Assets
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$
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2,015,326
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100.0%
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(1)
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Amounts in the tables above include assets with a fair value of approximately $28.4 million purchased in October 2015 which settle in November 2015.
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Repurchase Agreement Exposure By Counterparty
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($ 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 October 30, 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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Goldman, Sachs & Co
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$ | 156,955 | 8.7 | % | 26 |
11/25/2015
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Wells Fargo Bank, N.A.
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135,437 | 7.4 | % | 13 |
11/13/2015
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Cantor Fitzgerald & Co
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131,505 | 7.2 | % | 15 |
11/18/2015
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Mizuho Securities USA, Inc
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127,625 | 7.0 | % | 14 |
11/23/2015
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ICBC Financial Services LLC
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117,579 | 6.4 | % | 14 |
11/19/2015
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Mitsubishi UFJ Securities (USA), Inc
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112,740 | 6.2 | % | 19 |
11/30/2015
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Citigroup Global Markets Inc
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103,211 | 5.7 | % | 16 |
1/19/2016
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KGS-Alpha Capital Markets, L.P
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101,759 | 5.6 | % | 12 |
11/19/2015
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RBC Capital Markets, LLC
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100,559 | 5.5 | % | 19 |
11/23/2015
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Nomura Securities International, Inc.
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97,540 | 5.3 | % | 19 |
11/23/2015
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ED&F Man Capital Markets Inc
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92,619 | 5.1 | % | 18 |
11/25/2015
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J.P. Morgan Securities LLC
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85,803 | 4.7 | % | 15 |
11/30/2015
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Merrill Lynch, Pierce, Fenner & Smith Inc
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82,326 | 4.5 | % | 17 |
11/16/2015
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South Street Securities, LLC
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80,845 | 4.4 | % | 17 |
11/20/2015
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Daiwa Securities America Inc.
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75,388 | 4.1 | % | 11 |
11/12/2015
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Natixis, New York Branch
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72,830 | 4.0 | % | 12 |
12/1/2015
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Morgan Stanley & Co
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49,292 | 2.7 | % | 10 |
11/9/2015
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CRT Capital Group, LLC
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45,190 | 2.5 | % | 20 |
11/23/2015
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Guggenheim Securities, LLC
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40,057 | 2.2 | % | 26 |
11/30/2015
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Barclays Capital Inc
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10,136 | 0.6 | % | 14 |
11/13/2015
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Suntrust Robinson Humphrey, Inc
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4,366 | 0.2 | % | 21 |
11/20/2015
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Total Borrowings
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$ | 1,823,762 | 100.0 | % | 17 |
1/19/2016
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(1)
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In October 2015, the Company purchased assets with a fair value of approximately $28.4 million which settle in November 2015 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
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RMBS Risk Measures
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($ 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 October 30, 2015
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Adjustable Rate RMBS
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$ | 2,995 | 5 | 10.04 | % | 2.00 | % | $ | 18 | $ | (19 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
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53,882 | 87 | 7.55 | % | 2.00 | % | 862 | (1,042 | ) | |||||||||||||||
Total Fixed Rate RMBS
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1,850,267 | n/a | n/a | n/a | 27,833 | (38,015 | ) | |||||||||||||||||
Total Pass-through RMBS
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1,907,144 | n/a | n/a | n/a | 28,713 | (39,076 | ) | |||||||||||||||||
Interest-Only Securities
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63,196 | n/a | n/a | n/a | (11,531 | ) | 9,870 | |||||||||||||||||
Inverse Interest-Only Securities
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44,986 | 1 | 5.49 | % | n/a | 427 | (1,527 | ) | ||||||||||||||||
Structured RMBS
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108,182 | n/a | n/a | n/a | (11,104 | ) | 8,343 | |||||||||||||||||
Total Mortgage Assets
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$ | 2,015,326 | n/a | n/a | n/a | $ | 17,609 | $ | (30,733 | ) | ||||||||||||||
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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$ | 873,333 |
Mar-2019
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$ | (13,876 | ) | $ | 16,375 | ||||||||||||||||
Treasury Futures Contracts - Short Positions
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185,000 |
Dec-2025
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(7,314 | ) | 7,479 | |||||||||||||||||||
Grand Total
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$ | (3,581 | ) | $ | (6,879 | ) |
(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 127.69 at October 30, 2015. The nominal value of the short position was $236.2 million.
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