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 January 11, 2016
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Date: January 12, 2016
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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 January 11, 2016
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·
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January 2016 Monthly Dividend of $0.14 Per Share
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·
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Estimated Book Value Per Share at December 31, 2015 of $11.64
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·
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Estimated 3.2% total return on equity for the quarter, or 12.7% annualized
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·
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RMBS Portfolio Characteristics as of December 31, 2015
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·
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1,216,243 cumulative shares repurchased through stock repurchase program
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 Whole Pool Test Results
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·
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Borowings by counterparty
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·
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ 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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Dec 2015 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 Jan)
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||||||||||||||||||
As of December 31, 2015
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$ | 2,791 | $ | 2,976 | 106.64 | 0.14 | % | 3.63 | % | 0.45 | % | |||||||||||||
10-1 Hybrid Rate RMBS
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51,297 | 52,238 | 101.83 | 2.42 | % | 2.55 | % | 2.02 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
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51,297 | 52,238 | 101.83 | 2.42 | % | 2.55 | % | 2.02 | % | |||||||||||||||
15 Year Fixed Rate RMBS
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99,030 | 103,534 | 104.55 | 4.80 | % | 3.28 | % | 5.69 | % | |||||||||||||||
20 Year Fixed Rate RMBS
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438,687 | 468,564 | 106.81 | 21.71 | % | 4.00 | % | 4.15 | % | |||||||||||||||
30 Year Fixed Rate RMBS
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1,319,596 | 1,428,525 | 108.25 | 66.20 | % | 4.36 | % | 6.64 | % | |||||||||||||||
Total Fixed Rate RMBS
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1,857,313 | 2,000,623 | 107.72 | 92.71 | % | 4.22 | % | 6.00 | % | |||||||||||||||
Total Pass-through RMBS
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1,911,401 | 2,055,837 | 107.56 | 95.27 | % | 4.18 | % | 5.89 | % | |||||||||||||||
Interest-Only Securities
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504,758 | 61,574 | 12.20 | 2.85 | % | 3.58 | % | 13.36 | % | |||||||||||||||
Inverse Interest-Only Securities
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216,114 | 40,599 | 18.79 | 1.88 | % | 5.97 | % | 14.84 | % | |||||||||||||||
Structured RMBS
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720,872 | 102,173 | 14.17 | 4.73 | % | 4.53 | % | 13.80 | % | |||||||||||||||
Total Mortgage Assets
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$ | 2,632,273 | $ | 2,158,010 | 100.00 | % | 4.19 | % | 8.06 | % |
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
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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 December 31, 2015
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As of December 31, 2015
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Fannie Mae
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$ | 1,747,699 | 81.0 | % |
Whole Pool Assets
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$ | 1,654,742 | 76.7 | % | ||||||||
Freddie Mac
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394,256 | 18.3 | % |
Non Whole Pool Assets
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503,268 | 23.3 | % | ||||||||||
Ginnie Mae
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16,055 | 0.7 | % |
Total Mortgage Assets
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$ | 2,158,010 | 100.0 | % | |||||||||
Total Mortgage Assets
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$ | 2,158,010 | 100.0 | % |
Borrowings 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 December 31, 2015
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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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$ | 185,107 | 9.4 | % | 14 |
2/12/2016
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Federal Home Loan Bank of Cincinnati
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183,750 | 9.3 | % | 23 |
1/23/2016
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South Street Securities, LLC
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156,375 | 7.9 | % | 28 |
1/28/2016
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Wells Fargo Bank, N.A.
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130,331 | 6.6 | % | 11 |
1/13/2016
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Cantor Fitzgerald & Co
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128,751 | 6.5 | % | 20 |
1/27/2016
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ED&F Man Capital Markets Inc
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127,285 | 6.4 | % | 19 |
1/25/2016
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ICBC Financial Services LLC
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125,437 | 6.3 | % | 12 |
1/12/2016
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Mizuho Securities USA, Inc
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119,092 | 6.0 | % | 13 |
1/25/2016
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KGS-Alpha Capital Markets, L.P
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117,395 | 5.9 | % | 13 |
1/22/2016
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Mitsubishi UFJ Securities (USA), Inc
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113,021 | 5.7 | % | 18 |
1/29/2016
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J.P. Morgan Securities LLC
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108,145 | 5.5 | % | 14 |
2/2/2016
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Daiwa Securities America Inc.
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99,292 | 5.0 | % | 9 |
1/11/2016
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RBC Capital Markets, LLC
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93,582 | 4.7 | % | 13 |
1/22/2016
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Natixis, New York Branch
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86,180 | 4.3 | % | 10 |
1/22/2016
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Guggenheim Securities, LLC
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83,913 | 4.2 | % | 17 |
1/29/2016
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Merrill Lynch, Pierce, Fenner & Smith Inc
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81,284 | 4.1 | % | 15 |
1/15/2016
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Nomura Securities International, Inc.
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39,422 | 2.0 | % | 13 |
1/13/2016
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Suntrust Robinson Humphrey, Inc
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4,201 | 0.2 | % | 15 |
1/15/2016
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Total Borrowings
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$ | 1,982,563 | 100.0 | % | 16 |
2/12/2016
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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 December 31, 2015
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Adjustable Rate RMBS
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$ | 2,976 | 4 | 10.04 | % | 2.00 | % | $ | 18 | $ | (16 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
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52,238 | 85 | 7.55 | % | 2.00 | % | 880 | (1,012 | ) | |||||||||||||||
Total Fixed Rate RMBS
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2,000,623 | n/a | n/a | n/a | 32,110 | (42,585 | ) | |||||||||||||||||
Total Pass-through RMBS
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2,055,837 | n/a | n/a | n/a | 33,008 | (43,613 | ) | |||||||||||||||||
Interest-Only Securities
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61,574 | n/a | n/a | n/a | (10,394 | ) | 8,592 | |||||||||||||||||
Inverse Interest-Only Securities
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40,599 | 1 | 6.36 | % | n/a | 902 | (1,776 | ) | ||||||||||||||||
Structured RMBS
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102,173 | n/a | n/a | n/a | (9,492 | ) | 6,816 | |||||||||||||||||
Total Mortgage Assets
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$ | 2,158,010 | n/a | n/a | n/a | $ | 23,516 | $ | (36,797 | ) | ||||||||||||||
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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$ | 780,000 |
Mar-2019
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$ | (13,189 | ) | $ | 14,625 | ||||||||||||||||
Treasury Futures Contracts - Short Positions
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185,000 |
Mar-2026
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(7,518 | ) | 7,136 | |||||||||||||||||||
Receiver Swaption
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100,000 |
May-2021
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1,615 | (563 | ) | |||||||||||||||||||
Grand Total
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$ | 4,424 | $ | (15,599 | ) |
(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 125.91 at December 31, 2015. The nominal value of the short position was $232.93 million.
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