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 February 10, 2016
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Date: February 10, 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 February 10, 2016
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·
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February 2016 Monthly Dividend of $0.14 Per Share
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·
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RMBS Portfolio Characteristics as of January 29, 2016
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·
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1,216,243 cumulative shares repurchased through stock repurchase program
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·
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Tax Characterization of 2015 Distributions 100% Ordinary Taxable Income
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·
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RMBS Valuation Characteristics
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 (Whole Pool) Test Results
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·
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Repurchase Agreement Exposure by Counterparty
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·
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ 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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Jan 2016 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 Feb)
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||||||||||||||||||
As of January 29, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$ | 2,781 | $ | 2,948 | 105.99 | 0.13 | % | 3.62 | % | 0.46 | % | |||||||||||||
10-1 Hybrid Rate RMBS
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51,157 | 52,670 | 102.96 | 2.30 | % | 2.55 | % | 4.41 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
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51,157 | 52,670 | 102.96 | 2.30 | % | 2.55 | % | 4.41 | % | |||||||||||||||
15 Year Fixed Rate RMBS
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98,039 | 103,627 | 105.70 | 4.53 | % | 3.28 | % | 5.16 | % | |||||||||||||||
20 Year Fixed Rate RMBS
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425,252 | 458,200 | 107.75 | 20.02 | % | 4.00 | % | 4.57 | % | |||||||||||||||
30 Year Fixed Rate RMBS
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1,438,041 | 1,571,409 | 109.27 | 68.67 | % | 4.37 | % | 5.83 | % | |||||||||||||||
Total Fixed Rate RMBS
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1,961,332 | 2,133,236 | 108.76 | 93.22 | % | 4.24 | % | 5.52 | % | |||||||||||||||
Total Pass-through RMBS
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2,015,270 | 2,188,854 | 108.61 | 95.65 | % | 4.20 | % | 5.49 | % | |||||||||||||||
Interest-Only Securities
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522,485 | 58,675 | 11.23 | 2.56 | % | 3.62 | % | 10.44 | % | |||||||||||||||
Inverse Interest-Only Securities
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212,212 | 40,812 | 19.23 | 1.79 | % | 5.93 | % | 12.55 | % | |||||||||||||||
Structured RMBS
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734,697 | 99,487 | 13.54 | 4.35 | % | 4.57 | % | 11.05 | % | |||||||||||||||
Total Mortgage Assets
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$ | 2,749,967 | $ | 2,288,341 | 100.00 | % | 4.21 | % | 6.98 | % |
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 January 29, 2016
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As of January 29, 2016
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Fannie Mae
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$ | 1,883,385 | 82.3 | % |
Whole Pool Assets
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$ | 1,809,333 | 79.1 | % | ||||||||
Freddie Mac
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391,695 | 17.1 | % |
Non Whole Pool Assets
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479,008 | 20.9 | % | ||||||||||
Ginnie Mae
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13,261 | 0.6 | % |
Total Mortgage Assets
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$ | 2,288,341 | 100.0 | % | |||||||||
Total Mortgage Assets
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$ | 2,288,341 | 100.0 | % |
(1)
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Amounts in the tables above include assets with a fair value of approximately $3.1 million purchased in January 2016 which settle in February 2016.
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Borrowings By Counterparty
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($ 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 January 29, 2016
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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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Citigroup Global Markets Inc
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$ | 276,726 | 13.1 | % | 18 |
3/28/2016
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South Street Securities, LLC
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179,274 | 8.5 | % | 29 |
2/29/2016
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ED&F Man Capital Markets Inc
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149,338 | 7.1 | % | 41 |
3/24/2016
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Wells Fargo Bank, N.A.
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130,165 | 6.1 | % | 12 |
2/12/2016
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ICBC Financial Services LLC
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124,175 | 5.9 | % | 12 |
2/10/2016
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Cantor Fitzgerald & Co
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119,217 | 5.6 | % | 22 |
2/26/2016
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Goldman, Sachs & Co
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118,855 | 5.6 | % | 29 |
3/15/2016
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Guggenheim Securities, LLC
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118,027 | 5.6 | % | 15 |
2/29/2016
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Mizuho Securities USA, Inc
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117,454 | 5.5 | % | 21 |
4/25/2016
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Mitsubishi UFJ Securities (USA), Inc
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112,029 | 5.3 | % | 19 |
2/29/2016
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Daiwa Securities America Inc.
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107,033 | 5.1 | % | 10 |
2/11/2016
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J.P. Morgan Securities LLC
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106,840 | 5.0 | % | 20 |
3/14/2016
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Natixis, New York Branch
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103,904 | 4.9 | % | 14 |
2/22/2016
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RBC Capital Markets, LLC
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92,410 | 4.4 | % | 13 |
2/22/2016
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Nomura Securities International, Inc.
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86,831 | 4.1 | % | 15 |
2/25/2016
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Merrill Lynch, Pierce, Fenner & Smith Inc
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85,260 | 4.0 | % | 18 |
2/16/2016
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KGS-Alpha Capital Markets, L.P
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85,034 | 4.0 | % | 20 |
2/22/2016
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Suntrust Robinson Humphrey, Inc
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4,222 | 0.2 | % | 14 |
2/12/2016
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Total Borrowings
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$ | 2,116,794 | 100.0 | % | 20 |
4/25/2016
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(1)
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In January 2016, the Company purchased assets with a fair value of approximately $3.1 million which settle in February 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
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RMBS Risk Measures
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($ 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 January 29, 2016
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Adjustable Rate RMBS
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$ | 2,948 | 3 | 10.04 | % | 2.00 | % | $ | 18 | $ | (17 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
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52,670 | 84 | 7.55 | % | 2.00 | % | 722 | (914 | ) | |||||||||||||||
Total Fixed Rate RMBS
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2,133,236 | n/a | n/a | n/a | 30,124 | (39,373 | ) | |||||||||||||||||
Total Pass-through RMBS
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2,188,854 | n/a | n/a | n/a | 30,864 | (40,304 | ) | |||||||||||||||||
Interest-Only Securities
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58,675 | n/a | n/a | n/a | (11,374 | ) | 10,509 | |||||||||||||||||
Inverse Interest-Only Securities
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40,812 | 1 | 6.35 | % | n/a | 286 | (1,143 | ) | ||||||||||||||||
Structured RMBS
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99,487 | n/a | n/a | n/a | (11,088 | ) | 9,366 | |||||||||||||||||
Total Mortgage Assets
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$ | 2,288,341 | n/a | n/a | n/a | $ | 19,776 | $ | (30,938 | ) | ||||||||||||||
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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$ | (10,219 | ) | $ | 14,625 | ||||||||||||||||
Treasury Futures Contracts - Short Positions
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185,000 |
Mar-2026
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(6,589 | ) | 8,447 | |||||||||||||||||||
Short TBA Position
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125,000 |
Feb-2016
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(1,404 | ) | 1,900 | |||||||||||||||||||
Grand Total
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$ | 1,564 | $ | (5,966 | ) |
(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 129.58 at January 31, 2016. The nominal value of the short position was $232.9 million.
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