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 March 9, 2016
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Date: March 9, 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 March 9, 2016
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·
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March 2016 Monthly Dividend of $0.14 Per Share
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·
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RMBS Portfolio Characteristics as of February 29, 2016
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·
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1,216,243 cumulative shares repurchased through stock repurchase program
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·
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RMBS Valuation Characteristics
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 (Whole Pool) Test Results
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·
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Repurchase Agreement Exposure by Counterparty
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·
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ 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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Feb 2016 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 Mar)
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||||||||||||||||||
As of February 29, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$ | 2,771 | $ | 2,937 | 105.96 | 0.14 | % | 3.63 | % | 0.46 | % | |||||||||||||
10-1 Hybrid Rate RMBS
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50,900 | 52,347 | 102.84 | 2.58 | % | 2.55 | % | 4.36 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
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50,900 | 52,347 | 102.84 | 2.58 | % | 2.55 | % | 4.36 | % | |||||||||||||||
15 Year Fixed Rate RMBS
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97,103 | 102,804 | 105.87 | 5.04 | % | 3.28 | % | 5.14 | % | |||||||||||||||
20 Year Fixed Rate RMBS
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424,307 | 457,087 | 107.73 | 22.42 | % | 4.00 | % | 4.53 | % | |||||||||||||||
30 Year Fixed Rate RMBS
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1,208,486 | 1,328,464 | 109.93 | 65.16 | % | 4.44 | % | 5.12 | % | |||||||||||||||
Total Fixed Rate RMBS
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1,729,896 | 1,888,355 | 109.16 | 92.62 | % | 4.27 | % | 4.97 | % | |||||||||||||||
Total Pass-through RMBS
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1,783,567 | 1,943,639 | 108.97 | 95.34 | % | 4.23 | % | 4.94 | % | |||||||||||||||
Interest-Only Securities
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530,221 | 55,125 | 10.40 | 2.70 | % | 3.64 | % | 12.39 | % | |||||||||||||||
Inverse Interest-Only Securities
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209,000 | 39,978 | 19.13 | 1.96 | % | 5.92 | % | 12.72 | % | |||||||||||||||
Structured RMBS
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739,221 | 95,103 | 12.87 | 4.66 | % | 4.59 | % | 12.48 | % | |||||||||||||||
Total Mortgage Assets
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$ | 2,522,788 | $ | 2,038,742 | 100.00 | % | 4.24 | % | 7.23 | % |
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 February 29, 2016
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As of February 29, 2016
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Fannie Mae
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$ | 1,711,894 | 84.0 | % |
Whole Pool Assets
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$ | 1,533,756 | 75.2 | % | ||||||||
Freddie Mac
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315,232 | 15.4 | % |
Non Whole Pool Assets
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504,986 | 24.8 | % | ||||||||||
Ginnie Mae
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11,616 | 0.6 | % |
Total Mortgage Assets
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$ | 2,038,742 | 100.0 | % | |||||||||
Total Mortgage Assets
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$ | 2,038,742 | 100.0 | % |
(1)
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Amounts in the tables above include assets with a fair value of approximately $99.3 million purchased in February 2016 which settle in March 2016, and exclude assets with a fair value of $95.3 million sold in February 2016 which settle in March 2016.
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Borrowings By Counterparty
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($ 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 February 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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$ | 277,935 | 14.7 | % | 32 |
4/25/2016
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South Street Securities, LLC
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178,648 | 9.4 | % | 30 |
4/1/2016
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ED&F Man Capital Markets Inc
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148,286 | 7.8 | % | 22 |
4/19/2016
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Goldman, Sachs & Co
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119,082 | 6.3 | % | 16 |
3/16/2016
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Cantor Fitzgerald & Co
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118,571 | 6.3 | % | 40 |
4/26/2016
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Guggenheim Securities, LLC
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118,380 | 6.2 | % | 41 |
5/4/2016
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J.P. Morgan Securities LLC
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108,444 | 5.7 | % | 17 |
5/2/2016
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Daiwa Securities America Inc.
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107,374 | 5.7 | % | 39 |
4/11/2016
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Natixis, New York Branch
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104,443 | 5.5 | % | 12 |
3/23/2016
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KGS-Alpha Capital Markets, L.P
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90,523 | 4.8 | % | 19 |
3/23/2016
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Mitsubishi UFJ Securities (USA), Inc
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90,077 | 4.8 | % | 42 |
4/29/2016
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Nomura Securities International, Inc.
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86,970 | 4.6 | % | 15 |
3/28/2016
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Merrill Lynch, Pierce, Fenner & Smith Inc
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85,509 | 4.5 | % | 16 |
3/16/2016
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Wells Fargo Bank, N.A.
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74,461 | 3.9 | % | 11 |
3/14/2016
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Mizuho Securities USA, Inc
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69,190 | 3.7 | % | 39 |
4/25/2016
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ICBC Financial Services LLC
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68,971 | 3.6 | % | 11 |
3/11/2016
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RBC Capital Markets, LLC
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44,076 | 2.3 | % | 14 |
3/22/2016
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Suntrust Robinson Humphrey, Inc
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4,208 | 0.2 | % | 11 |
3/11/2016
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Total Borrowings
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$ | 1,895,148 | 100.0 | % | 26 |
5/4/2016
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(1)
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In February 2016, the Company purchased assets with a fair value of approximately $99.3 million which settle in March 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
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RMBS Risk Measures
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($ 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 February 29, 2016
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Adjustable Rate RMBS
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$ | 2,937 | 3 | 10.04 | % | 2.00 | % | $ | 17 | $ | (17 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
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52,347 | 83 | 7.55 | % | 2.00 | % | 669 | (839 | ) | |||||||||||||||
Total Fixed Rate RMBS
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1,888,355 | n/a | n/a | n/a | 25,591 | (31,951 | ) | |||||||||||||||||
Total Pass-through RMBS
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1,943,639 | n/a | n/a | n/a | 26,277 | (32,807 | ) | |||||||||||||||||
Interest-Only Securities
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55,125 | n/a | n/a | n/a | (10,620 | ) | 9,986 | |||||||||||||||||
Inverse Interest-Only Securities
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39,978 | 1 | 6.35 | % | n/a | 51 | (891 | ) | ||||||||||||||||
Structured RMBS
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95,103 | n/a | n/a | n/a | (10,569 | ) | 9,095 | |||||||||||||||||
Total Mortgage Assets
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$ | 2,038,742 | n/a | n/a | n/a | $ | 15,708 | $ | (23,712 | ) | ||||||||||||||
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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$ | 173,333 |
Mar-2019
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$ | (2,075 | ) | $ | 3,250 | ||||||||||||||||
Treasury Futures Contracts - Short Positions
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185,000 |
Jun-2026
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(7,040 | ) | 7,719 | |||||||||||||||||||
Payer Swaps
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600,000 |
Feb-2020
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(11,839 | ) | 11,839 | |||||||||||||||||||
Grand Total
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$ | (5,246 | ) | $ | (904 | ) |
(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 a price of $130.52 at February 29, 2016. The nominal value of the short position was $241.5 million.
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