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 April 13, 2016
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Date: April 13, 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 April 13, 2016
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·
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April 2016 Monthly Dividend of $0.14 Per Share
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·
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Estimated Book Value Per Share at March 31, 2016 of $10.99
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·
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Estimated (2.0)% total return on equity for the quarter, or (7.9)% annualized
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·
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RMBS Portfolio Characteristics as of March 31, 2016
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·
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RMBS Valuation Characteristics
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 Whole Pool Test Results
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·
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Repurchase Agreement Exposure by Counterparty
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·
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RMBS Risk Measures
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RMBS Valuation Characteristics
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($ 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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Mar 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 Apr)
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||||||||||||||||||
As of March 31, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$ | 2,762 | $ | 2,939 | 106.41 | 0.15 | % | 3.63 | % | 42.10 | % | |||||||||||||
10-1 Hybrid Rate RMBS
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50,407 | 52,043 | 103.25 | 2.63 | % | 2.55 | % | 8.78 | % | |||||||||||||||
Hybrid Adjustable Rate RMBS
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50,407 | 52,043 | 103.25 | 2.63 | % | 2.55 | % | 8.78 | % | |||||||||||||||
15 Year Fixed Rate RMBS
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96,058 | 101,791 | 105.97 | 5.15 | % | 3.28 | % | 7.84 | % | |||||||||||||||
20 Year Fixed Rate RMBS
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355,960 | 384,048 | 107.89 | 19.43 | % | 4.00 | % | 5.75 | % | |||||||||||||||
30 Year Fixed Rate RMBS
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1,218,633 | 1,340,723 | 110.02 | 67.81 | % | 4.44 | % | 7.42 | % | |||||||||||||||
Total Fixed Rate RMBS
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1,670,651 | 1,826,562 | 109.33 | 92.39 | % | 4.29 | % | 7.10 | % | |||||||||||||||
Total Pass-through RMBS
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1,723,820 | 1,881,544 | 109.15 | 95.17 | % | 4.24 | % | 7.21 | % | |||||||||||||||
Interest-Only Securities
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519,953 | 56,607 | 10.89 | 2.86 | % | 3.64 | % | 14.84 | % | |||||||||||||||
Inverse Interest-Only Securities
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205,418 | 38,894 | 18.93 | 1.97 | % | 5.91 | % | 15.53 | % | |||||||||||||||
Structured RMBS
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725,371 | 95,501 | 13.17 | 4.83 | % | 4.56 | % | 15.04 | % | |||||||||||||||
Total Mortgage Assets
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$ | 2,449,191 | $ | 1,977,045 | 100.00 | % | 4.25 | % | 9.55 | % |
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 March 31, 2016
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As of March 31, 2016
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Fannie Mae
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$ | 1,639,521 | 82.9 | % |
Whole Pool Assets
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$ | 1,532,872 | 77.5 | % | ||||||||
Freddie Mac
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325,721 | 16.5 | % |
Non Whole Pool Assets
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444,173 | 22.5 | % | ||||||||||
Ginnie Mae
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11,803 | 0.6 | % |
Total Mortgage Assets
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$ | 1,977,045 | 100.0 | % | |||||||||
Total Mortgage Assets
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$ | 1,977,045 | 100.0 | % |
(1)
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Amounts in the tables above include assets with a fair value of approximately $21.5 million purchased in March 2016 which settle in April 2016, and exclude assets with a fair value of $132.7 million sold in March 2016 which settle in April 2016.
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Borrowings By Counterparty
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($ 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 March 31, 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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$ | 277,382 | 14.5 | % | 13 |
4/29/2016
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South Street Securities, LLC
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181,318 | 9.3 | % | 3 |
4/15/2016
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FHLB-Cincinnati
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146,355 | 7.5 | % | 30 |
5/24/2016
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Cantor Fitzgerald & Co
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122,962 | 6.3 | % | 21 |
4/26/2016
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Guggenheim Securities, LLC
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121,134 | 6.2 | % | 27 |
5/4/2016
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Goldman, Sachs & Co
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119,762 | 6.2 | % | 15 |
4/22/2016
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Wells Fargo Bank, N.A.
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107,871 | 5.6 | % | 13 |
4/18/2016
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Daiwa Securities America Inc.
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107,374 | 5.5 | % | 8 |
4/11/2016
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Natixis, New York Branch
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102,588 | 5.3 | % | 11 |
4/20/2016
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Mitsubishi UFJ Securities (USA), Inc
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97,327 | 5.0 | % | 18 |
4/29/2016
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KGS-Alpha Capital Markets, L.P
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89,203 | 4.6 | % | 20 |
4/25/2016
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Merrill Lynch, Pierce, Fenner & Smith Inc
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84,771 | 4.4 | % | 18 |
4/18/2016
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Nomura Securities International, Inc.
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83,517 | 4.3 | % | 14 |
4/27/2016
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Mizuho Securities USA, Inc
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68,716 | 3.5 | % | 16 |
4/25/2016
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ICBC Financial Services LLC
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62,814 | 3.2 | % | 11 |
4/11/2016
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J.P. Morgan Securities LLC
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61,247 | 3.2 | % | 16 |
5/2/2016
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ED&F Man Capital Markets Inc
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60,070 | 3.1 | % | 1 |
4/1/2016
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RBC Capital Markets, LLC
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40,887 | 2.1 | % | 13 |
4/13/2016
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Suntrust Robinson Humphrey, Inc
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4,191 | 0.2 | % | 8 |
4/8/2016
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Total Borrowings
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$ | 1,939,489 | 100.0 | % | 15 |
5/24/2016
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(1)
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In March 2016, the Company purchased assets with a fair value of approximately $21.5 million which settle in April 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
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RMBS Risk Measures
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($ 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 March 31, 2016
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Adjustable Rate RMBS
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$ | 2,939 | 2 | 10.04 | % | 2.00 | % | $ | 18 | $ | (17 | ) | ||||||||||||
Hybrid Adjustable Rate RMBS
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52,043 | 82 | 7.55 | % | 2.00 | % | 702 | (909 | ) | |||||||||||||||
Total Fixed Rate RMBS
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1,826,562 | n/a | n/a | n/a | 26,251 | (36,541 | ) | |||||||||||||||||
Total Pass-through RMBS
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1,881,544 | n/a | n/a | n/a | 26,971 | (37,467 | ) | |||||||||||||||||
Interest-Only Securities
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56,607 | n/a | n/a | n/a | (9,821 | ) | 8,241 | |||||||||||||||||
Inverse Interest-Only Securities
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38,894 | 1 | 6.35 | % | n/a | 246 | (1,266 | ) | ||||||||||||||||
Structured RMBS
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95,501 | n/a | n/a | n/a | (9,575 | ) | 6,975 | |||||||||||||||||
Total Mortgage Assets
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$ | 1,977,045 | n/a | n/a | n/a | $ | 17,396 | $ | (30,492 | ) | ||||||||||||||
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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$ | 160,000 |
Mar-2019
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$ | (2,066 | ) | $ | 3,000 | ||||||||||||||||
Treasury Futures Contracts - Short Positions
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185,000 |
Jun-2026
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(6,718 | ) | 8,075 | |||||||||||||||||||
Payer Swaps
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600,000 |
Feb-2020
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(11,841 | ) | 11,841 | |||||||||||||||||||
TBA Short Positions
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103,000 |
Apr-2016
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(1,135 | ) | 1,665 | |||||||||||||||||||
Grand Total
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$ | (4,364 | ) | $ | (5,911 | ) |
(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 $130.39 at March 31, 2016. The nominal value of the short position was $241.2 million.
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