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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Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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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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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 July 13, 2016
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Date: July 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 July 13, 2016
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July 2016 Monthly Dividend of $0.14 Per Share
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Estimated Book Value Per Share at June 30, 2016 of $10.86
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Estimated 2.5% total return on equity for the quarter, or 9.8% annualized
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RMBS Portfolio Characteristics as of June 30, 2016
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RMBS Valuation Characteristics
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RMBS Assets by Agency
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Investment Company Act of 1940 Whole Pool Test Results
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Repurchase Agreement Exposure by Counterparty
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ 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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Jun 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 Jul)
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||||||||||||||||||
As of June 30, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$
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1,975
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$
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2,095
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106.10
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0.09
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%
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3.10
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%
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0.69
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%
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|||||||||||||
10-1 Hybrid Rate RMBS
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48,526
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50,461
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103.99
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2.27
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%
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2.55
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%
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7.96
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%
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|||||||||||||||
Hybrid Adjustable Rate RMBS
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48,526
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50,461
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103.99
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2.27
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%
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2.55
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%
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7.96
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%
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|||||||||||||||
15 Year Fixed Rate RMBS
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92,806
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98,856
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106.52
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4.45
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%
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3.28
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%
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11.34
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%
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|||||||||||||||
20 Year Fixed Rate RMBS
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420,516
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458,118
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108.94
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20.61
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%
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4.00
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%
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10.55
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%
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|||||||||||||||
30 Year Fixed Rate RMBS
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1,373,367
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1,521,711
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110.80
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68.44
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%
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4.36
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%
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8.06
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%
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|||||||||||||||
Total Fixed Rate RMBS
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1,886,689
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2,078,685
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110.18
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93.50
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%
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4.23
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%
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8.78
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%
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|||||||||||||||
Total Pass-through RMBS
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1,937,190
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2,131,241
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110.02
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95.86
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%
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4.19
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%
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8.75
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%
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|||||||||||||||
Interest-Only Securities
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596,285
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55,918
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9.38
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2.52
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%
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3.56
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%
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17.97
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%
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|||||||||||||||
Inverse Interest-Only Securities
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193,122
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36,098
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18.69
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1.62
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%
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5.90
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%
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15.66
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%
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|||||||||||||||
Structured RMBS
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789,407
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92,016
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11.66
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4.14
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%
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4.47
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%
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17.37
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%
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|||||||||||||||
Total Mortgage Assets
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$
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2,726,597
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$
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2,223,257
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100.00
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%
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4.20
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%
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11.15
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%
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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 June 30, 2016
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As of June 30, 2016
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||||||||||||||||
Fannie Mae
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$
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1,793,707
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80.7
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%
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Whole Pool Assets
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$
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1,638,160
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73.7
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%
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||||||||
Freddie Mac
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420,006
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18.9
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%
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Non Whole Pool Assets
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585,097
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26.3
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%
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Ginnie Mae
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9,544
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0.4
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%
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Total Mortgage Assets
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$
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2,223,257
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100.0
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%
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|||||||||
Total Mortgage Assets
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$
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2,223,257
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100.0
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%
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(1)
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Amounts in the tables above include assets with a fair value of approximately $4.3 million purchased in June 2016 which settle in July 2016.
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Borrowings By Counterparty
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|||||||||||||
($ 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 June 30, 2016
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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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$
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269,967
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13.2
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%
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13
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7/26/2016
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J.P. Morgan Securities LLC
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216,100
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10.5
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%
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34
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8/15/2016
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||||||||
South Street Securities, LLC
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187,788
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9.1
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%
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3
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7/18/2016
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||||||||
ICBC Financial Services LLC
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146,010
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7.1
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%
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11
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7/18/2016
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FHLB-Cincinnati
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139,883
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6.8
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%
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47
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9/15/2016
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Goldman, Sachs & Co
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128,056
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6.2
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%
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15
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7/20/2016
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Cantor Fitzgerald & Co
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122,588
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5.9
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%
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21
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7/26/2016
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Mitsubishi UFJ Securities (USA), Inc
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121,991
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5.9
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%
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11
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7/18/2016
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Wells Fargo Bank, N.A.
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102,708
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5.0
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%
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12
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7/15/2016
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Natixis, New York Branch
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101,447
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4.9
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%
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10
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7/20/2016
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Daiwa Securities America Inc.
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99,205
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4.8
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%
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8
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7/11/2016
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KGS-Alpha Capital Markets, L.P
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87,506
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4.2
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%
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20
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7/25/2016
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RBC Capital Markets, LLC
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74,475
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3.6
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%
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12
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7/14/2016
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Nomura Securities International, Inc.
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70,316
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3.4
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%
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41
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8/12/2016
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Guggenheim Securities, LLC
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67,113
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3.3
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%
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54
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8/29/2016
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Mizuho Securities USA, Inc
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64,354
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3.1
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%
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39
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8/18/2016
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ED&F Man Capital Markets Inc
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57,105
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2.8
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%
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1
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7/1/2016
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Suntrust Robinson Humphrey, Inc
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4,215
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0.2
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%
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8
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7/8/2016
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||||||||
Total Borrowings
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$
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2,060,827
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100.0
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%
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20
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9/15/2016
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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
|
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 June 30, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$
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2,095
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1
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10.05
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%
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2.00
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%
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$
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7
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$
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(7
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)
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||||||||||||
Hybrid Adjustable Rate RMBS
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50,461
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79
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7.54
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%
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2.00
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%
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521
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(739
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)
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|||||||||||||||
Total Fixed Rate RMBS
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2,078,685
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n/
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a
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n/
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a
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n/
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a
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27,856
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(38,802
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)
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||||||||||||||
Total Pass-through RMBS
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2,131,241
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n/
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a
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n/
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a
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n/
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a
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28,384
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(39,548
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)
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||||||||||||||
Interest-Only Securities
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55,918
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n/
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a
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n/
|
a
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n/
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a
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(9,757
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)
|
8,550
|
||||||||||||||
Inverse Interest-Only Securities
|
36,098
|
1
|
6.34
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%
|
n/
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a
|
152
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(942
|
)
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|||||||||||||||
Structured RMBS
|
92,016
|
n/
|
a
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n/
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a
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n/
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a
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(9,605
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)
|
7,608
|
||||||||||||||
Total Mortgage Assets
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$
|
2,223,257
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n/
|
a
|
n/
|
a
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n/
|
a
|
$
|
18,779
|
$
|
(31,940
|
)
|
Funding Hedges
|
|||||||||||||
Modeled
|
Modeled
|
||||||||||||
Interest
|
Interest
|
||||||||||||
Average
|
Hedge
|
Rate
|
Rate
|
||||||||||
Notional
|
Period
|
Sensitivity
|
Sensitivity
|
||||||||||
Balance(2)
|
End Date
|
(-50 BPS)(1)
|
(+50 BPS)(1)
|
||||||||||
Eurodollar Futures Contracts - Short Positions
|
$
|
200,000
|
Mar-2019
|
$
|
(982
|
)
|
$
|
2,750
|
|||||
Treasury Futures Contracts - Short Positions
|
185,000
|
Sep-2026
|
(9,318
|
)
|
6,318
|
||||||||
Payer Swaps
|
600,000
|
Feb-2020
|
(10,508
|
)
|
10,508
|
||||||||
TBA Short Positions
|
100,000
|
Jul-2016
|
(737
|
)
|
1,375
|
||||||||
Grand Total
|
$
|
(2,766
|
)
|
$
|
(10,989
|
)
|
(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.
|
(2)
|
Treasury futures contracts were valued at a price of $132.98 at June 30, 2016. The nominal value of the short position was $246.0 million.
|