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 November 9, 2016
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Date: November 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 November 9, 2016
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November 2016 Monthly Dividend of $0.14 Per Share
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RMBS Portfolio Characteristics as of October 31, 2016
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RMBS Valuation Characteristics
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RMBS Assets by Agency
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Investment Company Act of 1940 (Whole Pool) Test Results
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Repurchase Agreement Exposure by Counterparty
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ 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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Oct 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 Nov)
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||||||||||||||||||
As of October 31, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$
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1,946
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$
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2,068
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106.26
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0.09
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%
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3.50
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%
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0.67
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%
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|||||||||||||
10-1 Hybrid Rate RMBS
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45,795
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47,607
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103.96
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2.00
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%
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2.55
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%
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16.85
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%
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|||||||||||||||
Hybrid Adjustable Rate RMBS
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45,795
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47,607
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103.96
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2.00
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%
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2.55
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%
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16.85
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%
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|||||||||||||||
15 Year Fixed Rate RMBS
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87,705
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93,174
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106.24
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3.91
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%
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3.28
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%
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11.74
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%
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|||||||||||||||
20 Year Fixed Rate RMBS
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414,418
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453,529
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109.44
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19.05
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%
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4.00
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%
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9.18
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%
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|||||||||||||||
30 Year Fixed Rate RMBS
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1,499,390
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1,655,562
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110.42
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69.55
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%
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4.32
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%
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9.44
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%
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|||||||||||||||
Total Fixed Rate RMBS
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2,001,513
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2,202,265
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110.03
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92.51
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%
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4.21
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%
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9.49
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%
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|||||||||||||||
Total Pass-through RMBS
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2,049,254
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2,251,940
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109.89
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94.60
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%
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4.17
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%
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9.64
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%
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|||||||||||||||
Interest-Only Securities
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533,737
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52,188
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9.78
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2.19
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%
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3.55
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%
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17.96
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%
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|||||||||||||||
Inverse Interest-Only Securities
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356,097
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76,342
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21.44
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3.21
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%
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5.62
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%
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15.56
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%
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|||||||||||||||
Structured RMBS
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889,834
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128,530
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14.44
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5.40
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%
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4.78
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%
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17.08
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%
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|||||||||||||||
Total Mortgage Assets
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$
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2,939,088
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$
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2,380,470
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100.00
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%
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4.21
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%
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11.81
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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 October 31, 2016
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As of October 31, 2016
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||||||||||||||||
Fannie Mae
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$
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1,841,313
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77.4
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%
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Whole Pool Assets
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$
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1,961,445
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82.4
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%
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||||||||
Freddie Mac
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530,750
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22.2
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%
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Non Whole Pool Assets
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419,025
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17.6
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%
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Ginnie Mae
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8,407
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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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2,380,470
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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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2,380,470
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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 $10.5 million purchased in October 2016 which settle in November 2016, and exclude assets with a fair value of $118.6 million sold in October 2016 which settle in November 2016.
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Borrowings By Counterparty
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|||||||||||||
($ 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 October 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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$
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277,985
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12.1
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%
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10
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1/5/2017
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|||||||
Mitsubishi UFJ Securities (USA), Inc
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203,824
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8.9
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%
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16
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11/30/2016
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||||||||
RBC Capital Markets, LLC
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202,219
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8.8
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%
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14
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11/14/2016
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||||||||
South Street Securities, LLC
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183,022
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8.0
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%
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5
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11/21/2016
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J.P. Morgan Securities LLC
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175,600
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7.7
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%
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26
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12/16/2016
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ED&F Man Capital Markets Inc
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167,788
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7.3
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%
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36
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1/23/2017
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Goldman, Sachs & Co
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157,562
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6.9
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%
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14
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11/21/2016
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Wells Fargo Bank, N.A.
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150,474
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6.6
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%
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10
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11/10/2016
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ICBC Financial Services LLC
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140,773
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6.1
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%
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42
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12/30/2016
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Daiwa Securities America Inc.
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112,192
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4.9
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%
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11
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11/14/2016
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Cantor Fitzgerald & Co
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105,748
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4.6
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%
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41
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1/9/2017
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Natixis, New York Branch
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95,964
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4.2
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%
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10
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11/21/2016
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KGS-Alpha Capital Markets, L.P
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88,244
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3.8
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%
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19
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11/25/2016
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Nomura Securities International, Inc.
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67,649
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3.0
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%
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41
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12/12/2016
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Mizuho Securities USA, Inc
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55,770
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2.4
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%
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7
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11/7/2016
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FHLB-Cincinnati
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53,866
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2.3
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%
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1
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11/1/2016
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Guggenheim Securities, LLC
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50,284
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2.2
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%
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28
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11/28/2016
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Suntrust Robinson Humphrey, Inc
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4,024
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0.2
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%
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10
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11/10/2016
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||||||||
Total Borrowings
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$
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2,292,988
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100.0
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%
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19
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1/23/2017
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(1)
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In October 2016, the Company purchased assets with a fair value of approximately $10.5 million which settle in November 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above. In October 2016, the Company also sold assets with a fair value of approximately $118.6 million which settle in November 2016. The table above includes repurchase agreement borrowings of approximately $112.2 million which are collateralized by these sold securities.
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RMBS Risk Measures
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||||||||||||||||||||||||
($ 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 October 31, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$
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2,068
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7
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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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12
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$
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(12
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)
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||||||||||||
Hybrid Adjustable Rate RMBS
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47,607
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75
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7.55
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%
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2.00
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%
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566
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(745
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)
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|||||||||||||||
Total Fixed Rate RMBS
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2,202,265
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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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32,649
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(45,480
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)
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||||||||||||||
Total Pass-through RMBS
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2,251,940
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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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33,227
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(46,237
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)
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Interest-Only Securities
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52,188
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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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(7,660
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)
|
6,081
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||||||||||||||
Inverse Interest-Only Securities
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76,342
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1
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6.15
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%
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n/
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a
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2,513
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(4,295
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)
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|||||||||||||||
Structured RMBS
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128,530
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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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(5,147
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)
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1,786
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||||||||||||||
Total Mortgage Assets
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$
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2,380,470
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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/
|
a
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$
|
28,080
|
$
|
(44,451
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)
|
|||||||||||
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
|
$
|
453,846
|
Dec-2019
|
$
|
(4,478
|
)
|
$
|
7,375
|
||||||||||||||||
Treasury Futures Contracts - Short Positions
|
185,000
|
Dec-2026
|
(7,424
|
)
|
7,378
|
|||||||||||||||||||
Payer Swaps
|
600,000
|
Feb-2020
|
(9,715
|
)
|
9,715
|
|||||||||||||||||||
TBA Short Positions
|
135,000
|
Nov-2016
|
(1,490
|
)
|
2,682
|
|||||||||||||||||||
Grand Total
|
$
|
4,973
|
$
|
(17,301
|
)
|
(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)
|
Treasury futures contracts were valued at a price of $129.63 at October 31, 2016. The nominal value of the short position was $239.8 million.
|