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 December 8, 2016
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Date: December 8, 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 December 8, 2016
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December 2016 Monthly Dividend of $0.14 Per Share
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RMBS Portfolio Characteristics as of November 30, 2016
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RMBS Valuation Characteristics
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RMBS Assets by Agency
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Investment Company Act of 1940 (Whole Pool) Test Results
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Repurchase Agreement Exposure by Counterparty
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ 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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Nov 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 Dec)
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||||||||||||||||||
As of November 30, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$
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1,938
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$
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2,057
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106.13
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0.08
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%
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3.50
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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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44,831
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45,924
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102.44
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1.81
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%
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2.55
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%
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6.42
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%
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|||||||||||||||
Hybrid Adjustable Rate RMBS
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44,831
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45,924
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102.44
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1.81
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%
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2.55
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%
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6.42
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%
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|||||||||||||||
15 Year Fixed Rate RMBS
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86,213
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89,932
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104.31
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3.54
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%
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3.28
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%
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14.70
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%
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|||||||||||||||
20 Year Fixed Rate RMBS
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410,784
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439,804
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107.06
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17.33
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%
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4.00
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%
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8.78
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%
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|||||||||||||||
30 Year Fixed Rate RMBS
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1,681,902
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1,817,048
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108.04
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71.61
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%
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4.33
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%
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8.67
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%
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|||||||||||||||
Total Fixed Rate RMBS
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2,178,899
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2,346,784
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107.71
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92.48
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%
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4.22
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%
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8.93
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%
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|||||||||||||||
Total Pass-through RMBS
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2,225,668
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2,394,765
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107.60
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94.37
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%
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4.19
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%
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8.87
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%
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|||||||||||||||
Interest-Only Securities
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534,146
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61,345
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11.48
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2.42
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%
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3.56
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%
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18.81
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%
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|||||||||||||||
Inverse Interest-Only Securities
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385,436
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81,472
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21.14
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3.21
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%
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5.58
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%
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14.48
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%
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|||||||||||||||
Structured RMBS
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919,582
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142,817
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15.53
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5.63
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%
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4.71
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%
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17.00
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%
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|||||||||||||||
Total Mortgage Assets
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$
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3,145,250
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$
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2,537,582
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100.00
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%
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4.22
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%
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11.25
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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 November 30, 2016
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As of November 30, 2016
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||||||||||||||||
Fannie Mae
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$
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1,890,375
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74.5
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%
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Whole Pool Assets
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$
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1,986,336
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78.3
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%
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||||||||
Freddie Mac
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637,529
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25.1
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%
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Non Whole Pool Assets
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551,246
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21.7
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%
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Ginnie Mae
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9,678
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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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2,537,582
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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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2,537,582
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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 $5.1 million purchased in November 2016 which settle in December 2016.
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Borrowings By Counterparty
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|||||||||||||
($ 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 November 30, 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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276,506
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11.6
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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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190,922
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8.1
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%
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29
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2/14/2017
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||||||||
South Street Securities, LLC
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178,406
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7.6
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%
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6
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12/21/2016
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||||||||
RBC Capital Markets, LLC
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168,792
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7.1
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%
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13
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12/13/2016
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||||||||
Goldman, Sachs & Co
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167,675
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7.1
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%
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15
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1/23/2017
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J.P. Morgan Securities LLC
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160,239
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6.8
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%
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23
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1/10/2017
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ED&F Man Capital Markets Inc
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159,388
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6.8
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%
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60
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2/13/2017
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Cantor Fitzgerald & Co
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149,977
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6.4
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%
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50
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1/23/2017
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ICBC Financial Services LLC
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140,196
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5.9
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%
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19
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12/30/2016
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Wells Fargo Bank, N.A.
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138,922
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5.9
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%
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9
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12/9/2016
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KGS-Alpha Capital Markets, L.P.
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132,172
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5.6
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%
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24
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2/24/2017
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Daiwa Securities America Inc.
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111,201
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4.7
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%
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11
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12/14/2016
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Guggenheim Securities, LLC
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94,674
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4.0
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%
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38
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1/30/2017
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Natixis, New York Branch
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94,100
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4.0
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%
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10
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12/21/2016
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Nomura Securities International, Inc.
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83,928
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3.6
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%
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16
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12/29/2016
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Mizuho Securities USA, Inc
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57,491
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2.4
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%
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7
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12/7/2016
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FHLB-Cincinnati
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52,731
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2.2
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%
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1
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12/1/2016
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Suntrust Robinson Humphrey, Inc
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3,976
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0.2
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%
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9
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12/9/2016
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||||||||
Total Borrowings
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$
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2,361,296
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100.0
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%
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21
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2/24/2017
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(1)
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In November 2016, the Company purchased assets with a fair value of approximately $5.1 million which settle in December 2016 that are expected to be funded by repurchase agreements. These anticipated borrowings are not included in the table above.
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RMBS Risk Measures
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||||||||||||||||||||||||
($ 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
|
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 November 30, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$
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2,057
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6
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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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11
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$
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(11
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)
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||||||||||||
Hybrid Adjustable Rate RMBS
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45,924
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74
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7.55
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%
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2.00
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%
|
757
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(839
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)
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|||||||||||||||
Total Fixed Rate RMBS
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2,346,784
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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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52,222
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(60,457
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)
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||||||||||||||
Total Pass-through RMBS
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2,394,765
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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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52,990
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(61,307
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)
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||||||||||||||
Interest-Only Securities
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61,345
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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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(5,990
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)
|
4,442
|
||||||||||||||
Inverse Interest-Only Securities
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81,472
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1
|
6.14
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%
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n/
|
a
|
4,963
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(6,373
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)
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|||||||||||||||
Structured RMBS
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142,817
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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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(1,027
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)
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(1,931
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)
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|||||||||||||
Total Mortgage Assets
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$
|
2,537,582
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n/
|
a
|
n/
|
a
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n/
|
a
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$
|
51,963
|
$
|
(63,238
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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
|
$
|
(5,677
|
)
|
$
|
7,375
|
||||||||||||||||
Treasury Futures Contracts - Short Positions
|
185,000
|
Dec-2026
|
(7,262
|
)
|
7,016
|
|||||||||||||||||||
Payer Swaps
|
600,000
|
Feb-2020
|
(8,837
|
)
|
8,837
|
|||||||||||||||||||
TBA Short Positions
|
200,000
|
Dec-2016
|
(3,672
|
)
|
4,758
|
|||||||||||||||||||
Grand Total
|
$
|
26,515
|
$
|
(35,252
|
)
|
(1)
|
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 $125.23 at November 30, 2016. The nominal value of the short position was $231.7 million.
|