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 January 11, 2017
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Date: January 11, 2017
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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 January 11, 2017
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January 2017 Monthly Dividend of $0.14 Per Share
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Estimated Book Value Per Share at December 31, 2016 of $10.09
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Estimated (6.2)% total return on equity for the quarter ended December 31, 2016, or (25.0)% annualized
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Estimated 1.1% total return for the year ended December 31, 2016
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RMBS Portfolio Characteristics as of December 31, 2016
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RMBS Valuation Characteristics
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RMBS Assets by Agency
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Investment Company Act of 1940 Whole Pool Test Results
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Repurchase Agreement Exposure by Counterparty
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RMBS Risk Measures
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RMBS Valuation Characteristics
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||||||||||||||||||||||||
($ in thousands)
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||||||||||||||||||||||||
Percentage
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Weighted
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Realized
|
||||||||||||||||||||||
Current
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Fair
|
Current
|
of
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Average
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Dec 2016 CPR
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|||||||||||||||||||
Asset Category
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Face
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Value
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Price
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Portfolio
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Coupon
|
(Reported in Jan)
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||||||||||||||||||
As of December 31, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
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$
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1,931
|
$
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2,062
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106.79
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0.07
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%
|
3.50
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%
|
0.06
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%
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|||||||||||||
10-1 Hybrid Rate RMBS
|
44,435
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45,459
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102.30
|
1.50
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%
|
2.55
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%
|
17.86
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%
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|||||||||||||||
Hybrid Adjustable Rate RMBS
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44,435
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45,459
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102.30
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1.50
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%
|
2.55
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%
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17.86
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%
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|||||||||||||||
15 Year Fixed Rate RMBS
|
84,574
|
87,981
|
104.03
|
2.91
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%
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3.28
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%
|
12.19
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%
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|||||||||||||||
20 Year Fixed Rate RMBS
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406,357
|
435,238
|
107.11
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14.40
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%
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4.00
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%
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9.14
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%
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|||||||||||||||
30 Year Fixed Rate RMBS
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2,145,347
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2,303,475
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107.37
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76.22
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%
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4.29
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%
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7.98
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%
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|||||||||||||||
Total Fixed Rate RMBS
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2,636,278
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2,826,694
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107.22
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93.53
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%
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4.21
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%
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8.29
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%
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|||||||||||||||
Total Pass-through RMBS
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2,682,644
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2,874,215
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107.14
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95.10
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%
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4.19
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%
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8.44
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%
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|||||||||||||||
Interest-Only Securities
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575,377
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69,726
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12.12
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2.31
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%
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3.59
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%
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17.53
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%
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|||||||||||||||
Inverse Interest-Only Securities
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379,613
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78,233
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20.61
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2.59
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%
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5.40
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%
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15.98
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%
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|||||||||||||||
Structured RMBS
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954,990
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147,959
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15.49
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4.90
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%
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4.55
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%
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16.91
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%
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|||||||||||||||
Total Mortgage Assets
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$
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3,637,634
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$
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3,022,174
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100.00
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%
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4.20
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%
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10.67
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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)
|
||||||||||||||||
Percentage
|
Percentage
|
||||||||||||||||
Fair
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of
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Fair
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of
|
||||||||||||||
Asset Category
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Value
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Portfolio
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Asset Category
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Value
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Portfolio
|
||||||||||||
As of December 31, 2016
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As of December 31, 2016
|
||||||||||||||||
Fannie Mae
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$
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2,260,402
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74.8
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%
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Whole Pool Assets
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$
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2,411,766
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79.8
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%
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||||||||
Freddie Mac
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751,987
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24.9
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%
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Non Whole Pool Assets
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610,408
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20.2
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%
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||||||||||
Ginnie Mae
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9,785
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0.3
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%
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Total Mortgage Assets
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$
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3,022,174
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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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3,022,174
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100.0
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%
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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 December 31, 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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292,833
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10.6
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%
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10
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1/26/2017
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|||||||
J.P. Morgan Securities LLC
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287,239
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10.3
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%
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26
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2/17/2017
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||||||||
Cantor Fitzgerald & Co
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250,000
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8.9
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%
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26
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2/13/2017
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||||||||
Wells Fargo Bank, N.A.
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242,554
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8.7
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%
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10
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1/12/2017
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||||||||
Mitsubishi UFJ Securities (USA), Inc
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235,913
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8.4
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%
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36
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2/14/2017
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RBC Capital Markets, LLC
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230,187
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8.2
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%
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19
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1/18/2017
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South Street Securities, LLC
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175,201
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6.3
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%
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7
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1/20/2017
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||||||||
ICBC Financial Services LLC
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165,927
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5.9
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%
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18
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1/30/2017
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ED&F Man Capital Markets Inc
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158,763
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5.7
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%
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34
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2/13/2017
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Guggenheim Securities, LLC
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150,400
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5.4
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%
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60
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3/14/2017
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KGS-Alpha Capital Markets, L.P
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148,808
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5.3
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%
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47
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3/16/2017
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Goldman, Sachs & Co
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134,670
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4.8
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%
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16
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2/17/2017
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Daiwa Securities America Inc.
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107,651
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3.9
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%
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11
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1/13/2017
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Natixis, New York Branch
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90,050
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3.2
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%
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10
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1/20/2017
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Mizuho Securities USA, Inc
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52,574
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1.9
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%
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13
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1/12/2017
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FHLB-Cincinnati
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51,907
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1.9
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%
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4
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1/3/2017
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||||||||
Nomura Securities International, Inc.
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15,238
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0.5
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%
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89
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3/29/2017
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||||||||
Suntrust Robinson Humphrey, Inc
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3,790
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0.1
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%
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7
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1/6/2017
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||||||||
Total Borrowings
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$
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2,793,705
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100.0
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%
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23
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3/29/2017
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RMBS Risk Measures
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||||||||||||||||||||||||
($ in thousands)
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||||||||||||||||||||||||
Mortgage Assets
|
||||||||||||||||||||||||
Weighted
|
||||||||||||||||||||||||
Average
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Weighted
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Weighted
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Modeled
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Modeled
|
||||||||||||||||||||
Months
|
Average
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Average
|
Interest
|
Interest
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||||||||||||||||||||
To Next
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Lifetime
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Periodic
|
Rate
|
Rate
|
||||||||||||||||||||
Fair
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Coupon Reset
|
Cap
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Cap Per Year
|
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)
|
(-50 BPS)(1)
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(+50 BPS)(1)
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||||||||||||||||||
As of December 31, 2016
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||||||||||||||||||||||||
Adjustable Rate RMBS
|
$
|
2,062
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6
|
10.05
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%
|
2.00
|
%
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$
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11
|
$
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(10
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)
|
||||||||||||
Hybrid Adjustable Rate RMBS
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45,459
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73
|
7.55
|
%
|
2.00
|
%
|
729
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(811
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)
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|||||||||||||||
Total Fixed Rate RMBS
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2,826,694
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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
|
62,865
|
(73,259
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)
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||||||||||||||
Total Pass-through RMBS
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2,874,215
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n/
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a
|
n/
|
a
|
n/
|
a
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63,605
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(74,080
|
)
|
||||||||||||||
Interest-Only Securities
|
69,726
|
n/
|
a
|
n/
|
a
|
n/
|
a
|
(6,902
|
)
|
5,232
|
||||||||||||||
Inverse Interest-Only Securities
|
78,233
|
1
|
6.14
|
%
|
n/
|
a
|
5,054
|
(6,376
|
)
|
|||||||||||||||
Structured RMBS
|
147,959
|
n/
|
a
|
n/
|
a
|
n/
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a
|
(1,848
|
)
|
(1,144
|
)
|
|||||||||||||
Total Mortgage Assets
|
$
|
3,022,174
|
n/
|
a
|
n/
|
a
|
n/
|
a
|
$
|
61,757
|
$
|
(75,224
|
)
|
|||||||||||
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
|
$
|
643,750
|
Dec-2020
|
$
|
(11,534
|
)
|
$
|
12,875
|
||||||||||||||||
Treasury Futures Contracts - Short Positions
|
465,000
|
Mar-2027
|
(18,208
|
)
|
17,174
|
|||||||||||||||||||
Payer Swaps
|
700,000
|
Dec-2021
|
(10,655
|
)
|
10,655
|
|||||||||||||||||||
TBA Short Positions
|
200,000
|
Jan-2017
|
(4,823
|
)
|
5,851
|
|||||||||||||||||||
Total Hedges
|
(45,220
|
)
|
46,555
|
|||||||||||||||||||||
Grand Total
|
$
|
16,537
|
$
|
(28,669
|
)
|
(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 $124.28 at December 31, 2016. The nominal value of the short position was $577.9 million.
|