{"id":520275,"date":"2021-07-29T16:09:50","date_gmt":"2021-07-29T20:09:50","guid":{"rendered":"https:\/\/www.marketnewsdesk.com\/index.php\/orchid-island-capital-announces-second-quarter-2021-results\/"},"modified":"2021-07-29T16:09:50","modified_gmt":"2021-07-29T20:09:50","slug":"orchid-island-capital-announces-second-quarter-2021-results","status":"publish","type":"post","link":"https:\/\/www.marketnewsdesk.com\/index.php\/orchid-island-capital-announces-second-quarter-2021-results\/","title":{"rendered":"Orchid Island Capital Announces Second Quarter 2021 Results"},"content":{"rendered":"<p>        <!--.bwalignc { text-align: center; list-style-position: inside }\n.bwalignl { text-align: left }\n.bwalignr { text-align: right; list-style-position: inside }\n.bwblockalignl { margin-left: 0px; margin-right: auto }\n.bwcellpmargin { margin-bottom: 0px; margin-top: 0px }\n.bwdoublebottom { border-bottom: double black 2.25pt }\n.bwlistcircle { list-style-type: circle }\n.bwlistdisc { list-style-type: disc }\n.bwpadl0 { padding-left: 0px }\n.bwpadl1 { padding-left: 5px }\n.bwpadl2 { padding-left: 10px }\n.bwpadl3 { padding-left: 15px }\n.bwpadl4 { padding-left: 20px }\n.bwpadl6 { padding-left: 30px }\n.bwpadr0 { padding-right: 0px }\n.bwsinglebottom { border-bottom: solid black 1pt }\n.bwtablemarginb { margin-bottom: 10px }\n.bwtopsingle { border-top: solid black 1pt }\n.bwuline { text-decoration: underline }\n.bwvertalignb { vertical-align: bottom }\n.bwvertalignt { vertical-align: top }\n.bwwidth1 { width: 1% }\n.bwwidth10 { width: 10% }\n.bwwidth100 { width: 100% }\n.bwwidth11 { width: 11% }\n.bwwidth12 { width: 12% }\n.bwwidth13 { width: 13% }\n.bwwidth14 { width: 14% }\n.bwwidth15 { width: 15% }\n.bwwidth16 { width: 16% }\n.bwwidth17 { width: 17% }\n.bwwidth2 { width: 2% }\n.bwwidth21 { width: 21% }\n.bwwidth23 { width: 23% }\n.bwwidth26 { width: 26% }\n.bwwidth3 { width: 3% }\n.bwwidth31 { width: 31% }\n.bwwidth38 { width: 38% }\n.bwwidth39 { width: 39% }\n.bwwidth4 { width: 4% }\n.bwwidth40 { width: 40% }\n.bwwidth41 { width: 41% }\n.bwwidth43 { width: 43% }\n.bwwidth44 { width: 44% }\n.bwwidth45 { width: 45% }\n.bwwidth47 { width: 47% }\n.bwwidth49 { width: 49% }\n.bwwidth5 { width: 5% }\n.bwwidth50 { width: 50% }\n.bwwidth55 { width: 55% }\n.bwwidth6 { width: 6% }\n.bwwidth61 { width: 61% }\n.bwwidth64 { width: 64% }\n.bwwidth7 { width: 7% }\n.bwwidth8 { width: 8% }\n.bwwidth9 { width: 9% }body {font:normal small Arial,Helvetica,sans-serif;color:#000;background-color:#fff;padding:24px;margin:0;} a img {border:0;} h3 {font-size:medium;color:#000;margin:0 0 1em 0; text-align:center;}-->  <\/p>\n<p class=\"bwalignc\"><b>Orchid Island Capital Announces Second Quarter 2021 Results<\/b><\/p>\n<p>VERO BEACH, Fla.&#8211;(<a href=\"http:\/\/www.businesswire.com\">BUSINESS WIRE<\/a>)&#8211;<br \/>\nOrchid Island Capital, Inc. (NYSE:ORC) (&#8220;Orchid\u201d or the &#8220;Company&#8221;), a real estate investment trust (&#8220;REIT&#8221;), today announced results of operations for the three month period ended June 30, 2021.\n<\/p>\n<p><b>Second Quarter 2021 Highlights<\/b><\/p>\n<ul class=\"bwlistdisc\">\n<li>\nNet loss of $16.9 million, or $0.17 per common share, which consists of:<\/p>\n<ul class=\"bwlistcircle\">\n<li>\nNet interest income of $27.7 million, or $0.28 per common share\n<\/li>\n<li>\nTotal expenses of $3.7 million, or $0.04 per common share\n<\/li>\n<li>\nNet realized and unrealized losses of $40.8 million, or $0.41 per common share, on RMBS and derivative instruments, including net interest expense on interest rate swaps\n<\/li>\n<\/ul>\n<\/li>\n<li>\nSecond quarter total dividends declared and paid of $0.195 per common share\n<\/li>\n<li>\nBook value per common share of $4.71 at June 30, 2021\n<\/li>\n<li>\nTotal return of (0.7)%, comprised of $0.195 dividend per common share and $0.23 decrease in book value per common share, divided by beginning book value per common share\n<\/li>\n<li>\nCompany to discuss results on Friday, July 30, 2021, at 10:00 AM ET\n<\/li>\n<li>\nSupplemental materials to be discussed on the call can be downloaded from the investor relations section of the Company\u2019s website at <a rel=\"nofollow\" href=\"https:\/\/cts.businesswire.com\/ct\/CT?id=smartlink&amp;url=https%3A%2F%2Fir.orchidislandcapital.com&amp;esheet=52468462&amp;newsitemid=20210729006123&amp;lan=en-US&amp;anchor=https%3A%2F%2Fir.orchidislandcapital.com&amp;index=1&amp;md5=fe36c1ca0ae6bcb6df411cd8a3c8d604\">https:\/\/ir.orchidislandcapital.com<\/a><\/li>\n<\/ul>\n<p><b>Management Commentary<\/b><\/p>\n<p>\nCommenting on the second quarter results, Robert E. Cauley, Chairman and Chief Executive Officer, said, \u201cThe economy continued its strong recovery from the COVID pandemic during the second quarter of 2021. The surge in COVID cases that occurred during the first quarter of 2021 abated quickly as inoculations of the new vaccines were widely distributed throughout the population. The economic data released during the second quarter tells the story quite well. GDP is estimated to have expanded at an 8.0% annualized rate. The housing market is stronger than it was leading up to the financial crisis. Price pressures are evident due to the combination of constrained supply channels and robust demand. The CPI increased by well over 5% year over year in June as well. As economic activity and inflation accelerated during the second quarter of 2021, market participants anticipated interest rates would continue to rise as they had done during the first quarter of the year. This did not occur. In fact, over the course of the quarter, longer term interest rates declined slowly \u2013 by 27.2 basis points in the case of the 10-year treasury note and 32.5 basis points in the case of the 30-year bond. Since quarter end, rates have accelerated their decline, especially so as the delta variant of COVID has appeared to spread at an accelerating rate across both the US and the globe. Market positioning \u2013 heavily skewed towards short positions \u2013 likely played the primary role in this outcome initially. The Federal Reserve (the \u201cFed\u201d) has insisted these price pressures are temporary and, based on the persistence of these interest rate moves, the market appears to agree. However, not all members of the Federal Open Market Committee or market participants agree. Herein lies the quandary.\n<\/p>\n<p>\n\u201cWhen we last spoke on our first quarter earnings call, we mentioned we were positioning the portfolio defensively in light of the recovery, and this has not changed. The portfolio retains a bias towards higher rates and the probable tapering of MBS asset purchases by the Fed. While the leadership of the Fed insists their policy will remain accommodative for some time, other Fed officials have hinted at the need for tapering much sooner and the strength of the housing market appears to confirm this. As a mortgage REIT focused solely of the Agency RMBS market, we do not have the option of eliminating our exposure to the sector. What we can do is minimize our exposure to the sub-sectors of the Agency RMBS market that will be most adversely affected by the tapering when it does occur. We believe that these will be the coupons the Fed buys as part of their asset purchase programs. To wit, we have essentially no exposure to Ginnie Mae fixed rate RMBS and very little exposure to 15 and 30-year production coupons. We reduced our exposure to these sectors during the first quarter of 2021. The extremely rich valuations of these securities prevented us from adding subsequently, especially with the inevitable tapering on the horizon. While this strategy prevents us from taking advantage of the very attractive dollar roll opportunities available in many of these securities, especially 30-year, fixed rate production coupons, we have been able to earn attractive returns in other sectors of the Agency RMBS market.\n<\/p>\n<p>\n\u201cOrchid was able to raise approximately $125 million of additional capital during the second quarter at very accretive levels \u2013 our weighted average net selling price was approximately $5.42 per share during the second quarter. We have deployed the proceeds into higher coupon, specified pools and interest only securities. Our capital allocation to interest only and inverse interest only securities increased from 9.5% at March 31, 2021, to 18.0% at June 30, 2021. We have increased the allocation slightly more so far in the third quarter and may continue to do so, with a soft target of 25%. With the persistent rally in long-term rates, we are quite happy with the performance of the portfolio in terms of prepayment speeds, as the portfolio prepaid at 12.9 CPR in the aggregate for the second quarter versus 12.0 CPR in the first. The pass-through portfolio increased from 9.9 CPR during the first quarter to 10.9 CPR in the second, a very modest increase. Our realized net interest margin for the quarter was flat with the level in the first quarter.\n<\/p>\n<p>\n\u201cWhile we did raise additional capital during the quarter, we have been judicious in putting it to work. Our leverage ratio has declined from 9.1 to 1 at March 31, 2021, to 8.2 to 1 at June 30, 2021. We maintained some dry powder to be deployed as our asset class has cheapened, which started to occur in mid-June and into early July. We are pleased to be able to put this capital to work at far more attractive levels than existed prior to mid-June.\u201d\n<\/p>\n<p><b>Details of Second Quarter 2021 Results of Operations<\/b><\/p>\n<p>\nThe Company reported net loss of $16.9 million for the three month period ended June 30, 2021, compared with net income of $48.8 million for the three month period ended June 30, 2020. The Company increased its Agency RMBS portfolio over the course of the second quarter of 2021 through capital raised through two follow-on offerings completed in the first quarter of 2021 and shares issued through the ATM program in the second quarter of 2021. Interest income on the portfolio in the second quarter was up approximately $2.4 million from the first quarter of 2021. The yield on our average MBS declined from 2.66% in the first quarter of 2021 to 2.60% for the second quarter of 2021, repurchase agreement borrowing costs declined from 0.20% for the first quarter of 2021 to 0.14% for the second quarter of 2021, and our net interest spread remained level at 2.46% in both the first and second quarters of 2021.\n<\/p>\n<p>\nBook value decreased by $0.23 per share in the second quarter of 2021. The decrease in book value reflects our net loss of $0.17 per share and the dividend distribution of $0.195 per share, offset by approximately $0.14 per share added through our capital raising activities. The Company recorded net realized and unrealized losses of $0.41 per share on Agency RMBS assets and derivative instruments, including net interest expense on interest rate swaps.\n<\/p>\n<p><b>Prepayments<\/b><\/p>\n<p>\nFor the quarter ended June 30, 2021, Orchid received $135.5 million in scheduled and unscheduled principal repayments and prepayments, which equated to a 3-month constant prepayment rate (\u201cCPR\u201d) of approximately 12.9%. Prepayment rates on the two RMBS sub-portfolios were as follows (in CPR):\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwtopsingle bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Structured<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>PT RMBS<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>RMBS<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Three Months Ended<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio (%)<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio (%)<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth23\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio (%)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nJune 30, 2021\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n10.9\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n29.9\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n12.9\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMarch 31, 2021\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n9.9\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n40.3\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n12.0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nDecember 31, 2020\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n16.7\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n44.3\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n20.1\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSeptember 30, 2020\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n14.3\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n40.4\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n17.0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nJune 30, 2020\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n13.9\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n35.3\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n16.3\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth31\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMarch 31, 2020\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n9.8\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n22.9\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth23 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n11.9\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p><b>Portfolio<\/b><\/p>\n<p>\nThe following tables summarize certain characteristics of Orchid\u2019s PT RMBS (as defined below) and structured RMBS as of June 30, 2021 and December 31, 2020:\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Percentage<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>of<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Maturity<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Fair<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Entire<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>in<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Longest<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Asset Category<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Value<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Coupon<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Months<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Maturity<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>June 30, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFixed Rate RMBS\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,574,539\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n97.9%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.97%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n335\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1-Jul-51\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Mortgage-backed Pass-through\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,574,539\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n97.9%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.97%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n335\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1-Jul-51\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nInterest-Only Securities\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n92,709\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.63%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n290\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n25-May-51\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nInverse Interest-Only Securities\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,991\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.79%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n307\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n15-Jun-42\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Structured RMBS\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n96,700\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.64%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n291\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n25-May-51\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Mortgage Assets\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,671,239\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n100.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.06%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n329\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1-Jul-51\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>December 31, 2020<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFixed Rate RMBS\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,560,746\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n95.5%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.09%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n339\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1-Jan-51\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFixed Rate CMOs\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n137,453\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.00%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n312\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n15-Dec-42\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Mortgage-backed Pass-through\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,698,199\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n99.2%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.13%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n338\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1-Jan-51\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nInterest-Only Securities\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n28,696\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.8%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.98%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n268\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n25-May-50\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Structured RMBS\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n28,696\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.8%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.98%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n268\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n25-May-50\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth41\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Mortgage Assets\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,726,895\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth13\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n100.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.19%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n333\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1-Jan-51\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>June 30, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>December 31, 2020<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Percentage of<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Percentage of<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Agency<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Fair Value<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Entire Portfolio<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Fair Value<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Entire Portfolio<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFannie Mae\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,773,957\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n80.8%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2,733,960\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n73.4%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFreddie Mac\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n897,282\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n19.2%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n992,935\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n26.6%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Portfolio\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,671,239\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n100.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,726,895\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n100.0%\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0 bwwidth64\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>June 30, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>December 31, 2020<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth64\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nWeighted Average Pass-through Purchase Price\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n107.37\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n107.43\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth64\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nWeighted Average Structured Purchase Price\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n17.88\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n20.06\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth64\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nWeighted Average Pass-through Current Price\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n106.65\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n108.94\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth64\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nWeighted Average Structured Current Price\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n14.48\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n10.87\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth64\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nEffective Duration <sup>(1)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.830\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.360\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nEffective duration of 3.830 indicates that an interest rate increase of 1.0% would be expected to cause a 3.830% decrease in the value of the RMBS in the Company\u2019s investment portfolio at June 30, 2021. An effective duration of 2.360 indicates that an interest rate increase of 1.0% would be expected to cause a 2.360% decrease in the value of the RMBS in the Company\u2019s investment portfolio at December 31, 2020. These figures include the structured securities in the portfolio, but do not include the effect of the Company\u2019s funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p><b>Financing, Leverage and Liquidity<\/b><\/p>\n<p>\nAs of June 30, 2021, the Company had outstanding repurchase obligations of approximately $4,514.7 million with a net weighted average borrowing rate of 0.13%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $4,678.1 million and cash pledged to counterparties of approximately $79.1 million. The Company\u2019s leverage ratio at June 30, 2021 was 8.2 to 1. At June 30, 2021, the Company\u2019s liquidity was approximately $278.5 million, consisting of unpledged RMBS and cash and cash equivalents. To enhance our liquidity even further, we may pledge more of our structured RMBS as part of a repurchase agreement funding, but retain the cash in lieu of acquiring additional assets. In this way we can, at a modest cost, retain higher levels of cash on hand and decrease the likelihood we will have to sell assets in a distressed market in order to raise cash. Below is a list of our outstanding borrowings under repurchase obligations at June 30, 2021.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Outstanding<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>% of<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Borrowing<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Amount<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Maturity<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Counterparty<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Balances<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>at Risk<sup>(1)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>in Days<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMirae Asset Securities (USA) Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n393,954\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n8.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.14%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n20,940\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n34\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nWells Fargo Bank, N.A.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n378,394\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n8.4%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.12%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n20,234\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n14\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMitsubishi UFJ Securities (USA), Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n355,357\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7.9%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.20%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n30,369\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n20\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nJ.P. Morgan Securities LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n345,476\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.18%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n19,414\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n62\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nASL Capital Markets Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n342,467\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7.6%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.11%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n19,165\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n19\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nRBC Capital Markets, LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n295,929\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n6.6%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.11%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n14,968\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n33\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCantor Fitzgerald &amp; Co.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n276,727\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n6.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.11%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n15,599\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n35\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nABN AMRO Bank N.V.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n222,136\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.9%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.12%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7,435\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n23\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nED&amp;F Man Capital Markets Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n204,081\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.5%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.15%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n11,798\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n24\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nING Financial Markets LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n201,506\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.5%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.12%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n8,446\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n21\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nNomura Securities International, Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n201,196\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.5%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.11%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n10,993\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n27\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCitigroup Global Markets, Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n197,170\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.4%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.12%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n10,673\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n12\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nBarclays Capital Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n150,511\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.3%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.12%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,428\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n12\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nGoldman Sachs &amp; Co. LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n147,558\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.3%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.11%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n8,152\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n42\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMerrill Lynch, Pierce, Fenner &amp; Smith Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n141,275\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.14%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,800\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n14\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nBMO Capital Markets Corp.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n140,261\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.12%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7,129\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n27\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nDaiwa Capital Markets America, Inc.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n121,577\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.12%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,923\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n39\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSantander Bank, N.A.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n101,468\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.2%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.13%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n6,276\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n85\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAustin Atlantic Asset Management Co.\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n101,075\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.2%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.14%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,851\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n1\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSouth Street Securities, LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n98,634\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.2%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.14%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,140\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n66\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nLucid Cash Fund USG LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n51,605\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.10%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2,978\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n15\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nJ.V.B. Financial Group, LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n32,945\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.11%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,687\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n24\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nLucid Prime Fund LLC\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n13,402\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.3%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.23%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,699\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n15\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth43\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal \/ Weighted Average\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,514,704\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n100.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.13%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth11\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n245,097\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n29\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nEqual to the sum of the fair value of securities sold, accrued interest receivable and cash posted as collateral (if any), minus the sum of repurchase agreement liabilities, accrued interest payable and the fair value of securities posted by the counterparties (if any).\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p><b>Hedging<\/b><\/p>\n<p>\nIn connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding against a rise in interest rates by entering into derivative financial instrument contracts. The Company has not elected hedging treatment under U.S. generally accepted accounting principles (\u201cGAAP\u201d) in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option election. As such, all gains or losses on these instruments are reflected in earnings for all periods presented. At June 30, 2021, such instruments were comprised of Eurodollar and Treasury note (\u201cT-Note\u201d) futures contracts, interest rate swap agreements, interest rate swaption agreements, and to-be-announced (\u201cTBA\u201d) securities transactions.\n<\/p>\n<p>\nThe table below presents information related to the Company\u2019s Eurodollar and T-Note futures contracts at June 30, 2021.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Contract<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Notional<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Entry<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Effective<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Open<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Expiration Year<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Amount<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Equity<sup>(1)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Eurodollar Futures Contracts (Short Positions)<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2021\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n50,000\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n1.00%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n0.17%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth5\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(207\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Treasury Note Futures Contracts (Short Positions)<sup>(2)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSeptember 2021 5-year T-Note futures\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl4 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n(Sep 2021 &#8211; Sep 2026 Hedge Period)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n269,000\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n1.08%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n1.16%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth5\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n788\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSeptember 2021 10-year Ultra futures\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl4 bwwidth55\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n(Sep 2021 &#8211; Sep 2031 Hedge Period)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n23,500\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwalignc bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n1.19%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n1.02%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth5\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(608\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nOpen equity represents the cumulative gains (losses) recorded on open futures positions from inception.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n5-Year T-Note futures contracts were valued at a price of $123.43 at June 30, 2021. The contract values of the short positions were $332.0 million at June 30, 2021. 10-Year Ultra futures contracts were valued at a price of $147.20 at June 30, 2021. The contract value of the short position was $34.6 million at June 30, 2021.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p>\nThe table below presents information related to the Company\u2019s interest rate swap positions at June 30, 2021.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Net<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Fixed<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Estimated<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Notional<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Pay<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Receive<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Fair<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Maturity<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Expiration<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Amount<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Value<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>(Years)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n&gt; 3 to \u2264 5 years\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n955,000\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.64\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.16\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n8,134\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignc bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n4.5\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n&gt; 5 years\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n400,000\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.16\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.13\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(282\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwalignc bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n7.8\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth26\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,355,000\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.79\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.15\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7,852\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwalignc bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n5.5\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p>\nThe following table presents information related to our interest rate swaption positions as of June 30, 2021.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth8\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"8\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Option<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"10\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Underlying Swap<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth8\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Weighted<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Adjustable<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth8\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Fair<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Months to<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Notional<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Fixed<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth8\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Term<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Expiration<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Cost<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Value<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Expiration<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Amount<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>(LIBOR)<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth8\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>(Years)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Payer Swaptions &#8211; long<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth8\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u2264 1 year\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth6\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,000\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,959\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n9.2\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n400,000\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth5\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.66\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n3 Month\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth8 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n5.0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n&gt;1 year \u2264 2 years\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth6\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n25,390\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n24,323\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n19.1\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,027,200\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth5\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.20\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n3 Month\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth8 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n15.0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth6\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n29,390\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n26,282\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n16.3\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,427,200\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth5\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.05\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n3 Month\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth8 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n12.2\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Payer Swaptions &#8211; short<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth8\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth21\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u2264 1 year\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth6\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(13,400\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth7\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(10,358\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n7.8\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1,182,850\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth5\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.10\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n3 Month\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth8 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\">\n11.6\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p>\nThe following table summarizes our contracts to sell TBA securities as of June 30, 2021.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Notional<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Net<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Amount<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Cost<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Market<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Carrying<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Long (Short)<sup>(1)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Basis<sup>(2)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Value<sup>(3)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Value<sup>(4)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>June 30, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b><i>30-Year TBA securities:<\/i><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl6 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n3.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(400,000)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(417,750)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(416,875)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwsinglebottom bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n875\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(400,000)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(417,750)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(416,875)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n875\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwwidth38\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\" \/>\n<td class=\"bwpadl0 bwwidth12\" rowspan=\"1\" colspan=\"1\">\u00a0<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nNotional amount represents the par value (or principal balance) of the underlying Agency RMBS.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCost basis represents the forward price to be paid (received) for the underlying Agency RMBS.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMarket value represents the current market value of the TBA securities (or of the underlying Agency RMBS) as of period-end.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nNet carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) at fair value in our balance sheets.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p><b>Dividends<\/b><\/p>\n<p>\nIn addition to other requirements that must be satisfied to qualify as a REIT, we must pay annual dividends to our stockholders of at least 90% of our REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gains. We intend to pay regular monthly dividends to our stockholders and have declared the following dividends since our February 2013 IPO.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"7\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><i>(in thousands, except per share data)<\/i><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Year<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Per Share<br \/>\n<br \/>Amount<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2013\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.395\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,662\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2014\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.160\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n22,643\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2015\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.920\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n38,748\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2016\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.680\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n41,388\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2017\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.680\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n70,717\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2018\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.070\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n55,814\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2019\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.960\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n54,421\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2020\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.790\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n53,570\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignl bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n2021 &#8211; YTD<sup>(1)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.455\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n45,460\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth50\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotals\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth4\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n12.110\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth4 bwalignr\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n387,423\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nOn July 14, 2021, the Company declared a dividend of $0.065 per share to be paid on August 27, 2021. The effect of this dividend is included in the table above but is not reflected in the Company\u2019s financial statements as of June 30, 2021.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p><b>Peer Performance<\/b><\/p>\n<p>\nThe tables below present total return data for Orchid compared to a selected group of peers based on stock price performance for periods through June 30, 2021 and based on book value performance for periods through March 31, 2021.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"7\" class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio Total Rate of Return Versus Peer Group Average &#8211; Stock Price Performance<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>ORC Spread<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>ORC<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Over \/ (Under)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Peer<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Peer<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>of Return<sup>(1)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<sup>(1)(2)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<sup>(3)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nYear to Date (1\/1\/2021 \u2013 6\/30\/2021)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n6.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n12.6%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(5.9)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nOne Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n27.3%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n45.4%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(18.1)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTwo Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n12.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.6%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n9.5%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nThree Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n9.2%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2.2)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n11.4%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFour Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2.0)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1.1)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.9)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFive Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n10.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n23.5%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(13.5)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSix Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n20.3%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n35.9%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(15.6)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSeven Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n20.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n30.0%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(9.3)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth47\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nInception to Date (2\/13\/2013 \u2013 6\/30\/2021)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n28.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n21.3%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n6.8%\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td colspan=\"2\" class=\"bwvertalignt bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><i>Source: SEC filings and press releases of Orchid and Peer Group<\/i><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Rate of Return for each period is obtained from Bloomberg and includes reinvested dividends for each period. Returns are calculated on a monthly basis and compounded for each respective period.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nThe peer average is the unweighted, simple, average of the total rate of return for each of the following companies based on the following inclusion periods. AGNC, NLY, ANH, ARR and CMO have been included since Orchid\u2019s inception. ANH is included from Orchid\u2019s inception to Q1 2021. HTS is included from Orchid\u2019s inception to Q1 2016. MTGE is included from Q1 2017 to Q2 2018. CYS is included from Orchid\u2019s inception to Q2 2018. WMC is included from Orchid\u2019s inception to Q4 2018. DX was added in Q1 2017. AAIC and CHMI were added in Q1 2019.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nRepresents the total rate of return for Orchid minus peer average in each respective measurement period.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"7\" class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio Total Rate of Return Versus Peer Group Average &#8211; Book Value Performance<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>ORC Spread<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>ORC<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Over \/ (Under)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total Rate<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Peer<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Peer<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>of Return<sup>(1)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<sup>(1)(2)<\/sup><\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Average<sup>(3)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nOne Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n22.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n21.1%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.0%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTwo Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2.2)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(7.4)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5.2%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nThree Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(5.6)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(8.2)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.6%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFour Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(6.7)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2.9)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3.8)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nFive Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3.3)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.5%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(6.8)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSix Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3.8)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1.3)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2.5)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nSeven Year Total Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n16.7%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n12.4%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.3%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth49\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nInception to Date (3\/31\/2013 &#8211; 3\/31\/2021)<sup>(4)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth14\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n11.9%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.5%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n11.4%\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td colspan=\"2\" class=\"bwvertalignt bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><i>Source: SEC filings and press releases of Orchid and Peer Group<\/i><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal rate of return for each period is change in book value per share over the period plus dividends per share declared divided by the book value per share at the beginning of the period. None of the return calculations are annualized except for the stub 2013 calculation.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nThe peer average is the unweighted, simple, average of the total rate of return for each of the following companies based on the following inclusion periods. AGNC, NLY, ANH, ARR and CMO have been included since Orchid\u2019s inception. ANH is included from Orchid\u2019s inception to Q1 2021. HTS is included from Orchid\u2019s inception to Q1 2016. MTGE is included from Q1 2017 to Q2 2018. CYS is included from Orchid\u2019s inception to Q2 2018. WMC is included from Orchid\u2019s inception to Q4 2018. DX was added in Q1 2017. AAIC and CHMI were added in Q1 2019.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nRepresents the total rate of return for Orchid minus peer average in each respective measurement period.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nPeer book values are not available for Orchid\u2019s true inception date (2\/13\/2013). Because all peer book values are not available as of Orchid\u2019s true inception date (2\/13\/2013), the starting point for Orchid and all of the peer companies is 3\/31\/2013.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p><b>Book Value Per Share<\/b><\/p>\n<p>\nThe Company&#8217;s book value per share at June 30, 2021 was $4.71. The Company computes book value per share by dividing total stockholders&#8217; equity by the total number of shares outstanding of the Company&#8217;s common stock. At June 30, 2021, the Company&#8217;s stockholders&#8217; equity was $553.8 million with 117,500,013 shares of common stock outstanding.\n<\/p>\n<p><b>Capital Allocation and Return on Invested Capital<\/b><\/p>\n<p>\nThe Company allocates capital to two RMBS sub-portfolios, the pass-through RMBS portfolio, consisting of mortgage pass-through certificates issued by Fannie Mae, Freddie Mac or Ginnie Mae (the \u201cGSEs\u201d) and collateralized mortgage obligations (\u201cCMOs\u201d) issued by the GSEs (\u201cPT RMBS\u201d), and the structured RMBS portfolio, consisting of interest-only (\u201cIO\u201d) and inverse interest-only (\u201cIIO\u201d) securities. As of March 31, 2021, approximately 90% of the Company\u2019s investable capital (which consists of equity in pledged PT RMBS, available cash and unencumbered assets) was deployed in the PT RMBS portfolio. At June 30, 2021, the allocation to the PT RMBS portfolio decreased by 8% to approximately 82%.\n<\/p>\n<p>\nThe table below details the changes to the respective sub-portfolios during the quarter, as well as the returns generated by each.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"17\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><i>(in thousands)<\/i><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"17\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio Activity for the Quarter<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwwidth39 bwpadl1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"9\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Structured Security Portfolio<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwwidth39 bwpadl1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Pass-Through<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Interest-Only<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Inverse Interest<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwwidth39 bwpadl1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Securities<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Only Securities<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Sub-total<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Market value &#8211; March 31, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>4,297,731<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>35,521<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>5,284<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>40,805<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>4,338,536<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\nSecurities purchased\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n939,022\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n71,739\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n71,739\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,010,761\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\nSecurities sold\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(537,538\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(537,538\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\nGains on sales\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,352\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,352\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\nReturn of investment\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(5,149\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(441\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(5,590\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(5,590\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\nPay-downs\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(129,001\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(129,001\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\nPremium lost due to pay-downs\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(9,184\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(9,184\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\nMark to market gains (losses)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n12,157\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(9,402\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(852\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(10,254\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,903\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"2\" class=\"bwvertalignb bwdoublebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Market value &#8211; June 30, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>4,574,539<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>92,709<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>3,991<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>96,700<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\"><b>$<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\"><b>4,671,239<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p>\nThe tables below present the allocation of capital between the respective portfolios at June 30, 2021 and March 31, 2021, and the return on invested capital for each sub-portfolio for the three month period ended June 30, 2021. The return on invested capital in the PT RMBS and structured RMBS portfolios was approximately (0.7)% and (25.2)%, respectively, for the second quarter of 2021. The combined portfolio generated a return on invested capital of approximately (3.1)%.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"16\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"16\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Capital Allocation<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"9\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Structured Security Portfolio<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Pass-Through<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Interest-Only<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Inverse Interest<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Securities<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Only Securities<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Sub-total<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>June 30, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMarket value\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,574,539\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n92,709\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,991\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n96,700\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,671,239\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCash\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n379,718\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n379,718\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nBorrowings<sup>(1)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4,514,704\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4,514,704\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl4 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n439,553\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n92,709\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,991\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n96,700\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n536,253\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl4 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n% of Total\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n82.0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n17.3\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.7\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n18.0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n100.0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>March 31, 2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nMarket value\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,297,731\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n35,521\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,284\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n40,805\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,338,536\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCash<sup>(2)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n271,332\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n271,332\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nBorrowings<sup>(3)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4,181,680\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4,181,680\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl4 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n387,383\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n35,521\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,284\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n40,805\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwalignr bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n428,188\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl4 bwwidth40\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n% of Total\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n90.5\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n8.3\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.2\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n9.5\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n100.0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n%\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAt June 30, 2021, there were outstanding repurchase agreement balances of $73.6 million secured by IO securities and $3.2 million secured by IIO securities. We entered into these arrangements to generate additional cash available to meet margin calls on PT RMBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAt March 31, 2021, cash was reduced by unsettled purchases of approximately $212.2 million and increased by unsettled sales of approximately $155.0 million, which have already been reflected in the market value of the portfolio.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAt March 31, 2021, there were outstanding repurchase agreement balances of $22.5 million secured by IO securities and $4.0 million secured by IIO securities. We entered into these arrangements to generate additional cash available to meet margin calls on PT RMBS; therefore, we have not considered these balances to be allocated to the structured securities strategy.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"16\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\"><i>($ in thousands)<\/i><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"16\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Returns for the Quarter Ended June 30, 2021<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"9\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Structured Security Portfolio<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Pass-Through<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Interest-Only<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Inverse Interest<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Portfolio<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Securities<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Only Securities<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Sub-total<\/b><\/p>\n<\/td>\n<td colspan=\"3\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Total<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nIncome \/ (loss) (net of borrowing cost)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n27,730\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(162\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n130\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(32\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n27,698\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nRealized and unrealized gains \/ (losses)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,325\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(9,402\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(852\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(10,254\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(5,929\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nDerivative losses\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(34,915\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(34,915\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl3 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Return\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2,860\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(9,564\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(722\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(10,286\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(13,146\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nBeginning Capital Allocation\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n387,383\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n35,521\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,284\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n40,805\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n428,188\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nReturn on Invested Capital for the Quarter<sup>(1)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.7\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(26.9\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\nn\/a\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(25.2\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3.1\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage Capital Allocation<sup>(2)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n413,468\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n64,115\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,638\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n68,753\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n482,221\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth45\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nReturn on Average Invested Capital for the Quarter<sup>(3)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.7\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(14.9\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(15.6\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(15.0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth9\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2.7\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth1\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)%\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCalculated by dividing the Total Return by the Beginning Capital Allocation, expressed as a percentage.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCalculated using two data points, the Beginning and Ending Capital Allocation balances.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCalculated by dividing the Total Return by the Average Capital Allocation, expressed as a percentage.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p><b>Stock Offerings<\/b><\/p>\n<p>\nOn August 4, 2020, we entered into an equity distribution agreement (the \u201cAugust 2020 Equity Distribution Agreement\u201d) with four sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $150,000,000 of shares of our common stock in transactions that were deemed to be \u201cat the market\u201d offerings and privately negotiated transactions. We issued a total of 27,493,650 shares under the August 2020 Equity Distribution Agreement for aggregate gross proceeds of approximately $150.0 million, and net proceeds of approximately $147.4 million, after commissions and fees, prior to its termination in June 2021.\n<\/p>\n<p>\nOn January 20, 2021, we entered into an underwriting agreement (the \u201cJanuary 2021 Underwriting Agreement\u201d) with J.P. Morgan Securities LLC (\u201cJ.P. Morgan\u201d), relating to the offer and sale of 7,600,000 shares of our common stock. J.P. Morgan purchased the shares of our common stock from the Company pursuant to the January 2021 Underwriting Agreement at $5.20 per share. In addition, we granted J.P. Morgan a 30-day option to purchase up to an additional 1,140,000 shares of our common stock on the same terms and conditions, which J.P. Morgan exercised in full on January 21, 2021. The closing of the offering of 8,740,000 shares of our common stock occurred on January 25, 2021, with proceeds to us of approximately $45.2 million, net of offering expenses.\n<\/p>\n<p>\nOn March 2, 2021, we entered into an underwriting agreement (the \u201cMarch 2021 Underwriting Agreement\u201d) with J.P. Morgan, relating to the offer and sale of 8,000,000 shares of our common stock. J.P. Morgan purchased the shares of our common stock from the Company pursuant to the March 2021 Underwriting Agreement at $5.45 per share. In addition, we granted J.P. Morgan a 30-day option to purchase up to an additional 1,200,000 shares of our common stock on the same terms and conditions, which J.P. Morgan exercised in full on March 3, 2021. The closing of the offering of 9,200,000 shares of our common stock occurred on March 5, 2021, with proceeds to us of approximately $50.0 million, net of offering expenses.\n<\/p>\n<p>\nOn June 22, 2021, we entered into an equity distribution agreement (the \u201cJune 2021 Equity Distribution Agreement\u201d) with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of our common stock in transactions that are deemed to be \u201cat the market\u201d offerings and privately negotiated transactions. Through June 30, 2021, we issued a total of 5,750,000 shares under the June 2021 Equity Distribution Agreement for aggregate gross proceeds of approximately $31.1 million, and net proceeds of approximately $30.6 million, after commissions and fees. Subsequent to June 30, 2021, and through July 29, 2021, we issued a total of 5,160,000 shares under the June 2021 Equity Distribution Agreement for aggregate gross proceeds of approximately $26.6 million, and net proceeds of approximately $26.2 million, after commissions and fees.\n<\/p>\n<p><b>Stock Repurchase Program<\/b><\/p>\n<p>\nOn July 29, 2015, the Board of Directors passed a resolution authorizing the repurchase of up to 2,000,000 shares of the Company\u2019s common stock. As part of the stock repurchase program, shares may be purchased in open market transactions, including through block purchases, privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases is determined by the Company in its discretion and is subject to economic and market conditions, stock price, applicable legal requirements and other factors. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company\u2019s common stock. The authorization does not obligate the Company to acquire any particular amount of common stock, and the program may be suspended or discontinued at the Company\u2019s discretion without prior notice.\n<\/p>\n<p>\nSince inception of the program through June 30, 2021, the Company repurchased a total of 5,685,511 shares under the stock repurchase program at an aggregate cost of approximately $40.4 million, including commissions and fees, for a weighted average price of $7.10 per share. However, we did not repurchase any shares of our common stock during the three months ended June 30, 2021. As of June 30, 2021, the remaining authorization under the repurchase program is for up to 837,311 shares of the Company\u2019s common stock.\n<\/p>\n<p><b>Earnings Conference Call Details<\/b><\/p>\n<p>\nAn earnings conference call and live audio webcast will be hosted Friday, July 30, 2021, at 10:00 AM ET. The conference call may be accessed by dialing toll free (833) 794-1168. International callers dial (236) 714-2726. The conference passcode is 9593539. The supplemental materials may be downloaded from the investor relations section of the Company\u2019s website at <a rel=\"nofollow\" href=\"https:\/\/cts.businesswire.com\/ct\/CT?id=smartlink&amp;url=https%3A%2F%2Fir.orchidislandcapital.com&amp;esheet=52468462&amp;newsitemid=20210729006123&amp;lan=en-US&amp;anchor=https%3A%2F%2Fir.orchidislandcapital.com&amp;index=2&amp;md5=26a59fad7b8f7270216dc44623901c2c\">https:\/\/ir.orchidislandcapital.com<\/a>. A live audio webcast of the conference call can be accessed via the investor relations section of the Company\u2019s website at <a rel=\"nofollow\" href=\"https:\/\/cts.businesswire.com\/ct\/CT?id=smartlink&amp;url=https%3A%2F%2Fir.orchidislandcapital.com&amp;esheet=52468462&amp;newsitemid=20210729006123&amp;lan=en-US&amp;anchor=https%3A%2F%2Fir.orchidislandcapital.com&amp;index=3&amp;md5=cb01962038f6f3e9d273c5b676ce6c6a\">https:\/\/ir.orchidislandcapital.com<\/a>, and an audio archive of the webcast will be available until August 30, 2021.\n<\/p>\n<p><b>About Orchid Island Capital, Inc.<\/b><\/p>\n<p>\nOrchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates and CMOs issued by the GSEs, and (ii) structured Agency RMBS, such as IOs, IIOs and principal only securities, among other types of structured Agency RMBS. Orchid is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.\n<\/p>\n<p><b>Forward Looking Statements<\/b><\/p>\n<p>\nStatements herein relating to matters that are not historical facts, including, but not limited to statements regarding interest rates, liquidity, inflation, portfolio performance, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, returns, portfolio positioning and repositioning, book value, investment and operating strategy, hedging levels, the supply and demand for Agency RMBS, the effect of actions of the U.S. government, including asset purchases by the Fed, market expectations, future dividends, the stock repurchase program and general economic conditions, are forward-looking statements as defined in the Private Securities Litigation Reform Act of 1995. The reader is cautioned that such forward-looking statements are based on information available at the time and on management&#8217;s good faith belief with respect to future events, and are subject to risks and uncertainties that could cause actual performance or results to differ materially from those expressed in such forward-looking statements. Important factors that could cause such differences are described in Orchid Island Capital, Inc.&#8217;s filings with the Securities and Exchange Commission, including its most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q. Orchid Island Capital, Inc. assumes no obligation to update forward-looking statements to reflect subsequent results, changes in assumptions or changes in other factors affecting forward-looking statements.\n<\/p>\n<p><b>Summarized Financial Statements<\/b><\/p>\n<p>\nThe following is a summarized presentation of the unaudited balance sheets as of June 30, 2021, and December 31, 2020, and the unaudited quarterly statements of operations for the six and three months ended June 30, 2021 and 2020. Amounts presented are subject to change.\n<\/p>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"5\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>ORCHID ISLAND CAPITAL, INC.<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"5\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>BALANCE SHEETS<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"5\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>($ in thousands, except per share data)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"5\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>(Unaudited &#8211; Amounts Subject to Change)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>June 30, 2021<\/b><\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>December 31, 2020<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>ASSETS:<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal mortgage-backed securities\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,671,239\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,726,895\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCash, cash equivalents and restricted cash\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n379,718\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n299,506\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAccrued interest receivable\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n12,547\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n9,721\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nDerivative assets, at fair value\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n43,735\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n20,999\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nReceivable for securities sold\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n&#8211;\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n414\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nOther assets\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n688\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n516\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Total Assets<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,107,927\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,058,051\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>LIABILITIES AND STOCKHOLDERS&#8217; EQUITY<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nRepurchase agreements\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,514,704\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,595,586\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nDividends payable\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7,663\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,970\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nDerivative liabilities, at fair value\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n16,769\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n33,227\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAccrued interest payable\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,042\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1,157\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nDue to affiliates\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n794\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n632\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nOther liabilities\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n13,134\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7,188\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nTotal Liabilities\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,554,106\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,642,760\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Total Stockholders&#8217; Equity<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n553,821\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n415,291\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Total Liabilities and Stockholders&#8217; Equity<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5,107,927\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,058,051\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nCommon shares outstanding\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n117,500,013\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n76,073,317\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nBook value per share\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth17\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4.71\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth16\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n5.46\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td colspan=\"13\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>ORCHID ISLAND CAPITAL, INC.<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"13\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>STATEMENTS OF OPERATIONS<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"13\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>($ in thousands, except per share data)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td colspan=\"13\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>(Unaudited &#8211; Amounts Subject to Change)<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"6\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b><span class=\"bwuline\">Six Months Ended June 30,<\/span><\/b><\/p>\n<\/td>\n<td colspan=\"6\" class=\"bwvertalignb bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b><span class=\"bwuline\">Three Months Ended June 30,<\/span><\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\"><b>2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\"><b>2020<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\"><b>2021<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10 bwalignc\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\"><b>2020<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nInterest income\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n56,110\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n62,929\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n29,254\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n27,258\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nInterest expense\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3,497\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(21,002\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1,556\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4,479\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nNet interest income\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n52,613\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n41,927\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n27,698\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n22,779\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n(Losses) gains on RMBS and derivative contracts\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(91,635\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(79,457\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(40,844\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n28,749\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nNet portfolio (loss) income\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(39,022\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(37,530\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(13,146\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n51,528\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nExpenses\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n7,212\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,897\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,719\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2,756\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Net (loss) income<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(46,234\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(42,427\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(16,865\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n48,772\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Basic net (loss) income per share<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.50\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.65\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.17\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.74\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Diluted net (loss) income per share<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.50\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.65\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(0.17\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n)\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.73\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Weighted Average Shares Outstanding<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n92,456,082\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n65,408,722\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n99,489,065\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n66,310,219\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwdoublebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth44\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Dividends Declared Per Common Share:<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.390\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.405\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.195\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth10\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.165\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignl\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl bwwidth100\">\n<tr>\n<td class=\"bwvertalignb bwtopsingle bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwtopsingle bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"4\" class=\"bwvertalignb bwtopsingle bwsinglebottom bwpadl0\" rowspan=\"1\">\n<p class=\"bwalignc bwcellpmargin\"><b>Three Months Ended June 30,<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Key Balance Sheet Metrics<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwalignc\" rowspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\"><b>2021<\/b><\/p>\n<\/td>\n<td colspan=\"2\" class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwalignc\" rowspan=\"1\">\n<p class=\"bwcellpmargin bwalignc\"><b>2020<\/b><\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage RMBS<sup>(1)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3 bwpadr0\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,504,887\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3 bwpadr0\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin bwalignr\">\n$\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3,126,779\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage repurchase agreements<sup>(1)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n4,348,192\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2,992,494\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage stockholders&#8217; equity<sup>(1)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n509,999\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n327,057\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nLeverage ratio<sup>(2)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n8.2:1\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n9.7:1\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\"><b>Key Performance Metrics<\/b><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage yield on RMBS<sup>(3)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.60%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n3.49%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage cost of funds<sup>(3)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.14%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.60%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage economic cost of funds<sup>(4)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n0.61%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.37%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage interest rate spread<sup>(5)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.46%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.89%\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth61\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage economic interest rate spread<sup>(6)<\/sup><\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n1.99%\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwwidth3\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\n\u00a0\n<\/p>\n<\/td>\n<td class=\"bwvertalignb bwsinglebottom bwpadl0 bwpadr0 bwwidth15\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n2.12%\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<table cellspacing=\"0\" class=\"bwtablemarginb bwblockalignl\">\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(1)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage RMBS, borrowings and stockholders\u2019 equity balances are calculated using two data points, the beginning and ending balances.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(2)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nThe leverage ratio is calculated by dividing total ending liabilities by ending stockholders\u2019 equity.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(3)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nPortfolio yields and costs of funds are calculated based on the average balances of the underlying investment portfolio\/borrowings balances and are annualized for the quarterly periods presented.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(4)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nRepresents the interest cost of our borrowings and the effect of derivative agreements attributed to the period related to hedging activities, divided by average borrowings.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(5)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage interest rate spread is calculated by subtracting average cost of funds from average yield on RMBS.\n<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td class=\"bwpadl0 bwpadr0 bwvertalignt\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwalignr bwcellpmargin\">\n(6)\n<\/p>\n<\/td>\n<td class=\"bwvertalignt bwpadl2\" rowspan=\"1\" colspan=\"1\">\n<p class=\"bwcellpmargin\">\nAverage economic interest rate spread is calculated by subtracting average economic cost of funds from average yield on RMBS.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n<p>\n\u00a0\n<\/p>\n<p><img decoding=\"async\" alt=\"\" src=\"https:\/\/cts.businesswire.com\/ct\/CT?id=bwnews&amp;sty=20210729006123r1&amp;sid=flmnd&amp;distro=nx&amp;lang=en\" style=\"width:0;height:0\" \/><span class=\"bwct31415\" \/><\/p>\n<p id=\"mmgallerylink\"><span id=\"mmgallerylink-phrase\">View source version on businesswire.com: <\/span><span id=\"mmgallerylink-link\"><a href=\"https:\/\/www.businesswire.com\/news\/home\/20210729006123\/en\/\" rel=\"nofollow\">https:\/\/www.businesswire.com\/news\/home\/20210729006123\/en\/<\/a><\/span><\/p>\n<p>\nOrchid Island Capital, Inc.<br \/>\n<br \/>Robert E. Cauley, 772-231-1400<br \/>\n<br \/>Chairman and Chief Executive Officer<br \/>\n<br \/><a rel=\"nofollow\" href=\"https:\/\/cts.businesswire.com\/ct\/CT?id=smartlink&amp;url=https%3A%2F%2Fir.orchidislandcapital.com&amp;esheet=52468462&amp;newsitemid=20210729006123&amp;lan=en-US&amp;anchor=https%3A%2F%2Fir.orchidislandcapital.com&amp;index=4&amp;md5=522ea8e9104a17fcaceac039b5fe1be9\">https:\/\/ir.orchidislandcapital.com<\/a><\/p>\n<p><b>KEYWORDS:<\/b> United States North America Florida<\/p>\n<p><b>INDUSTRY KEYWORDS:<\/b> Residential Building &amp; Real Estate Commercial Building &amp; Real Estate Construction &amp; Property REIT<\/p>\n<p><b>MEDIA:<\/b><\/p>\n<table cellpadding=\"3\" cellspacing=\"3\">\n<tr>\n<td><font face=\"Arial\" size=\"2\"><b>Logo<\/b><\/font><\/td>\n<\/tr>\n<tr>\n<td><img decoding=\"async\" src=\"https:\/\/mms.businesswire.com\/media\/20210729006123\/en\/1054780\/3\/Orchid_Logo.jpg\" alt=\"Logo\" \/><\/td>\n<\/tr>\n<tr>\n<td><font face=\"Arial\" size=\"2\"><\/font><\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>Orchid Island Capital Announces Second Quarter 2021 Results VERO BEACH, Fla.&#8211;(BUSINESS WIRE)&#8211; Orchid Island Capital, Inc. (NYSE:ORC) (&#8220;Orchid\u201d or the &#8220;Company&#8221;), a real estate investment trust (&#8220;REIT&#8221;), today announced results of operations for the three month period ended June 30, 2021. Second Quarter 2021 Highlights Net loss of $16.9 million, or $0.17 per common share, which consists of: Net interest income of $27.7 million, or $0.28 per common share Total expenses of $3.7 million, or $0.04 per common share Net realized and unrealized losses of $40.8 million, or $0.41 per common share, on RMBS and derivative instruments, including net interest expense on interest rate swaps Second quarter total dividends declared and paid of $0.195 per common share Book value per &hellip; <\/p>\n<p class=\"link-more\"><a href=\"https:\/\/www.marketnewsdesk.com\/index.php\/orchid-island-capital-announces-second-quarter-2021-results\/\" class=\"more-link\">Continue reading<span class=\"screen-reader-text\"> &#8220;Orchid Island Capital Announces Second Quarter 2021 Results&#8221;<\/span><\/a><\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-520275","post","type-post","status-publish","format-standard","hentry"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.5 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Orchid Island Capital Announces Second Quarter 2021 Results - Market Newsdesk<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.marketnewsdesk.com\/index.php\/orchid-island-capital-announces-second-quarter-2021-results\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Orchid Island Capital Announces Second Quarter 2021 Results - Market Newsdesk\" \/>\n<meta property=\"og:description\" content=\"Orchid Island Capital Announces Second Quarter 2021 Results VERO BEACH, Fla.&#8211;(BUSINESS WIRE)&#8211; Orchid Island Capital, Inc. (NYSE:ORC) (&#8220;Orchid\u201d or the &#8220;Company&#8221;), a real estate investment trust (&#8220;REIT&#8221;), today announced results of operations for the three month period ended June 30, 2021. Second Quarter 2021 Highlights Net loss of $16.9 million, or $0.17 per common share, which consists of: Net interest income of $27.7 million, or $0.28 per common share Total expenses of $3.7 million, or $0.04 per common share Net realized and unrealized losses of $40.8 million, or $0.41 per common share, on RMBS and derivative instruments, including net interest expense on interest rate swaps Second quarter total dividends declared and paid of $0.195 per common share Book value per &hellip; Continue reading &quot;Orchid Island Capital Announces Second Quarter 2021 Results&quot;\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.marketnewsdesk.com\/index.php\/orchid-island-capital-announces-second-quarter-2021-results\/\" \/>\n<meta property=\"og:site_name\" content=\"Market Newsdesk\" \/>\n<meta property=\"article:published_time\" content=\"2021-07-29T20:09:50+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/cts.businesswire.com\/ct\/CT?id=bwnews&amp;sty=20210729006123r1&amp;sid=flmnd&amp;distro=nx&amp;lang=en\" \/>\n<meta name=\"author\" content=\"Newsdesk\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"Newsdesk\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"25 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\\\/\\\/www.marketnewsdesk.com\\\/index.php\\\/orchid-island-capital-announces-second-quarter-2021-results\\\/#article\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/www.marketnewsdesk.com\\\/index.php\\\/orchid-island-capital-announces-second-quarter-2021-results\\\/\"},\"author\":{\"name\":\"Newsdesk\",\"@id\":\"https:\\\/\\\/www.marketnewsdesk.com\\\/#\\\/schema\\\/person\\\/482f27a394d4fda80ecb5499e519d979\"},\"headline\":\"Orchid Island Capital Announces Second Quarter 2021 Results\",\"datePublished\":\"2021-07-29T20:09:50+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\\\/\\\/www.marketnewsdesk.com\\\/index.php\\\/orchid-island-capital-announces-second-quarter-2021-results\\\/\"},\"wordCount\":5005,\"image\":{\"@id\":\"https:\\\/\\\/www.marketnewsdesk.com\\\/index.php\\\/orchid-island-capital-announces-second-quarter-2021-results\\\/#primaryimage\"},\"thumbnailUrl\":\"https:\\\/\\\/cts.businesswire.com\\\/ct\\\/CT?id=bwnews&amp;sty=20210729006123r1&amp;sid=flmnd&amp;distro=nx&amp;lang=en\",\"inLanguage\":\"en-US\"},{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.marketnewsdesk.com\\\/index.php\\\/orchid-island-capital-announces-second-quarter-2021-results\\\/\",\"url\":\"https:\\\/\\\/www.marketnewsdesk.com\\\/index.php\\\/orchid-island-capital-announces-second-quarter-2021-results\\\/\",\"name\":\"Orchid Island Capital Announces Second Quarter 2021 Results - 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