- \n
- \nSeptember 2021 Monthly Dividend of $0.065 Per Share of Common Stock\n<\/li>\n
- \nRMBS Portfolio Characteristics as of August 31, 2021\n<\/li>\n
- \nNext Dividend Announcement Expected October 13, 2021\n<\/li>\n<\/ul>\n
VERO BEACH, Fla.–(BUSINESS WIRE<\/a>)–
\nOrchid Island Capital, Inc. (the \u201cCompany\u201d) (NYSE: ORC) announced today that the Board of Directors (the \u201cBoard\u201d) declared a monthly cash dividend for the month of September 2021. The dividend of $0.065 per share will be paid October 27, 2021, to holders of record of the Company\u2019s common stock on September 30, 2021, with an ex-dividend date of September 29, 2021. The Company plans on announcing its next common stock dividend on October 12, 2021.\n<\/p>\n\nThe Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (\u201cREIT\u201d), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.\n<\/p>\n
\nAs of September 16, 2021, the Company had 138,055,140 shares of common stock outstanding. As of August 31, 2021, the Company had 129,280,140 shares of common stock outstanding. As of June 30, 2021, the Company had 117,500,013 shares of common stock outstanding.\n<\/p>\n
RMBS Portfolio Characteristics<\/b><\/p>\n
\nDetails of the RMBS portfolio as of August 31, 2021 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:\n<\/p>\n
- \n
- \nRMBS Valuation Characteristics\n<\/li>\n
- \nRMBS Assets by Agency\n<\/li>\n
- \nInvestment Company Act of 1940 (Whole Pool) Test Results\n<\/li>\n
- \nRepurchase Agreement Exposure by Counterparty\n<\/li>\n
- \nRMBS Risk Measures\n<\/li>\n<\/ul>\n
About Orchid Island Capital, Inc.<\/b><\/p>\n
\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 collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.\n<\/p>\n
Forward-Looking Statements<\/b><\/p>\n
\nThis press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company\u2019s distributions and expected funding of purchased assets. These forward-looking statements are based upon Orchid Island Capital, Inc.\u2019s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the \u201cRisk Factors\u201d section of the Company\u2019s Annual Report on Form 10-K for the fiscal year ended December 31, 2020.\n<\/p>\n
\n
\n \n RMBS Valuation Characteristics<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n ($ in thousands)<\/i><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Realized<\/b><\/p>\n<\/td>\n
\n Realized<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Aug 2021<\/b><\/p>\n<\/td>\n
\n Jun – Aug<\/b><\/p>\n<\/td>\n
\n Modeled<\/b><\/p>\n<\/td>\n
\n Modeled<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Net<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Weighted<\/b><\/p>\n<\/td>\n
\n CPR<\/b><\/p>\n<\/td>\n
\n 2021 CPR<\/b><\/p>\n<\/td>\n
\n Interest<\/b><\/p>\n<\/td>\n
\n Interest<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n %<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Weighted<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Average<\/b><\/p>\n<\/td>\n
\n (1-Month)<\/b><\/p>\n<\/td>\n
\n (3-Month)<\/b><\/p>\n<\/td>\n
\n Rate<\/b><\/p>\n<\/td>\n
\n Rate<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n Current<\/b><\/p>\n<\/td>\n
\n Fair<\/b><\/p>\n<\/td>\n
\n of<\/b><\/p>\n<\/td>\n
\n Current<\/b><\/p>\n<\/td>\n
\n Average<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Maturity<\/b><\/p>\n<\/td>\n
\n (Reported<\/b><\/p>\n<\/td>\n
\n (Reported<\/b><\/p>\n<\/td>\n
\n Sensitivity<\/b><\/p>\n<\/td>\n
\n Sensitivity<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n Type<\/b><\/p>\n<\/td>\n
\n Face<\/b><\/p>\n<\/td>\n
\n Value(1)<\/sup><\/b><\/p>\n<\/td>\n
\n Portfolio<\/b><\/p>\n<\/td>\n
\n Price<\/b><\/p>\n<\/td>\n
\n Coupon<\/b><\/p>\n<\/td>\n
\n GWAC<\/b><\/p>\n<\/td>\n
\n Age<\/b><\/p>\n<\/td>\n
\n (Months)<\/b><\/p>\n<\/td>\n
\n in Sep)<\/b><\/p>\n<\/td>\n
\n in Sep)<\/b><\/p>\n<\/td>\n
\n (-50 BPS)(2)<\/sup><\/b><\/p>\n<\/td>\n
\n (+50 BPS)(2)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n Pass Through RMBS<\/span><\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n15yr 2.5\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n225,732\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n238,943\n<\/p>\n<\/td>\n
\n \n4.55\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n105.85\n<\/p>\n<\/td>\n
\n \n2.50\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n2.87\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n8\n<\/p>\n<\/td>\n
\n \n167\n<\/p>\n<\/td>\n
\n \n5.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n7.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n3,342\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(4,109\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n15yr 4.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n578\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n621\n<\/p>\n<\/td>\n
\n \n0.01\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n107.38\n<\/p>\n<\/td>\n
\n \n4.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.51\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n40\n<\/p>\n<\/td>\n
\n \n117\n<\/p>\n<\/td>\n
\n \n9.7\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n9.2\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n6\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(7\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n15yr Total\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n226,310\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n239,564\n<\/p>\n<\/td>\n
\n \n4.56\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n105.86\n<\/p>\n<\/td>\n
\n \n2.50\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n2.88\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n9\n<\/p>\n<\/td>\n
\n \n167\n<\/p>\n<\/td>\n
\n \n5.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n7.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n3,348\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(4,116\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n20yr 2.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n150,000\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n154,236\n<\/p>\n<\/td>\n
\n \n2.94\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n102.82\n<\/p>\n<\/td>\n
\n \n2.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n2.86\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n–\n<\/p>\n<\/td>\n
\n \n239\n<\/p>\n<\/td>\n
\n \nn\/a\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \nn\/a\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n2,295\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(3,197\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n20yr Total\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n150,000\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n154,236\n<\/p>\n<\/td>\n
\n \n2.94\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n102.82\n<\/p>\n<\/td>\n
\n \n2.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n2.86\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n–\n<\/p>\n<\/td>\n
\n \n239\n<\/p>\n<\/td>\n
\n \nn\/a\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \nn\/a\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n2,295\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(3,197\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n30yr 2.5\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n628,233\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n654,656\n<\/p>\n<\/td>\n
\n \n12.46\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n104.21\n<\/p>\n<\/td>\n
\n \n2.50\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n3.40\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n7\n<\/p>\n<\/td>\n
\n \n350\n<\/p>\n<\/td>\n
\n \n12.1\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n14.9\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n6,577\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(12,877\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n30yr 3.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n3,360,545\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n3,618,576\n<\/p>\n<\/td>\n
\n \n68.88\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n107.68\n<\/p>\n<\/td>\n
\n \n3.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n3.48\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n6\n<\/p>\n<\/td>\n
\n \n352\n<\/p>\n<\/td>\n
\n \n7.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n7.7\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n46,504\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(74,854\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n30yr 3.5\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n326,189\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n359,127\n<\/p>\n<\/td>\n
\n \n6.84\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n110.10\n<\/p>\n<\/td>\n
\n \n3.50\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.01\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n19\n<\/p>\n<\/td>\n
\n \n334\n<\/p>\n<\/td>\n
\n \n19.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n19.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n4,351\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(6,198\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n30yr 4.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n46,457\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n51,781\n<\/p>\n<\/td>\n
\n \n0.99\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n111.46\n<\/p>\n<\/td>\n
\n \n4.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.63\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n62\n<\/p>\n<\/td>\n
\n \n292\n<\/p>\n<\/td>\n
\n \n23.7\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n24.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n841\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(938\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n30yr 4.5\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n49,944\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n56,292\n<\/p>\n<\/td>\n
\n \n1.07\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n112.71\n<\/p>\n<\/td>\n
\n \n4.50\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.97\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n26\n<\/p>\n<\/td>\n
\n \n328\n<\/p>\n<\/td>\n
\n \n18.3\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n23.7\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n448\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(720\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n30yr Total\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n4,411,368\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n4,740,432\n<\/p>\n<\/td>\n
\n \n90.24\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n107.46\n<\/p>\n<\/td>\n
\n \n2.99\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n3.54\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n8\n<\/p>\n<\/td>\n
\n \n350\n<\/p>\n<\/td>\n
\n \n9.4\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n10.2\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n58,721\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(95,587\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n Total Pass Through RMBS<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n4,787,678\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n5,134,232\n<\/p>\n<\/td>\n
\n \n97.73\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n107.24\n<\/p>\n<\/td>\n
\n \n2.94\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n3.49\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n8\n<\/p>\n<\/td>\n
\n \n338\n<\/p>\n<\/td>\n
\n \n9.2\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n10.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n64,364\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(102,900\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n Structured RMBS<\/span><\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO 20yr 3.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n190,169\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n17,486\n<\/p>\n<\/td>\n
\n \n0.33\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n9.20\n<\/p>\n<\/td>\n
\n \n3.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n3.68\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n58\n<\/p>\n<\/td>\n
\n \n177\n<\/p>\n<\/td>\n
\n \n33.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \nn\/a\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(2,341\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n1,732\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO 20yr 4.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n15,043\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n1,881\n<\/p>\n<\/td>\n
\n \n0.04\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n12.50\n<\/p>\n<\/td>\n
\n \n4.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.58\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n116\n<\/p>\n<\/td>\n
\n \n117\n<\/p>\n<\/td>\n
\n \n19.7\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n20.4\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(47\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n31\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO 30yr 3.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n100,294\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n13,598\n<\/p>\n<\/td>\n
\n \n0.26\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n13.56\n<\/p>\n<\/td>\n
\n \n3.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n3.66\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n48\n<\/p>\n<\/td>\n
\n \n304\n<\/p>\n<\/td>\n
\n \n17.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n18.9\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(1,738\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n1,323\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO 30yr 3.5\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n342,576\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n56,272\n<\/p>\n<\/td>\n
\n \n1.07\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n16.43\n<\/p>\n<\/td>\n
\n \n3.50\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.01\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n46\n<\/p>\n<\/td>\n
\n \n305\n<\/p>\n<\/td>\n
\n \n17.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n20.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(5,907\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n4,469\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO 30yr 4.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n203,357\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n25,530\n<\/p>\n<\/td>\n
\n \n0.49\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n12.55\n<\/p>\n<\/td>\n
\n \n4.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.56\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n65\n<\/p>\n<\/td>\n
\n \n287\n<\/p>\n<\/td>\n
\n \n31.4\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n34.9\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(2,487\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n2,547\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO 30yr 4.5\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n5,313\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n846\n<\/p>\n<\/td>\n
\n \n0.02\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n15.92\n<\/p>\n<\/td>\n
\n \n4.50\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.99\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n134\n<\/p>\n<\/td>\n
\n \n213\n<\/p>\n<\/td>\n
\n \n27.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n26.3\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(92\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n81\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO 30yr 5.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n3,087\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n506\n<\/p>\n<\/td>\n
\n \n0.01\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n16.39\n<\/p>\n<\/td>\n
\n \n5.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n5.37\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n134\n<\/p>\n<\/td>\n
\n \n214\n<\/p>\n<\/td>\n
\n \n46.1\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n38.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(41\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n41\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIO Total\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n859,839\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n116,119\n<\/p>\n<\/td>\n
\n \n2.21\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n13.50\n<\/p>\n<\/td>\n
\n \n3.47\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.05\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n55\n<\/p>\n<\/td>\n
\n \n268\n<\/p>\n<\/td>\n
\n \n24.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n25.4\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(12,653\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n10,224\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nIIO 30yr 4.0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n53,077\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n3,043\n<\/p>\n<\/td>\n
\n \n0.06\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n5.73\n<\/p>\n<\/td>\n
\n \n3.75\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.40\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n48\n<\/p>\n<\/td>\n
\n \n304\n<\/p>\n<\/td>\n
\n \n41.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n25.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(459\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n31\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n Total Structured RMBS<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n912,916\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n119,162\n<\/p>\n<\/td>\n
\n \n2.27\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n13.05\n<\/p>\n<\/td>\n
\n \n3.49\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n4.07\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n55\n<\/p>\n<\/td>\n
\n \n270\n<\/p>\n<\/td>\n
\n \n25.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n25.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(13,112\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n10,255\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n Total Mortgage Assets<\/b><\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n5,700,594\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n5,253,394\n<\/p>\n<\/td>\n
\n \n100.00\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n3.03\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n3.58\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n15\n<\/p>\n<\/td>\n
\n \n327\n<\/p>\n<\/td>\n
\n \n12.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n12.4\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n51,252\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(92,645\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Interest<\/b><\/p>\n<\/td>\n
\n Interest<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n Average<\/b><\/p>\n<\/td>\n
\n Hedge<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Rate<\/b><\/p>\n<\/td>\n
\n Rate<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n Notional<\/b><\/p>\n<\/td>\n
\n Period<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Sensitivity<\/b><\/p>\n<\/td>\n
\n Sensitivity<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n Hedge<\/b><\/p>\n<\/td>\n
\n Balance<\/b><\/p>\n<\/td>\n
\n End<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n (-50 BPS)(2)<\/sup><\/b><\/p>\n<\/td>\n
\n (+50 BPS)(2)<\/sup><\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \nEurodollar Futures\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(50,000\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \nDec-2021\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(125\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n125\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nSwaps\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(1,355,000\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \nDec-2026\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(37,214\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n37,214\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n5-Year Treasury Future(3)<\/sup><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(269,000\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \nDec-2021\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(8,500\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n8,490\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n10-Year Treasury Ultra(4)<\/sup><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(23,500\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \nDec-2021\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(2,415\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n2,136\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nSwaptions\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(244,350\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \nMay-2022\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(7,190\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n9,047\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nYield Curve Spread Floor\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n(150,000\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \nFeb-2023\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \nn\/a\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \nn\/a\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n Hedge Total<\/b><\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(2,091,850\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(55,444\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n57,012\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n Rate Shock Grand Total<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(4,192\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n(35,633\n<\/p>\n<\/td>\n
\n \n)\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n
\n
\n \n \n(1)\n<\/p>\n<\/td>\n
\n \n \nAmounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n(2)\n<\/p>\n<\/td>\n
\n \n \nModeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n(3)\n<\/p>\n<\/td>\n
\n \n \nFive-year Treasury futures contracts were valued at prices of $123.72 at August 31, 2021. The market value of the short position was $332.8 million.\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n(4)\n<\/p>\n<\/td>\n
\n \n \nTen-year Treasury Ultra futures contracts were valued at prices of $148.02 at August 31, 2021. The market value of the short position was $34.8 million.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n
\n
\n RMBS Assets by Agency<\/b><\/td>\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n Investment Company Act of 1940 Whole Pool Test<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n ($ in thousands)<\/i><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n ($ in thousands)<\/i><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Percentage<\/b><\/p>\n<\/td>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Percentage<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n Fair<\/b><\/p>\n<\/td>\n
\n of<\/b><\/p>\n<\/td>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n Fair<\/b><\/p>\n<\/td>\n
\n of<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n Asset Category<\/b><\/p>\n<\/td>\n
\n Value(1)<\/sup><\/b><\/p>\n<\/td>\n
\n Portfolio<\/b><\/p>\n<\/td>\n
\n \n Asset Category<\/b><\/p>\n<\/td>\n
\n Value(1)<\/sup><\/b><\/p>\n<\/td>\n
\n Portfolio<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n As of August 31, 2021<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n As of August 31, 2021<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nFannie Mae\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n4,202,486\n<\/p>\n<\/td>\n
\n \n80.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n \nNon-Whole Pool Assets\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n359,155\n<\/p>\n<\/td>\n
\n \n6.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nFreddie Mac\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n1,050,908\n<\/p>\n<\/td>\n
\n \n20.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n \nWhole Pool Assets\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n4,894,239\n<\/p>\n<\/td>\n
\n \n93.2\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nTotal Mortgage Assets\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n5,253,394\n<\/p>\n<\/td>\n
\n \n100.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n \nTotal Mortgage Assets\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n5,253,394\n<\/p>\n<\/td>\n
\n \n100.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n \n \n \n \n \u00a0<\/td>\n<\/tr>\n \n \n \n(1) Amounts in the tables above include assets with a fair value of approximately $317.3 million purchased in August 2021, which settle in September 2021.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n
\n
\n \n Borrowings By Counterparty<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n ($ in thousands)<\/i><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n Weighted<\/b><\/p>\n<\/td>\n
\n Weighted<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n % of<\/b><\/p>\n<\/td>\n
\n Average<\/b><\/p>\n<\/td>\n
\n Average<\/b><\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \n\u00a0\n<\/p>\n<\/td>\n
\n Total<\/b><\/p>\n<\/td>\n
\n Total<\/b><\/p>\n<\/td>\n
\n Repo<\/b><\/p>\n<\/td>\n
\n Maturity<\/b><\/p>\n<\/td>\n
\n Longest<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n As of August 31, 2021<\/b><\/p>\n<\/td>\n
\n Borrowings(1)<\/sup><\/b><\/p>\n<\/td>\n
\n Debt<\/b><\/p>\n<\/td>\n
\n Rate<\/b><\/p>\n<\/td>\n
\n in Days<\/b><\/p>\n<\/td>\n
\n Maturity<\/b><\/p>\n<\/td>\n<\/tr>\n
\n \n \nABN AMRO Bank N.V.\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n421,280\n<\/p>\n<\/td>\n
\n \n9.1\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n60\n<\/p>\n<\/td>\n
\n \n11\/12\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nMirae Asset Securities (USA) Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n369,891\n<\/p>\n<\/td>\n
\n \n7.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n60\n<\/p>\n<\/td>\n
\n \n11\/15\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nWells Fargo Bank, N.A.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n356,357\n<\/p>\n<\/td>\n
\n \n7.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n36\n<\/p>\n<\/td>\n
\n \n10\/22\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nJ.P. Morgan Securities LLC\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n342,010\n<\/p>\n<\/td>\n
\n \n7.3\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.17\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n18\n<\/p>\n<\/td>\n
\n \n11\/22\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nASL Capital Markets Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n321,928\n<\/p>\n<\/td>\n
\n \n6.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n44\n<\/p>\n<\/td>\n
\n \n10\/19\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nRBC Capital Markets, LLC\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n296,331\n<\/p>\n<\/td>\n
\n \n6.3\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n64\n<\/p>\n<\/td>\n
\n \n11\/10\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nCantor Fitzgerald & Co.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n271,407\n<\/p>\n<\/td>\n
\n \n5.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n32\n<\/p>\n<\/td>\n
\n \n10\/25\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nGoldman Sachs & Co.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n254,010\n<\/p>\n<\/td>\n
\n \n5.4\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.13\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n59\n<\/p>\n<\/td>\n
\n \n11\/30\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nMitsubishi UFJ Securities (USA), Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n216,404\n<\/p>\n<\/td>\n
\n \n4.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.27\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n36\n<\/p>\n<\/td>\n
\n \n10\/12\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nING Financial Markets LLC\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n203,609\n<\/p>\n<\/td>\n
\n \n4.3\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n15\n<\/p>\n<\/td>\n
\n \n10\/12\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nED&F Man Capital Markets Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n199,989\n<\/p>\n<\/td>\n
\n \n4.2\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n51\n<\/p>\n<\/td>\n
\n \n11\/19\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nNomura Securities International, Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n199,411\n<\/p>\n<\/td>\n
\n \n4.2\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.11\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n71\n<\/p>\n<\/td>\n
\n \n11\/22\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nCitigroup Global Markets Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n186,516\n<\/p>\n<\/td>\n
\n \n4.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n42\n<\/p>\n<\/td>\n
\n \n10\/12\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nSantander Bank, N.A.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n157,774\n<\/p>\n<\/td>\n
\n \n3.3\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.13\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n30\n<\/p>\n<\/td>\n
\n \n10\/14\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nBarclays Capital Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n146,858\n<\/p>\n<\/td>\n
\n \n3.1\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n13\n<\/p>\n<\/td>\n
\n \n9\/13\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nBMO Capital Markets Corp.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n138,151\n<\/p>\n<\/td>\n
\n \n2.9\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.11\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n39\n<\/p>\n<\/td>\n
\n \n10\/22\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nMerrill Lynch, Pierce, Fenner & Smith\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n133,749\n<\/p>\n<\/td>\n
\n \n2.8\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.14\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n43\n<\/p>\n<\/td>\n
\n \n10\/14\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nSouth Street Securities, LLC\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n124,623\n<\/p>\n<\/td>\n
\n \n2.6\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.14\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n57\n<\/p>\n<\/td>\n
\n \n11\/23\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nDaiwa Securities America Inc.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n118,737\n<\/p>\n<\/td>\n
\n \n2.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.11\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n12\n<\/p>\n<\/td>\n
\n \n9\/13\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nAustin Atlantic Asset Management Co.\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n100,586\n<\/p>\n<\/td>\n
\n \n2.1\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.14\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n2\n<\/p>\n<\/td>\n
\n \n9\/2\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nLucid Prime Fund, LLC\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n70,247\n<\/p>\n<\/td>\n
\n \n1.5\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.19\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n9\n<\/p>\n<\/td>\n
\n \n9\/9\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nLucid Cash Fund USG, LLC\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n51,238\n<\/p>\n<\/td>\n
\n \n1.1\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n9\n<\/p>\n<\/td>\n
\n \n9\/9\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nJ.V.B. Financial Group, LLC\n<\/p>\n<\/td>\n
\n \n\u00a0\n<\/p>\n<\/td>\n
\n \n32,897\n<\/p>\n<\/td>\n
\n \n0.7\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.12\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n53\n<\/p>\n<\/td>\n
\n \n10\/25\/2021\n<\/p>\n<\/td>\n<\/tr>\n
\n \n \nTotal Borrowings\n<\/p>\n<\/td>\n
\n \n$\n<\/p>\n<\/td>\n
\n \n4,714,003\n<\/p>\n<\/td>\n
\n \n100.0\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n0.13\n<\/p>\n<\/td>\n
\n \n%\n<\/p>\n<\/td>\n
\n \n42\n<\/p>\n<\/td>\n
\n \n11\/30\/2021\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n
\n
\n \n \n(1)\n<\/p>\n<\/td>\n
\n \n \nIn August 2021, the Company purchased assets with a fair value of approximately $317.3 million, which settle in September 2021 that are expected to be funded substantially by repurchase agreements not included in the table above.\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n
\n\u00a0\n<\/p>\n
<\/p>\n
View source version on businesswire.com: <\/span>https:\/\/www.businesswire.com\/news\/home\/20210916005792\/en\/<\/a><\/span><\/p>\n
\nOrchid Island Capital, Inc.
\n
Robert E. Cauley
\n
Telephone: (772) 231-1400\n<\/p>\nKEYWORDS:<\/b> United States North America Florida<\/p>\n
INDUSTRY KEYWORDS:<\/b> Construction & Property Professional Services REIT Finance<\/p>\n
![\"Logo\"](\"https:\/\/mms.businesswire.com\/media\/20210916005792\/en\/1054780\/3\/Orchid_Logo.jpg\"){kind=logo}
<\/td>\n<\/tr>\n